UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number		811-04347
GMO Trust
(Exact name of registrant as specified in charter)
40 Rowes Wharf, Boston, MA				02110
(Address of principal executive offices)				(Zip code)
Scott E. 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:	02/29/08
Date of reporting period:	02/29/08

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the periods ended February 29, 2008 are filed herewith.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Portfolio Managers

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 Developed World Stock Fund returned -1.7% for the fiscal year ended February 29, 2008, as compared to -0.5% for the MSCI World Index. The Fund was invested substantially in global equity securities throughout the period.

Stock selection had a negative impact on relative performance. Holdings Royal Bank of Scotland, U.S.-based Countrywide Financial, and Home Depot underperformed and were among the most significant detractors from returns. Among the contributors were holdings in U.S. oil companies ConocoPhillips and Chevron, and German automaker Volkswagen, all of which outperformed.

Among GMO's global quantitative stock selection disciplines, only stocks ranked highly by momentum outperformed significantly. Those stocks favored by quality-adjusted value or intrinsic value underperformed.

Country allocation had minimal impact on relative performance. Among country positions, the positive impact of our overweight to Germany was largely offset by the negative impact from our underweight to Canada.

Currency allocation had a positive impact on relative performance as an underweight in the U.S. dollar and an overweight in the Swiss franc added value. The U.S. dollar weakened relative to most foreign currencies, which boosted returns for U.S. investors. The MSCI World Index returned almost 6% more in U.S. dollar terms than in local currency.

Sector weightings had a slight positive impact on performance relative to the index. During the period, an overweight to Energy and an underweight to Financials helped while underweights to Consumer Staples and Materials detracted.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited. Performance for Class IV will vary due to different fees.

GMO Developed World Stock Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.0	%
Short-Term Investments		4.2
Preferred Stocks		0.5
Forward Currency Contracts		0.4
Futures		(0.5	)
Other		0.4
		100.0	%
Country Summary	% of Equity Investments
United States		47.9	%
United Kingdom		12.0
Japan		9.7
France		7.3
Germany		5.9
Singapore		3.1
Italy		2.3
Netherlands		2.1
Switzerland		1.9
Finland		1.5
Hong Kong		1.4
Australia		1.4
Canada		1.3
Belgium		0.8
Norway		0.6
Spain		0.4
Sweden		0.2
Ireland		0.2
		100.0	%

1

GMO Developed World Stock Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		18.3	%
Energy		13.9
Health Care		13.5
Industrials		12.0
Consumer Discretionary		10.7
Information Technology		9.4
Consumer Staples		7.8
Materials		7.4
Utilities		4.1
Telecommunication Services		2.9
		100.0	%

2

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Australia — 1.3%
	52,039	BHP Billiton Ltd		1,882,917
	12,925	Commonwealth Bank of Australia		500,506
	196,337	Qantas Airways Ltd		763,598
	482,886	Telstra Corp Ltd		2,170,757
	27,889	Woodside Petroleum Ltd		1,458,359
		Total Australia		6,776,137
		Belgium — 0.8%
	5,499	Belgacom SA		263,358
	65,157	Dexia		1,531,846
	59,770	Fortis		1,320,464
	11,684	Inbev NV		1,056,014
		Total Belgium		4,171,682
		Canada — 1.2%
	17,464	BCE Inc		632,909
	16,700	Canadian Natural Resources		1,251,503
	12,500	Canadian Pacific Railway Ltd		908,560
	12,300	EnCana Corp		937,637
	10,000	Potash Corp of Saskatchewan Inc		1,589,840
	8,000	Research In Motion Ltd *		833,366
		Total Canada		6,153,815
		Finland — 1.5%
	23,739	Fortum Oyj		991,165
	7,000	Metso Oyj		364,196
	162,226	Nokia Oyj		5,828,395
	7,904	Rautaruukki Oyj		344,617
		Total Finland		7,528,373

See accompanying notes to the financial statements.

3

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — 7.0%
	5,400	Alstom		1,134,861
	34,089	Arcelor Mittal		2,588,325
	56,561	BNP Paribas		5,056,548
	8,560	Bouygues		584,650
	12,745	Casino Guichard-Perrachon SA		1,441,551
	22,577	Cie de Saint-Gobain		1,764,944
	4,686	CNP Assurances		515,628
	13,591	Credit Agricole SA		368,653
	19,898	Electricite de France		1,855,886
	31,938	France Telecom SA		1,072,128
	3,795	Lafarge SA		656,045
	3,825	Michelin SA Class B		376,725
	22,493	Peugeot SA		1,709,901
	6,543	Renault SA		699,097
	61,155	Sanofi-Aventis		4,520,128
	10,892	Societe Generale		1,165,435
	2,723	Societe Generale NV (New Shares) *		299,213
	129,891	Total SA		9,781,317
	8,534	Vinci SA		589,279
		Total France		36,180,314
		Germany — 5.2%
	34,795	Altana AG		810,521
	18,294	BASF AG		2,339,356
	15,278	Bayer AG		1,175,786
	2,027	Beiresdorf AG (Bearer)		160,471
	27,064	Daimler AG (Registered) (a)		2,253,720
	9,696	Deutsche Boerse AG		1,542,876
	24,593	Deutsche Post AG (Registered)		814,822
	14,335	E.ON AG		2,698,934
	27,825	Hannover Rueckversicherungs AG (Registered) (a)		1,328,350
	13,134	MAN AG		1,732,391
	10,243	Muenchener Rueckversicherungs AG (Registered)		1,802,249
	5,973	RWE AG		723,123
	6,785	Salzgitter AG		1,189,288

See accompanying notes to the financial statements.

4

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	14,665	Siemens AG (Registered)		1,870,142
	41,771	Suedzucker AG		920,876
	38,793	ThyssenKrupp AG		2,230,883
	14,178	Volkswagen AG		3,228,256
		Total Germany		26,822,044
		Hong Kong — 1.3%
	37,200	Bank of East Asia Ltd		199,807
	232,500	CLP Holdings Ltd		1,817,482
	61,100	Esprit Holdings Ltd		767,845
	101,000	Hang Seng Bank Ltd		1,911,746
	180,500	Hong Kong Electric Holdings Ltd		1,022,213
	59,000	Hong Kong Exchanges and Clearing Ltd		1,120,827
		Total Hong Kong		6,839,920
		Ireland — 0.2%
	54,236	Bank of Ireland		762,948
		Italy — 2.2%
	67,700	Enel SPA		730,510
	284,772	ENI SPA		9,833,528
	46,728	Fiat SPA		987,657
		Total Italy		11,551,695
		Japan — 9.2%
	23,900	Alps Electric Co Ltd		279,277
	157,000	Cosmo Oil Co Ltd		518,801
	8,700	Eisai Co Ltd		313,761
	139,000	Fuji Heavy Industries Ltd		606,384
	110,600	Honda Motor Co Ltd		3,376,102
	31,100	Hoya Corp		789,098
	127,000	Isuzu Motors Ltd		578,325
	192,000	Itochu Corp		2,021,829
	18,800	JFE Holdings Inc		837,686

See accompanying notes to the financial statements.

5

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	84,000	Kawasaki Kisen Kaisha Ltd		852,097
	3,400	Keyence Corp		793,325
	36,400	Komatsu Ltd		924,724
	28,000	Konica Minolta Holdings Inc		396,680
	265,000	Marubeni Corp		2,006,342
	75,800	Mitsubishi Corp		2,312,695
	35,000	Mitsubishi Estate Co Ltd		852,967
	82,000	Mitsui & Co		1,783,290
	27,000	Mitsui Chemicals Inc		191,447
	59,000	Mitsui OSK Lines Ltd		766,285
	6,200	Nintendo Co Ltd		3,086,953
	91,500	Nippon Mining Holdings Inc		541,941
	202,000	Nippon Oil Corp		1,377,978
	63,000	Nippon Yusen KK		582,147
	246,000	Nissan Motor Co		2,212,271
	520	NTT Docomo Inc		761,836
	13,000	Olympus Corp		380,661
	339,000	Osaka Gas Co Ltd		1,360,186
	40,000	Ricoh Company Ltd		642,405
	86,000	Seven & I Holdings Co Ltd		2,138,413
	33,600	Shin-Etsu Chemical Co Ltd		1,813,270
	72,200	Showa Shell Sekiyu KK		732,486
	234,200	Sojitz Corp		877,905
	30,600	SUMCO Corp		676,676
	83,300	Sumitomo Corp		1,197,954
	114,000	Sumitomo Metal Industries Ltd		482,913
	168,000	Taisei Corp		442,944
	32,000	Taisho Pharmaceutical Co Ltd		652,108
	49,600	Takeda Pharmaceutical Co Ltd		2,767,632
	8,300	TDK Corp		589,987
	19,100	Tokyo Electric Power Co Inc		490,719
	245,000	Tokyo Gas Co Ltd		1,099,015
	80,000	TonenGeneral Sekiyu KK		759,477
	97,000	Toshiba Corp		727,571
	40,000	Toyota Tsusho Kaisha		1,015,457
		Total Japan		47,612,020

See accompanying notes to the financial statements.

6

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Netherlands — 2.0%
	126,570	Aegon NV		1,890,259
	40,344	Heineken NV		2,275,421
	168,039	ING Groep NV		5,584,221
	12,819	Koninklijke DSM		564,119
		Total Netherlands		10,314,020
		Norway — 0.6%
	99,850	StatoilHydro ASA		3,042,560
		Singapore — 2.9%
	312,000	Capitaland Ltd		1,378,423
	116,000	City Developments Ltd		973,563
	161,000	Keppel Corp Ltd		1,213,161
	296,000	Oversea-Chinese Banking Corp		1,596,775
	269,000	Sembcorp Industries Ltd		904,464
	133,200	Singapore Airlines Ltd		1,444,813
	187,000	Singapore Exchange Ltd		1,088,083
	400,000	Singapore Technologies Engineering Ltd		967,180
	1,383,600	Singapore Telecommunications		3,743,625
	138,000	United Overseas Bank Ltd		1,749,758
		Total Singapore		15,059,845
		Spain — 0.3%
	19,586	Repsol YPF SA		675,651
	37,691	Telefonica SA		1,090,647
		Total Spain		1,766,298
		Sweden — 0.2%
	18,900	Electrolux AB Series B		303,253
	50,700	Svenska Cellulosa AB Class B		832,226
		Total Sweden		1,135,479

See accompanying notes to the financial statements.

7

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Switzerland — 1.8%
	88,709	ABB Ltd		2,210,124
	1,800	Alcon Inc		260,514
	91,629	Novartis AG (Registered)		4,525,812
	7,273	Zurich Financial Services AG		2,273,621
		Total Switzerland		9,270,071
		United Kingdom — 11.5%
	97,050	AstraZeneca Plc		3,627,477
	130,007	Aviva Plc		1,567,032
	457,988	Barclays Plc		4,292,410
	58,859	Barratt Developments Plc		476,197
	57,472	BG Group Plc		1,354,672
	42,552	BHP Billiton Plc		1,361,243
	31,369	Centrica Plc		200,285
	195,072	DSG International Plc		243,850
	273,298	GlaxoSmithKline Plc		5,965,696
	298,628	HBOS Plc		3,548,584
	138,286	HSBC Holdings Plc		2,090,508
	34,535	J Sainsbury Plc		242,122
	79,468	Kesa Electricals Plc		335,726
	115,877	Kingfisher Plc		299,122
	416,960	Lloyds TSB Group Plc		3,726,933
	30,540	Next Plc		774,553
	513,016	Old Mutual Plc		1,267,202
	41,797	Persimmon Plc		607,273
	18,811	Reckitt Benckiser Group Plc		1,014,689
	29,714	Reed Elsevier Plc		373,980
	40,264	Rio Tinto Plc		4,530,005
	1,005,778	Royal Bank of Scotland Group		7,604,211
	42,206	Royal Dutch Shell Group Class A (Amsterdam)		1,509,268
	138,376	Royal Dutch Shell Plc A Shares (London)		4,947,823
	140,677	Taylor Woodrow Plc		476,015
	191,171	Tomkins Plc		640,949
	34,562	Unilever Plc		1,088,920

See accompanying notes to the financial statements.

8

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	17,316	United Utilities Plc		237,111
	1,043,762	Vodafone Group Inc		3,360,307
	41,001	Wolseley Plc		501,731
	11,111	Xstrata Plc		866,773
		Total United Kingdom		59,132,667
		United States — 45.8%
	30,700	3M Co.		2,406,880
	21,400	Abbott Laboratories		1,145,970
	15,000	Abercrombie & Fitch Co.-Class A		1,162,950
	17,700	Accenture Ltd.		623,925
	13,700	ACE Ltd.		770,488
	17,200	Adobe Systems, Inc. *		578,780
	11,800	Aflac, Inc.		736,438
	38,200	Allstate Corp. (The)		1,823,286
	63,000	Altria Group, Inc.		4,607,820
	13,600	Amazon.com, Inc. *		876,792
	30,700	American International Group, Inc.		1,438,602
	4,000	AmerisourceBergen Corp.		166,880
	14,600	Amphenol Corp.-Class A		539,762
	7,600	Anadarko Petroleum Corp.		484,424
	11,600	Apache Corp.		1,330,636
	14,200	Apollo Group, Inc.-Class A *		871,596
	37,900	Apple, Inc. *		4,738,258
	9,900	Ashland, Inc.		437,283
	17,954	AT&T, Inc.		625,338
	42,200	Automatic Data Processing, Inc.		1,685,890
	29,500	AutoNation, Inc. *		429,815
	18,300	Avon Products, Inc.		696,498
	121,783	Bank of America Corp.		4,839,656
	7,600	Bard (C.R.), Inc.		720,404
	12,500	Baxter International, Inc.		737,750
	7,400	Bear Stearns Cos. (The), Inc.		590,964
	14,100	Becton Dickinson & Co.		1,274,922

See accompanying notes to the financial statements.

9

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	39,000	Bed Bath & Beyond, Inc. *		1,105,260
	41,200	Best Buy Co., Inc.		1,772,012
	51,300	Boston Scientific Corp. *		645,867
	4,300	Bunge Ltd.		476,612
	32,800	Capital One Financial Corp.		1,509,784
	42,700	Centerpoint Energy, Inc.		626,836
	18,000	CH Robinson Worldwide, Inc.		913,860
	70,305	Chevron Corp.		6,092,631
	14,700	Cigna Corp.		655,326
	117,900	Citigroup, Inc.		2,795,409
	22,800	Citrix Systems, Inc. *		750,804
	1,100	CME Group, Inc.		564,630
	11,600	CNA Financial Corp.		309,140
	41,200	Coach, Inc. *		1,249,184
	88,600	Coca-Cola Co. (The)		5,179,556
	26,800	Computer Sciences Corp. *		1,164,460
	20,000	Compuware Corp. *		159,200
	102,453	ConocoPhillips		8,473,888
	22,000	Convergys Corp. *		317,680
	25,400	Corning, Inc.		590,042
	77,500	Countrywide Financial Corp.		489,025
	12,000	CSX Corp.		582,240
	9,600	Cummins, Inc.		483,648
	60,800	D.R. Horton, Inc.		853,024
	10,200	Danaher Corp.		756,330
	22,200	Deere & Co.		1,891,662
	14,900	Dow Chemical Co. (The)		561,581
	22,800	DTE Energy Co.		907,668
	30,300	Duke Energy Corp.		531,462
	6,100	Eaton Corp.		491,843
	13,300	Ecolab, Inc.		622,307
	12,300	Eli Lilly & Co.		615,246
	78,500	EMC Corp. *		1,219,890
	10,600	Emerson Electric Co.		540,176

See accompanying notes to the financial statements.

10

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	22,700	Energy East Corp.		604,955
	1,600	Everest Re Group Ltd.		155,008
	20,600	Expeditors International of Washington, Inc.		809,992
	8,600	Express Scripts, Inc. *		508,260
	57,900	Exxon Mobil Corp.		5,037,879
	31,300	Fannie Mae		865,445
	14,600	Fastenal Co.		593,636
	31,192	Fidelity National Title Group, Inc.-Class A		549,291
	20,100	First American Corp.		700,083
	37,850	First Marblehead Corp. (The)		455,336
	6,000	First Solar, Inc. *		1,231,200
	18,200	Fiserv, Inc. *		957,684
	5,600	Fluor Corp.		779,800
	14,500	Forest Laboratories, Inc. *		576,665
	11,100	FPL Group, Inc.		669,219
	7,000	Franklin Resources, Inc.		660,590
	10,600	Freeport-McMoRan Copper & Gold, Inc.		1,069,116
	30,100	Gannett Co., Inc.		907,515
	8,200	Garmin Ltd.		481,422
	14,300	General Dynamics Corp.		1,170,455
	13,700	Genuine Parts Co.		565,125
	33,800	Genworth Financial, Inc.-Class A		783,484
	7,300	Goodrich Corp.		432,379
	7,600	Google, Inc.-Class A *		3,580,968
	26,700	Harley-Davidson, Inc.		992,172
	13,200	Hartford Financial Services Group, Inc.		922,680
	16,800	Hess Corp.		1,565,424
	43,000	Hewlett-Packard Co.		2,054,110
	172,800	Home Depot, Inc.		4,587,840
	19,100	Honeywell International, Inc.		1,099,014
	32,300	Illinois Tool Works, Inc.		1,584,961
	102,100	Intel Corp.		2,036,895
	15,100	International Business Machines Corp.		1,719,286
	6,200	Jacobs Engineering Group, Inc. *		497,798

See accompanying notes to the financial statements.

11

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	24,100	Janus Capital Group, Inc.		583,702
	246,400	Johnson & Johnson		15,266,944
	14,400	Johnson Controls, Inc.		473,184
	22,300	Juniper Networks, Inc. *		598,086
	16,700	KB Home		399,631
	42,400	Kimberly-Clark Corp.		2,763,632
	14,500	Kohl's Corp. *		644,380
	53,335	Kraft Foods, Inc.		1,662,452
	32,800	Lennar Corp.-Class A		610,408
	13,100	Lexmark International, Inc. *		432,693
	11,200	Lincare Holdings, Inc. *		364,000
	7,400	Loews Corp. - Carolina Group		557,146
	140,400	Lowe's Cos., Inc.		3,365,388
	14,000	Marathon Oil Corp.		744,240
	4,400	Mastercard, Inc.-Class A		836,000
	41,400	McDonald's Corp.		2,240,154
	27,300	McGraw-Hill Cos., Inc.		1,117,389
	15,200	Medco Health Solutions, Inc. *		673,512
	30,700	Medtronic, Inc.		1,515,352
	10,200	MEMC Electronic Materials, Inc. *		778,056
	112,400	Merck & Co., Inc.		4,979,320
	12,600	Merrill Lynch & Co., Inc.		624,456
	16,300	MGIC Investment Corp.		241,403
	59,500	Microsoft Corp.		1,619,590
	14,700	Mirant Corp. *		543,900
	22,400	Monsanto Co.		2,591,232
	16,700	Morgan Stanley		703,404
	16,200	Mosaic Company (The) *		1,803,060
	68,900	National City Corp.		1,092,754
	9,400	National Oilwell Varco, Inc. *		585,620
	26,200	Nike, Inc.-Class B		1,577,240
	36,700	NiSource, Inc.		630,873
	1,000	NVR, Inc. *		540,680
	31,700	Occidental Petroleum Corp.		2,452,629

See accompanying notes to the financial statements.

12

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	49,725	Old Republic International Corp.		682,227
	163,500	Oracle Corp. *		3,073,800
	13,550	Paccar, Inc.		587,799
	8,300	Parker-Hannifin Corp.		536,429
	36,200	Paychex, Inc.		1,138,852
	22,300	Pepco Holdings, Inc.		563,521
	57,800	PepsiCo, Inc.		4,020,568
	394,100	Pfizer, Inc.		8,780,548
	7,200	PPG Industries, Inc.		446,256
	10,600	PPL Corp.		481,028
	17,300	Praxair, Inc.		1,388,844
	11,300	Precision Castparts Corp.		1,247,407
	18,600	Progress Energy, Inc.		779,526
	7,000	Prudential Financial, Inc.		510,790
	9,100	Rockwell Collins, Inc.		535,990
	10,400	Ryder Systems, Inc.		599,144
	17,300	Schlumberger Ltd.		1,495,585
	21,500	Seagate Technology		463,755
	25,300	SEI Investment Co.		632,753
	12,700	Southern Copper Corp.		1,449,197
	9,500	SPX Corp.		971,850
	5,900	State Street Corp.		463,445
	28,700	Stryker Corp.		1,868,657
	14,942	Supervalu, Inc.		392,228
	40,100	Sysco Corp.		1,125,206
	7,900	Textron, Inc.		427,943
	43,400	TJX Cos., Inc.		1,388,800
	10,900	Torchmark Corp.		656,834
	31,900	United Parcel Service, Inc.-Class B		2,240,656
	34,400	United Technologies Corp.		2,425,544
	33,300	UnitedHealth Group, Inc.		1,547,784
	36,000	Unum Group		824,760
	21,800	Valero Energy Corp.		1,259,386
	11,500	VF Corp.		874,460

See accompanying notes to the financial statements.

13

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		United States — continued
	7,000	W.W. Grainger, Inc.		515,620
	64,400	Walgreen Co.		2,351,244
	75,700	Wal-Mart Stores, Inc.		3,753,964
	55,949	Washington Mutual, Inc.		828,045
	9,600	Wells Fargo & Co.		280,608
	7,100	Whirlpool Corp.		599,027
	13,900	WM Wrigley Jr. Co.		832,054
	36,400	Xcel Energy, Inc.		721,448
	18,700	Zimmer Holdings, Inc. *		1,407,923
		Total United States		236,229,992
		TOTAL COMMON STOCKS (COST $505,064,881)		490,349,880
		PREFERRED STOCKS — 0.5%
		Germany — 0.5%
	397	Porsche AG (Non Voting) 0.06%		688,350
	12,445	Volkswagen AG 2.02%		1,734,062
		Total Germany		2,422,412
		TOTAL PREFERRED STOCKS (COST $1,464,743)		2,422,412
		SHORT-TERM INVESTMENTS — 4.2%
	3,664,337	Bank of New York Mellon Institutional Cash Reserves Fund (b)		3,664,337
	18,200,000	BNP Paribas Time Deposit, 3.19%, due 03/03/08		18,200,000
		TOTAL SHORT-TERM INVESTMENTS (COST $21,864,337)		21,864,337
		TOTAL INVESTMENTS — 99.7% (Cost $528,393,961)		514,636,629
		Other Assets and Liabilities (net) — 0.3%		1,379,859
		TOTAL NET ASSETS — 100.0%	$	516,016,488

See accompanying notes to the financial statements.

14

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	CAD		11,386,244	$	11,549,935	$	253,644
5/23/08	CAD		11,386,244		11,549,935		305,928
5/23/08	CAD		11,731,281		11,899,933		306,475
5/23/08	CHF		13,428,537		12,899,073		612,173
5/23/08	CHF		13,428,537		12,899,073		615,714
5/23/08	CHF		13,835,462		13,289,954		635,761
5/23/08	GBP		1,597,000		3,154,825		39,701
5/23/08	JPY		1,381,165,892		13,357,022		424,272
5/23/08	JPY		1,381,165,892		13,357,022		429,235
5/23/08	JPY		1,423,019,404		13,761,780		483,084
5/23/08	NZD		2,032,059		1,603,413		(2,320	)
5/23/08	NZD		2,032,059		1,603,413		(1,519	)
5/23/08	NZD		2,093,637		1,652,002		4,958
5/23/08	SEK		43,040,623		6,953,972		167,385
5/23/08	SEK		43,040,623		6,953,972		164,384
5/23/08	SEK		44,344,884		7,164,698		170,938
5/23/08	SGD		2,420,610		1,741,185		20,768
5/23/08	SGD		2,420,610		1,741,185		18,454
5/23/08	SGD		2,493,962		1,793,948		20,212
				$	148,926,340	$	4,669,247
Sales
5/23/08	AUD		1,486,701	$	1,370,089	$	(17,890	)
5/23/08	AUD		1,486,701		1,370,089		(16,463	)
5/23/08	AUD		1,531,753		1,411,607		(15,462	)
5/23/08	CAD		2,357,000		2,390,885		(56,701	)
5/23/08	CHF		3,376,000		3,242,890		(168,545	)
5/23/08	EUR		1,346,000		2,037,566		(71,906	)
5/23/08	EUR		7,239,691		10,959,396		(321,901	)
5/23/08	EUR		7,239,691		10,959,396		(320,482	)
5/23/08	EUR		7,239,691		10,959,396		(325,702	)
5/23/08	EUR		7,239,691		10,959,396		(321,249	)

See accompanying notes to the financial statements.

15

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
5/23/08	GBP		6,539,892	$	12,919,361	$	(233,736	)
5/23/08	GBP		6,539,892		12,919,361		(243,676	)
5/23/08	GBP		6,738,071		13,310,857		(250,852	)
5/23/08	HKD		12,808,014		1,648,346		(3,404	)
5/23/08	HKD		12,808,014		1,648,346		(3,220	)
5/23/08	HKD		13,196,136		1,698,296		(3,355	)
5/23/08	JPY		306,239,000		2,961,586		(74,145	)
5/23/08	NOK		4,995,763		951,997		(23,796	)
5/23/08	NOK		4,995,763		951,997		(22,289	)
5/23/08	NZD		1,007,667		795,108		(18,000	)
5/23/08	NZD		1,007,667		795,108		(17,945	)
5/23/08	NZD		1,007,667		795,108		(17,804	)
				$	107,056,181	$	(2,548,523	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	3	CAC40	March 2008	$	218,500	$	(530	)
	41	DAX	March 2008		10,501,366		(1,491,873	)
	47	MSCI Singapore	March 2008		2,510,216		(71,077	)
	62	TOPIX	March 2008		7,880,546		(947,286	)
				$	21,110,628	$	(2,510,766	)
Sales
	23	FTSE 100	March 2008	$	2,665,349	$	193,492
	5	IBEX 35	March 2008		1,002,359		1,568
	68	S&P 500 E-Mini	March 2008		4,526,420		(21,556	)
				$	8,194,128	$	173,504

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

16

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

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).

As of February 29, 2008, 47.55% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

17

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $3,402,753 (cost $528,393,961) (Note 2)	$	514,636,629
Cash		17,419
Foreign currency, at value (cost $236,938) (Note 2)		242,707
Receivable for investments sold		196,362
Receivable for Fund shares sold		2,841
Dividends and interest receivable		1,013,244
Foreign taxes receivable		35,770
Unrealized appreciation on open forward currency contracts (Note 2)		4,673,086
Receivable for collateral on open futures contracts (Note 2)		2,455,000
Receivable for expenses reimbursed by Manager (Note 3)		43,790
Total assets		523,316,848
Liabilities:
Collateral on securities loaned, at value (Note 2)		3,664,337
Payable for investments purchased		392,833
Payable to affiliate for (Note 3):
Management fee		191,505
Shareholder service fee		52,963
Trustees and Chief Compliance Officer of GMO Trust fees		570
Unrealized depreciation on open forward currency contracts (Note 2)		2,552,362
Payable for variation margin on open futures contracts (Note 2)		242,516
Accrued expenses		203,274
Total liabilities		7,300,360
Net assets	$	516,016,488

See accompanying notes to the financial statements.

18

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	521,124,328
Accumulated undistributed net investment income		4,927,285
Accumulated net realized gain		3,928,946
Net unrealized depreciation		(13,964,071	)
	$	516,016,488
Net assets attributable to:
Class III shares	$	309,608,755
Class IV shares	$	206,407,733
Shares outstanding:
Class III		14,151,927
Class IV		9,425,247
Net asset value per share:
Class III	$	21.88
Class IV	$	21.90

See accompanying notes to the financial statements.

19

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $814,721)	$	13,076,931
Interest		925,879
Securities lending income		314,855
Total investment income		14,317,665
Expenses:
Management fee (Note 3)		2,420,497
Shareholder service fee – Class III (Note 3)		439,267
Shareholder service fee – Class IV (Note 3)		222,155
Custodian and fund accounting agent fees		407,631
Transfer agent fees		41,758
Audit and tax fees		69,471
Legal fees		11,033
Trustees fees and related expenses (Note 3)		4,925
Registration fees		4,313
Miscellaneous		8,352
Total expenses		3,629,402
Fees and expenses reimbursed by Manager (Note 3)		(540,514	)
Expense reductions (Note 2)		(3,647	)
Net expenses		3,085,241
Net investment income (loss)		11,232,424
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		29,387,939
Closed futures contracts		2,042,708
Foreign currency, forward contracts and foreign currency related transactions		8,114,385
Net realized gain (loss)		39,545,032
Change in net unrealized appreciation (depreciation) on:
Investments		(62,574,177	)
Open futures contracts		(2,880,405	)
Foreign currency, forward contracts and foreign currency related transactions		1,870,606
Net unrealized gain (loss)		(63,583,976	)
Net realized and unrealized gain (loss)		(24,038,944	)
Net increase (decrease) in net assets resulting from operations	$	(12,806,520	)

See accompanying notes to the financial statements.

20

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	11,232,424		$	6,739,059
Net realized gain (loss)		39,545,032			15,932,679
Change in net unrealized appreciation (depreciation)		(63,583,976	)		26,314,621
Net increase (decrease) in net assets from operations		(12,806,520	)		48,986,359
Distributions to shareholders from:
Net investment income
Class III		(8,471,254	)		(3,430,167	)
Class IV		(5,941,447	)		(1,996,536	)
Total distributions from net investment income		(14,412,701	)		(5,426,703	)
Net realized gains
Class III		(22,082,339	)		(6,179,695	)
Class IV		(15,851,765	)		(3,819,305	)
Total distributions from net realized gains		(37,934,104	)		(9,999,000	)
		(52,346,805	)		(15,425,703	)
Net share transactions (Note 7):
Class III		66,739,553			83,907,560
Class IV		21,793,212			57,645,131
Increase (decrease) in net assets resulting from net share transactions		88,532,765			141,552,691
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		253,528			239,083
Class IV		—			156,000
Increase in net assets resulting from purchase premiums and redemption fees		253,528			395,083
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		88,786,293			141,947,774
Total increase (decrease) in net assets		23,632,968			175,508,430
Net assets:
Beginning of period		492,383,520			316,875,090
End of period (including accumulated undistributed net investment income of $4,927,285 and distributions in excess of net investment income of $413,847, respectively)	$	516,016,488		$	492,383,520

See accompanying notes to the financial statements.

21

GMO Developed World Stock Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	24.58		$	22.24		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.54			0.43			0.15
Net realized and unrealized gain (loss)		(0.74	)		2.84			2.15
Total from investment operations		(0.20	)		3.27			2.30
Less distributions to shareholders:
From net investment income		(0.67	)		(0.32	)		(0.06	)
From net realized gains		(1.83	)		(0.61	)		—
Total distributions		(2.50	)		(0.93	)		(0.06	)
Net asset value, end of period	$	21.88		$	24.58		$	22.24
Total Return(b)		(1.73	)%		14.87	%		11.51	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	309,609		$	282,446		$	179,466
Net expenses to average daily net assets		0.62	%(c)		0.62	%		0.62	%*
Net investment income to average daily net assets		2.15	%		1.83	%		1.27	%*
Portfolio turnover rate		53	%		43	%		15	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.12	%		0.20	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.02		$	0.03		$	0.07

†  Calculated using average shares outstanding throughout the period.

(a)  Period from August 1, 2005 (commencement of operations) through February 28, 2006.

(b)  The total return would have been lower had certain expenses not been reimbursed during the period shown and assumes the effect of reinvested distributions. Calculations exclude purchase premiums and redemption fees which are borne by the shareholder.

(c)  The net expense ratio does not include the effect of expense reductions.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover rate of the Fund for the period August 1, 2005 through February 28, 2006.

See accompanying notes to the financial statements.

22

GMO Developed World Stock Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	24.59		$	22.25		$	20.24
Income (loss) from investment operations:
Net investment income (loss)†		0.56			0.45			0.12
Net realized and unrealized gain (loss)		(0.74	)		2.82			1.95
Total from investment operations		(0.18	)		3.27			2.07
Less distributions to shareholders:
From net investment income		(0.68	)		(0.32	)		(0.06	)
From net realized gains		(1.83	)		(0.61	)		—
Total distributions		(2.51	)		(0.93	)		(0.06	)
Net asset value, end of period	$	21.90		$	24.59		$	22.25
Total Return(b)		(1.66	)%		14.88	%		10.23	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	206,408		$	209,937		$	137,409
Net expenses to average daily net assets		0.57	%(c)		0.57	%		0.57	%*
Net investment income to average daily net assets		2.22	%		1.93	%		1.20	%*
Portfolio turnover rate		53	%		43	%		15	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.12	%		0.17	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†		—	(d)	$	0.02		$	0.06

†  Calculated using average shares outstanding throughout the period.

(a)  Period from September 1, 2005 (commencement of operations) through February 28, 2006.

(b)  The total return would have been lower had certain expenses not been reimbursed during the period shown and assumes the effect of reinvested distributions. Calculations exclude purchase premiums and redemption fees which are borne by the shareholder.

(c)  The net expense ratio does not include the effect of expense reductions.

(d)  For the year ended February 29, 2008, the class received no purchase premiums or redemption fees.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover rate of the Fund for the period August 1, 2005 through February 28, 2006.

See accompanying notes to the financial statements.

23

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Developed World Stock Fund (the "Fund"), which commenced operations on August 1, 2005, 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming the MSCI World Index. The Fund typically makes equity investments in companies from the world's developed markets, including the U.S.

Throughout the year ended February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder service fees.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

24

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

25

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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

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

26

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. There were no repurchase agreements outstanding at the end of the period.

27

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $3,402,753, collateralized by cash in the amount of $3,664,337, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net

28

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, losses on wash sale transactions, foreign currency transactions and derivative contract tansactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	8,521,409	$	(8,521,408	)	$	(1	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	22,308,523	$	12,486,683
Long-term capital gains		30,038,282		2,939,020
Total distributions	$	52,346,805	$	15,425,703

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	7,001,488
Undistributed long-term capital gain	$	4,422,310

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	528,908,745	$	42,886,550	$	(57,158,666	)	$	(14,272,116	)

29

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchase and redemption of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.25% of the amount invested or redeemed. An additional purchase premium and redemption fee of 0.005% is charged for any purchases/redemptions (or any portion of a purchase/redemption) effected in a currency other than the U.S. dollar. 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

30

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.47% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and

31

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.47% of the 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 29, 2008, was $4,281 and $2,036, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $333,949,767 and $260,206,165, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 39.98% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties.

32

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,679,838		$	67,974,333			3,144,280		$	77,151,938
Shares issued to shareholders in reinvestment of distributions		1,157,471			28,331,295			380,037			9,070,500
Shares repurchased		(1,177,880	)		(29,566,075	)		(99,934	)		(2,314,878	)
Purchase premiums		—			170,362			—			232,152
Redemption fees		—			83,166			—			6,931
Net increase (decrease)		2,659,429		$	66,993,081			3,424,383		$	84,146,643
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			2,117,902		$	51,844,000
Shares issued to shareholders in reinvestment of distributions		889,056			21,793,212			243,970			5,801,131
Shares repurchased		—			—			—			—
Purchase premiums		—			—			—			156,000
Redemption fees		—			—			—			—
Net increase (decrease)		889,056		$	21,793,212			2,361,872		$	57,801,131

33

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Developed World Stock 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 Developed World Stock Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

34

GMO Developed World Stock Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.62	%	$	1,000.00	$	929.00	$	2.97
2) Hypothetical		0.62	%	$	1,000.00	$	1,021.78	$	3.12
Class IV
1) Actual		0.57	%	$	1,000.00	$	929.00	$	2.73
2) Hypothetical		0.57	%	$	1,000.00	$	1,022.03	$	2.87

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

35

GMO Developed World Stock Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $30,038,282 from long-term capital gains.

For taxable, non-corporate shareholders, 44.98% of the Fund's income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 20.04% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $7,895,822 or if determined to be different, the qualified short-term gains of such year.

36

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

37

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

38

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

39

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

40

GMO Emerging Countries Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Emerging Countries Fund returned +30.7% for the fiscal year ended February 29, 2008, as compared to +32.9% for the S&P/IFC (Investable) Composite Index. The Fund was invested substantially in emerging markets equities throughout the fiscal year.

Country selection detracted 2.2% from performance during the period. The Fund's overweight in Brazil and underweights in Russia and South Africa contributed to performance. The Fund's underweight in India and overweights in Korea and Taiwan detracted from performance.

Stock selection was flat during the fiscal year. Stock selection was successful in China, India, Indonesia, and Taiwan. Stock selection in Korea detracted from 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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class M shares will vary due to different fees.

GMO Emerging Countries Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		83.0	%
Preferred Stocks		12.5
Short-Term Investments		3.5
Rights and Warrants		0.0
Other		1.0
		100.0	%
Country Summary	% of Equity Investments
Brazil		19.3	%
South Korea		16.4
Taiwan		12.6
Russia		11.2
China		9.5
Thailand		5.4
India		5.4
Malaysia		4.6
South Africa		4.0
Turkey		3.2
Indonesia		1.9
Israel		1.6
Philippines		1.2
Hungary		1.2
Poland		1.1
Chile		0.7
Mexico		0.6
Pakistan		0.1
		100.0	%

1

GMO Emerging Countries Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Energy		24.0	%
Financials		20.3
Materials		16.5
Information Technology		10.4
Telecommunication Services		9.0
Industrials		9.0
Consumer Discretionary		4.7
Consumer Staples		3.1
Utilities		2.0
Health Care		1.0
		100.0	%

2

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 83.0%
		Brazil — 7.0%
	24,400	B2W Companhia Global do Varejo		1,024,422
	7,880	Banco Bradesco SA Sponsored ADR		247,353
	102,440	Banco do Brasil SA		1,712,482
	60,100	Bolsa de Mercadorias e Futuros		640,768
	6,500	Bovespa Holding SA		101,857
	2,734	Companhia de Bebidas das Americas		206,937
	1,920	Companhia Energetica de Minas Gerais Sponsored ADR		36,538
	41,309	Companhia Saneamento Basico Sao Paulo		981,977
	34,314	Companhia Siderurgica Nacional SA		1,280,358
	83,000	Companhia Vale do Rio Doce		2,879,061
	68,370	Companhia Vale do Rio Doce ADR		2,382,011
	24,700	Cyrela Brazil Realty SA		394,359
	25,400	Electrobras (Centro)		373,543
	9,100	Empresa Brasileira de Aeronautica SA Sponsored ADR		403,312
	49,100	Investimentos Itau SA		522,328
	93,670	Petroleo Brasileiro SA (Petrobras)		5,411,601
	47,830	Petroleo Brasileiro SA (Petrobras) ADR		5,612,372
	22,023	Souza Cruz SA		641,117
	7,100	Tele Norte Leste Participacoes SA		268,281
	35,620	Uniao de Bancos Brasileiros SA		482,348
	12,400	Unibanco-Uniao de Bancos Brasileiros SA GDR		1,681,688
	17,650	Usinas Siderurgicas de Minas Gerais SA		1,059,355
		Total Brazil		28,344,068
		Chile — 0.7%
	9,802	Banco de Chile ADR		554,499
	12,490	Banco Santander Chile SA ADR		646,482
	11,050	Compania Cervecerias Unidas ADR		367,081
	25,820	Compania de Telecommunicaciones de Chile ADR		206,818
	12,610	Distribucion y Servicio ADR		325,464
	41,660	Lan Airlines SA Sponsored ADR		557,411
		Total Chile		2,657,755

See accompanying notes to the financial statements.

3

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — 9.1%
	474,000	Air China Ltd Class H		444,480
	366,000	Aluminum Corp of China Ltd		709,973
	60,000	Anhui Conch Cement Co Ltd Class H		462,459
	2,200	Baidu.com Inc Sponsored ADR *		552,926
	3,218,000	Bank of China Ltd Class H		1,347,943
	196,000	China Communications Construction Co Ltd Class H		507,842
	2,628,000	China Construction Bank Class H		1,991,137
	232,200	China Cosco Holdings Co Ltd		676,123
	178,897	China International Marine Containers Co Ltd Class B		320,000
	154,000	China Life Insurance Co Ltd Class H		598,024
	456,500	China Merchants Bank Co Ltd Class H		1,584,647
	140,000	China Merchants Holdings International Co Ltd		751,471
	407,964	China Mobile Ltd		6,108,502
	3,872	China Mobile Ltd Sponsored ADR		288,929
	144,600	China Netcom Group		445,754
	1,833,883	China Petroleum & Chemical Corp Class H		2,004,255
	178,000	China Resources Enterprise Ltd		631,929
	2,460	China Telecom Corp Ltd ADR		180,589
	249,400	China Telecom Corp Ltd Class H		183,676
	1,294,000	China Travel International Investment Hong Kong Ltd		696,947
	1,822,000	CNOOC Ltd		3,025,888
	172,000	Cosco Pacific Ltd		370,985
	1,024,890	Denway Motors Ltd		518,049
	11,020	Focus Media Holding Ltd ADR *		555,077
	215,586	Fountain Set Holdings Ltd		43,418
	376,100	Guangdong Investments Ltd		199,319
	452,000	Huaneng Power International Inc Class H		369,323
	1,964,000	Industrial and Commercial Bank of China Ltd Class H		1,362,531
	132,000	Kingboard Chemical Holdings Ltd		586,717
	190,000	Parkson Retail Group Ltd		1,977,880
	2,529,553	PetroChina Co Ltd Class H		3,702,705
	234,000	PICC Property & Casualty Co Ltd Class H		245,367
	85,000	Ping An Insurance (Group) Co of China Ltd Class H		643,788
	3,510,000	Semiconductor Manufacturing International Corp *		281,610

See accompanying notes to the financial statements.

4

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — continued
	308,400	Shanghai Industrial Holdings Ltd		1,257,622
	436,000	Sinofert Holdings Ltd		434,997
	492,000	Sinopec Shanghai Petrochemical Co Ltd Class H		230,348
	6,250	Suntech Power Holdings Co Ltd ADR *		232,312
		Total China		36,525,542
		Hungary — 1.1%
	18,240	MOL Magyar Olaj es Gazipari Nyrt (New Shares)		2,484,780
	33,140	OTP Bank Nyrt		1,339,100
	2,690	Richter Gedeon Nyrt		580,661
		Total Hungary		4,404,541
		India — 5.1%
	11,400	Axis Bank Ltd		286,446
	1,160	BF Utilities Ltd *		34,334
	6,340	Bharat Heavy Electricals Ltd		356,094
	26,820	Bharti Airtel Ltd *		546,661
	38,220	Canara Bank Ltd		259,019
	78,690	GAIL India Ltd		819,148
	74,430	Hindalco Industries Ltd		370,754
	5,000	Hindalco Industries Ltd GDR 144A		24,150
	53,950	Hindalco Industries Ltd GDR 144A (Registered Shares) (Luxembourg Exchange)		260,578
	28,511	Hindustan Zinc Ltd		461,608
	2,740	Housing Development Finance Corp Ltd		188,431
	16,670	ICICI Bank Ltd		444,290
	23,600	Indiabulls Financial Services Ltd		354,169
	14,180	Indiabulls Real Estate Ltd *		221,432
	17,500	Indiabulls Securities Ltd		164,460
	41,550	Indian Oil Corp Ltd		572,587
	7,180	Infosys Technologies Ltd		274,089
	17,162	Jaiprakash Associates Ltd		110,933
	5,080	Jindal Steel & Power Ltd		287,188
	13,310	JSW Steel Ltd		347,805
	26,670	Larsen & Toubro Ltd		2,314,385

See accompanying notes to the financial statements.

5

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		India — continued
	20,047	LIC Housing Finance Ltd		152,722
	57,830	Oil & Natural Gas Corp Ltd		1,446,177
	48,660	Power Finance Corp		223,975
	17,710	Reliance Capital Ltd		793,899
	25,940	Reliance Communications Ltd		367,451
	14,910	Reliance Energy Ltd		575,504
	37,626	Reliance Industries Ltd		2,293,934
	107,000	Reliance Natural Resources Ltd *		348,755
	122,660	Reliance Petroleum Ltd *		530,993
	41,118	Satyam Computer Services Ltd		442,364
	4,680	State Bank of India Ltd		243,805
	7,794	State Bank of India Ltd GDR		848,030
	278,830	Steel Authority of India Ltd		1,742,102
	62,828	Tata Steel Ltd		1,240,833
	63,704	Wipro Ltd		686,597
		Total India		20,635,702
		Indonesia — 1.8%
	283,500	Astra International Tbk PT		850,643
	22,217,000	Bakrie & Brothers Tbk PT *		822,767
	5,040,000	Bumi Resources Tbk PT		4,158,347
	56,390	Infrastructure Development Finance Co Ltd		270,966
	7,008,620	Matahari Putra Prima Tbk PT		463,225
	710,500	Telekomunikasi Indonesia Tbk PT		752,105
		Total Indonesia		7,318,053
		Israel — 1.5%
	241,200	Bank Hapoalim BM		1,030,578
	270,930	Bank Leumi Le		1,244,815
	13,200	Check Point Software Technologies Ltd *		289,344
	35,620	Israel Chemicals Ltd		483,490
	29,430	Machteshim Agan Industries Ltd *		245,307
	400	Teva Pharmaceutical Industries Ltd		19,533
	51,570	Teva Pharmaceutical Industries Ltd Sponsored ADR		2,530,540

See accompanying notes to the financial statements.

6

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Israel — continued
	205	The Israel Corp Ltd		219,029
		Total Israel		6,062,636
		Malaysia — 4.4%
	71,700	Digi.com Berhad		532,858
	667,800	Genting Berhad		1,412,634
	182,700	Hong Leong Bank Berhad		317,181
	1,085,790	IOI Corp Berhad		2,700,590
	177,500	KNM Group Berhad		333,902
	104,050	Kuala Lumpur Kepong Berhad		596,702
	447,750	Malayan Banking Berhad		1,263,890
	229,200	MISC Berhad		640,648
	257,300	MISC Berhad (Foreign Registered)		704,154
	256,385	Public Bank Berhad		837,567
	1,810,500	Resorts World Berhad		2,093,991
	775,900	RHB Capital Berhad		1,190,264
	665,152	Sime Darby Berhad *		2,415,327
	152,009	Tanjong Plc		755,201
	344,400	Telekom Malaysia Berhad		1,215,841
	190,100	Tenaga Nasional Berhad		533,381
		Total Malaysia		17,544,131
		Mexico — 0.5%
	66,100	Alfa SA de CV Class A		413,511
	625,238	Cemex SA de CV CPO *		1,716,340
		Total Mexico		2,129,851
		Pakistan — 0.1%
	20,650	Attock Refinery Ltd		90,162
	20,500	Engro Chemical Pakistan Ltd		104,595
	80	Kot Addu Power Co Ltd		69
	18,260	MCB Bank Ltd		126,879
	69,180	Oil & Gas Development Co Ltd		142,379
		Total Pakistan		464,084

See accompanying notes to the financial statements.

7

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Philippines — 1.2%
	76,160	Ayala Corp		802,158
	2,659,344	Ayala Land Inc		755,730
	617,600	Bank of the Philippine Islands		833,605
	26,680	Philippine Long Distance Telephone Co		1,882,498
	6,390	Philippine Long Distance Telephone Co Sponsored ADR (a)		453,370
		Total Philippines		4,727,361
		Poland — 1.1%
	6,100	Bank Handlowy W Warszawie SA		208,402
	22,380	KGHM Polska Miedz SA		1,035,627
	69,800	Polski Koncern Naftowy Orlen SA *		1,184,072
	56,470	Powszechna Kasa Oszczednosci Bank Polski SA		1,012,321
	100,720	Telekomunikacja Polska SA		938,286
		Total Poland		4,378,708
		Russia — 10.5%
	13,750	AvtoVAZ		24,750
	9,480	Cherepovets MK Severstal		246,480
	34,770	Cherepovets MK Severstal GDR (Registered Shares)		886,635
	10,800	Evraz Group SA GDR		1,015,200
	23,200	Gazprom Neft		135,720
	66,100	Gazprom Neft Sponsored ADR		2,082,150
	57,000	JSC Mining & Smelting Co ADR		1,664,400
	42,900	KamAZ *		248,820
	4,100	Lukoil ADR 144A		303,400
	33,880	Lukoil Sponsored ADR		2,507,120
	31,110	Mobile Telesystems Sponsored ADR		2,552,887
	3,300	NovaTek OAO Sponsored GDR		251,460
	13,200	Novolipetsk Steel GDR (Registered Shares)		604,824
	330,744	OAO Gazprom Sponsored GDR		16,801,795
	15,917	OAO Mechel ADR		2,101,840
	9,450	OAO Tatneft Sponsored GDR (Registered Shares)		1,185,975
	1,678,590	Sberbank RF		5,589,705
	16,800	Surgutneftegaz Sponsored ADR		772,800

See accompanying notes to the financial statements.

8

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Russia — continued
	55,130	Vimpel-Communications Sponsored ADR		1,914,665
	11,620	Wimm-Bill-Dann Foods ADR		1,223,121
	9,500	X5 Retail Group NV GDR (Registered Shares) *		320,150
		Total Russia		42,433,897
		South Africa — 3.8%
	34,052	Absa Group Ltd		481,996
	102,900	African Bank Investments Ltd		405,373
	57,067	ArcelorMittal South Africa Ltd		1,353,321
	40,167	Aveng Ltd		315,730
	37,500	Barloworld Ltd		451,549
	19,200	Bidvest Group Ltd		283,131
	385,500	FirstRand Ltd		912,323
	37,500	Foschini Ltd		198,007
	57,900	Freeworld Coatings Ltd *		72,378
	10,200	Impala Platinum Holdings Ltd		422,084
	18,600	Imperial Holdings Ltd		188,159
	117,700	MTN Group Ltd		1,843,098
	103,300	Murray & Roberts Holdings Ltd		1,292,286
	34,307	Remgro Ltd		884,964
	39,200	Reunert Ltd		285,763
	92,800	RMB Holdings Ltd		328,394
	298,600	Sanlam Ltd		709,617
	53,800	Sasol Ltd		2,751,439
	89,068	Standard Bank Group Ltd		1,111,601
	168,000	Steinhoff International Holdings Ltd		385,853
	23,100	Telkom South Africa Ltd		411,909
	24,024	Tiger Brands Ltd		427,610
		Total South Africa		15,516,585
		South Korea — 14.8%
	750	CJ CheilJedang Corp *		214,445
	9,390	Daelim Industrial Co Ltd		1,461,157
	10,366	Daewoo Engineering & Construction Co Ltd		221,886

See accompanying notes to the financial statements.

9

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	11,700	Daewoo International Corp		441,694
	4,240	DC Chemical Co Ltd		1,517,313
	15,939	Dongbu Insurance Co Ltd		631,074
	12,380	Dongkuk Steel Mill Co Ltd		553,782
	6,850	Doosan Heavy Industries and Construction Co		989,424
	7,540	GS Holdings Corp		365,552
	14,820	Hana Financial Group Inc		657,608
	14,218	Hanjin Heavy Industries & Construction Co Ltd		871,038
	12,811	Hanjin Heavy Industries & Construction Holdings Co Ltd *		453,598
	9,486	Hanwha Corp		576,990
	2,098	Honam Petrochemical Corp		204,037
	33,760	Hynix Semiconductor Inc *		868,151
	10,739	Hyundai Engineering & Construction		965,857
	5,020	Hyundai Heavy Industries		1,988,022
	30,800	Hyundai Marine & Fire Insurance Co Ltd		688,867
	1,135	Hyundai Mipo Dockyard		319,375
	17,380	Hyundai Mobis		1,334,071
	30,280	Hyundai Motor Co		2,123,147
	15,140	Hyundai Steel Co		1,171,359
	34,940	Industrial Bank of Korea		563,328
	8,810	Kangwon Land Inc		192,867
	2,280	KCC Corp		1,344,221
	30,280	Kookmin Bank		1,866,144
	800	Kookmin Bank ADR *		48,984
	52,310	Korea Exchange Bank		731,497
	8,677	Korea Gas Corp		647,216
	412	Korea Iron & Steel Co Ltd		33,385
	40	Korea Zinc Co Ltd		6,040
	8,116	Korean Air Lines Co Ltd		613,199
	840	KT Corp		41,301
	34,000	KT Corp ADR *		825,860
	7,150	KT Freetel Co Ltd *		186,476
	32,914	KT&G Corp		2,715,616
	14,500	KT&G Corp GDR 144A *		594,645

See accompanying notes to the financial statements.

10

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	606	Kumho Industrial Co Ltd		29,434
	8,180	LG Chemicals Ltd		683,690
	13,860	LG Corp		963,987
	14,060	LG Electronics Inc		1,514,311
	58,010	LG Philips LCD Co Ltd		2,756,031
	2,810	Mirae Asset Securities Co Ltd		400,677
	12,989	NHN Corp *		2,882,739
	1,890	Oriental Brewery Co Ltd *		362,153
	6,240	POSCO		3,432,144
	19,980	Samsung Corp		1,218,870
	7,228	Samsung Electronics Co Ltd		4,236,853
	9,220	Samsung Fire & Marine Insurance Co Ltd		1,822,540
	12,270	Samsung Heavy Industries Co Ltd		406,749
	6,350	Samsung Securities		440,926
	59,775	Shinhan Financial Group Co Ltd		3,220,008
	2,080	Shinsegae Co Ltd		1,291,519
	11,881	SK Energy Co Ltd		1,613,121
	54,740	SK Telecom Co Ltd ADR		1,226,176
	4,290	S-Oil Corp		303,119
	5,410	STX Shipping Co Ltd		213,713
	18,160	Taihan Electric Wire Co Ltd		884,830
	32,881	Woori Finance Holdings Co Ltd		588,815
		Total South Korea		59,521,631
		Taiwan — 12.1%
	459,516	Asustek Computer Inc		1,268,608
	1,006,863	AU Optronics Corp		1,920,478
	412,000	Cathay Financial Holding Co Ltd		1,032,282
	1,612,080	Chi Mei Optoelectronics Corp		2,120,395
	2,460,429	China Development Financial Holding Corp		1,007,499
	763,723	China Steel Corp		1,128,388
	1,709,604	Chinatrust Financial Holding Co Ltd *		1,528,402
	1,307,327	Chunghwa Telecom Co Ltd		3,250,442
	7,240	Chungwa Telecom Co Ltd ADR		177,670

See accompanying notes to the financial statements.

11

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	940,799	Compal Electronics Inc		847,924
	213,028	D-Link Corp		338,441
	1,099,549	Far Eastern Textile Co Ltd		1,791,427
	1,254,486	First Financial Holding Co Ltd		1,119,940
	989,039	Formosa Chemicals & Fibre Co		2,403,530
	131,000	Formosa Petrochemical Corp		362,480
	1,037,178	Formosa Plastics Corp		2,795,905
	134,320	Foxconn Technology Co Ltd		876,281
	777,000	Hannstar Display Corp *		334,224
	95,800	High Tech Computer Corp		1,977,668
	555,557	Hon Hai Precision Industry Co Ltd		3,314,520
	414,443	Lite-On Technology Corp		566,143
	233,334	MediaTek Inc		2,616,961
	1,553,417	Nan Ya Plastics Corp		3,658,376
	149,339	Novatek Microelectronics Corp Ltd		525,496
	669,914	Quanta Computer Inc		878,223
	474,341	Siliconware Precision Industries Co		772,988
	1,201,805	Taiwan Cement Corp		2,138,097
	64,000	Taiwan Fertilizer Co Ltd		249,624
	475,787	Taiwan Mobile Co Ltd		806,048
	1,759,455	Taiwan Semiconductor Manufacturing Co Ltd		3,437,172
	17,450	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		169,963
	191,000	U-Ming Marine Transport Co		525,150
	187,000	Unimicron Technology Corp		282,168
	479,000	Wistron Corp		791,005
	1,875,000	Yuanta Financial Holding Co Ltd *		1,643,808
		Total Taiwan		48,657,726
		Thailand — 5.2%
	338,690	Advanced Info Service Pcl (Foreign Registered) (b)		1,115,365
	225,440	Bangkok Bank Pcl NVDR (b)		920,459
	261,300	Bangkok Dusit Medical Service Pcl (Foreign Registered) (b)		276,243
	914,780	Bank of Ayudhya Pcl NVDR (b)		707,041
	81,340	Banpu Pcl (Foreign Registered) (b)		1,218,689

See accompanying notes to the financial statements.

12

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Thailand — continued
	50,000	Banpu Pcl NVDR (b)		749,133
	993,640	BEC World Pcl (Foreign Registered) (b)		859,029
	3,608,950	IRPC Pcl (Foreign Registered) (b)		679,446
	2,212,670	Italian Thai Development Pcl (Foreign Registered) * (b)		624,005
	327,000	Kasikornbank Pcl (Foreign Registered) (b)		916,660
	176,560	Kasikornbank Pcl NVDR (b)		486,645
	1,020,000	Krung Thai Bank Pcl (Foreign Registered) (b)		346,751
	615,054	PTT Aromatics & Refining Pcl (Foreign Registered) * (b)		825,609
	390,000	PTT Exploration & Production Pcl (Foreign Registered) (b)		1,963,023
	508,222	PTT Pcl (Foreign Registered) (b)		5,435,053
	77,039	Siam Cement Pcl NVDR (b)		523,591
	466,000	Siam Commercial Bank Pcl (Foreign Registered) (b)		1,277,256
	297,400	Thai Airways International Pcl (Foreign Registered) (b)		301,585
	515,770	Thai Oil Pcl (Foreign Registered) (b)		1,275,365
	254,240	Thoresen Thai Agencies Pcl (Foreign Registered) (b)		379,742
		Total Thailand		20,880,690
		Turkey — 3.0%
	211,158	Akbank TAS		1,117,797
	246,970	Dogan Sirketler Grubu Holdings AS *		310,731
	160,618	Eregli Demir ve Celik Fabrikalari TAS		1,129,393
	165,730	KOC Holding AS *		624,166
	61,834	Tupras-Turkiye Petrol Rafineriler AS		1,567,681
	41,720	Turk Hava Yollari Anonim Ortakligi *		247,879
	192,897	Turkcell Iletisim Hizmet AS		1,905,895
	464,070	Turkiye Garanti Bankasi		2,752,177
	52,650	Turkiye Halk Bankasi AS *		333,160
	277,830	Turkiye IS Bankasi Class C		1,274,330
	256,110	Turkiye Vakiflar Bankasi TAO Class D		598,716
	190,010	Yapi Ve Kredi Bankasi AS *		429,496
		Total Turkey		12,291,421
		TOTAL COMMON STOCKS (COST $284,841,600)		334,494,382

See accompanying notes to the financial statements.

13

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		PREFERRED STOCKS — 12.5%
		Brazil — 11.4%
	53,500	Aracruz SA Class B (Registered) 5.55%		386,911
	68,364	Banco Bradesco SA 0.32%		2,134,480
	116,300	Banco Itau Holding Financeira SA 2.81%		2,929,679
	29,600	Bradespar SA 0.28%		770,150
	13,600	Brasil Telecom Participacoes SA 4.46%		189,794
	28,932	Brasil Telecom SA 3.98%		321,296
	63,509	Companhia Energetica de Minas Gerais 2.29%		1,209,266
	26,200	Companhia Paranaense de Energia Class B 2.20%		426,209
	245,956	Companhia Vale do Rio Doce Class A 0.05%		7,251,710
	26,800	Electrobras (Centro) SA Class B 6.09%		393,022
	31,900	Gerdau Metalurgica SA 2.65%		1,405,328
	90,004	Gerdau SA 2.11%		2,941,057
	429,269	Itausa-Investimentos Itau SA 0.11%		2,728,781
	29,600	Net Servicos de Comunicacoa SA *		325,738
	300,612	Petroleo Brasileiro SA (Petrobras) 0.43%		14,478,651
	16,730	Petroleo Brasileiro SA Sponsored ADR 0.38%		1,638,369
	143,700	Sadia SA 3.09%		812,354
	21,220	Tele Norte Leste Participacoes ADR 3.52%		531,137
	62,700	Tele Norte Leste Participacoes SA 0.19%		1,564,997
	16,100	Telecomunicacoes de Sao Paulo SA 6.72%		460,027
	21,100	Telemar Norte Leste SA Class A 3.67%		1,135,415
	34,400	Usinas Siderrurgicas de Minas Gerais SA Class A 2.26%		1,993,495
		Total Brazil		46,027,866
		India — 0.0%
	48,141	Tata Steel Ltd *		151,587
		Russia — 0.2%
	560	Transneft 0.66%		814,800

See accompanying notes to the financial statements.

14

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		South Korea — 0.9%
	8,600	Hyundai Motor Co 3.86%		245,918
	14,660	Hyundai Motor Co 4.03%		422,155
	6,362	Samsung Electronics Co Ltd (Non Voting) 3.69%		2,731,083
		Total South Korea		3,399,156
		TOTAL PREFERRED STOCKS (COST $26,826,473)		50,393,409
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	978	Banco Bradesco SA Rights, Expires 02/22/08 * (c)		2,573
	325	Net Servicos de Comunicacao SA Right, Expires 03/07/08 *		23
		Total Brazil		2,596
		India — 0.0%
	936	State Bank of India Rights, Expires 03/18/08 *		10,496
		Thailand — 0.0%
	116,526	True Corp Pcl Warrants, Expires 04/03/08 * (b)		—
		TOTAL RIGHTS AND WARRANTS (COST $10,481)		13,092
		SHORT-TERM INVESTMENTS — 3.5%
	13,400,000	Bank of America Time Deposit, 3.05%, due 03/03/08		13,400,000
	442,500	Bank of New York Mellon Institutional Cash Reserves Fund (d)		442,500
		TOTAL SHORT-TERM INVESTMENTS (COST $13,842,500)		13,842,500
		TOTAL INVESTMENTS — 99.0% (Cost $325,521,054)		398,743,383
		Other Assets and Liabilities (net) — 1.0%		4,182,564
		TOTAL NET ASSETS — 100.0%	$	402,925,947

See accompanying notes to the financial statements.

15

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

(a)  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).

(c)  As of February 29, 2008, these rights have been exercised but shares have not yet been credited to the Fund.

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

As of February 29, 2008, 60.01% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

16

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $425,700 (cost $325,521,054) (Note 2)	$	398,743,383
Cash		21,285
Foreign currency, at value (cost $3,602,523) (Note 2)		3,604,346
Receivable for investments sold		1,675,730
Receivable for Fund shares sold		4,022,753
Dividends and interest receivable		1,484,199
Foreign taxes receivable		261,778
Receivable for expenses reimbursed by Manager (Note 3)		121,364
Total assets		409,934,838
Liabilities:
Collateral on securities loaned, at value (Note 2)		442,500
Payable for investments purchased		1,657,378
Payable for Fund shares repurchased		4,069,009
Accrued capital gain and repatriation taxes payable (Note 2)		35,921
Payable to affiliate for (Note 3):
Management fee		203,528
Shareholder service fee		43,333
Administration fee – Class M		4,848
Trustees and Chief Compliance Officer of GMO Trust fees		481
Payable for 12b-1 fee – Class M		12,926
Accrued expenses		538,967
Total liabilities		7,008,891
Net assets	$	402,925,947

See accompanying notes to the financial statements.

17

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	287,496,404
Distributions in excess of net investment income		(1,034,768	)
Accumulated net realized gain		43,228,643
Net unrealized appreciation		73,235,668
	$	402,925,947
Net assets attributable to:
Class III shares	$	371,540,398
Class M shares	$	31,385,549
Shares outstanding:
Class III		24,344,633
Class M		2,082,814
Net asset value per share:
Class III	$	15.26
Class M	$	15.07

See accompanying notes to the financial statements.

18

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $1,319,123)	$	9,673,520
Interest		487,137
Securities lending income		31,044
Total investment income		10,191,701
Expenses:
Management fee (Note 3)		2,738,143
Shareholder service fee – Class III (Note 3)		580,553
12b-1 fee – Class M (Note 3)		85,544
Administration fee – Class M (Note 3)		68,435
Custodian and fund accounting agent fees		1,270,760
Transfer agent fees		47,979
Audit and tax fees		82,405
Legal fees		10,540
Trustees fees and related expenses (Note 3)		4,110
Registration fees		19,903
Miscellaneous		8,202
Total expenses		4,916,574
Fees and expenses reimbursed by Manager (Note 3)		(131,074	)
Expense reductions (Note 2)		(2,623	)
Net expenses		4,782,877
Net investment income (loss)		5,408,824
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $348,376) (Note 2)		119,077,558
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $5,493) (Note 2)		(330,903	)
Net realized gain (loss)		118,746,655
Change in net unrealized appreciation (depreciation) on:
Investments (net of change in foreign capital gains tax accrual of $17,159) (Note 2)		(14,535,972	)
Foreign currency, forward contracts and foreign currency related transactions		41,730
Net unrealized gain (loss)		(14,494,242	)
Net realized and unrealized gain (loss)		104,252,413
Net increase (decrease) in net assets resulting from operations	$	109,661,237

See accompanying notes to the financial statements.

19

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,408,824		$	6,550,482
Net realized gain (loss)		118,746,655			124,974,708
Change in net unrealized appreciation (depreciation)		(14,494,242	)		(76,541,791	)
Net increase (decrease) in net assets from operations		109,661,237			54,983,399
Distributions to shareholders from:
Net investment income
Class III		(6,266,144	)		(6,274,494	)
Class M		(465,425	)		(451,963	)
Total distributions from net investment income		(6,731,569	)		(6,726,457	)
Net realized gains
Class III		(113,812,595	)		(97,439,141	)
Class M		(10,207,292	)		(9,313,319	)
Total distributions from net realized gains		(124,019,887	)		(106,752,460	)
		(130,751,456	)		(113,478,917	)
Net share transactions (Note 7):
Class III		51,505,212			46,234,476
Class M		3,819,194			(22,200,886	)
Increase (decrease) in net assets resulting from net share transactions		55,324,406			24,033,590
Total increase (decrease) in net assets		34,234,187			(34,461,928	)
Net assets:
Beginning of period		368,691,760			403,153,688
End of period (including distributions in excess of net investment income of $1,034,768 and $1,208,158, respectively)	$	402,925,947		$	368,691,760

See accompanying notes to the financial statements.

20

GMO Emerging Countries Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	16.04		$	19.20		$	15.99		$	14.99		$	8.54
Income (loss) from investment operations:
Net investment income (loss)		0.23	†		0.32	†		0.28	†		0.30	†		0.18
Net realized and unrealized gain (loss)		4.87			2.50			5.09			3.43			6.71
Total from investment operations		5.10			2.82			5.37			3.73			6.89
Less distributions to shareholders:
From net investment income		(0.30	)		(0.36	)		(0.35	)		(0.31	)		(0.22	)
From net realized gains		(5.58	)		(5.62	)		(1.81	)		(2.42	)		(0.22	)
Total distributions		(5.88	)		(5.98	)		(2.16	)		(2.73	)		(0.44	)
Net asset value, end of period	$	15.26		$	16.04		$	19.20		$	15.99		$	14.99
Total Return		30.68	%(a)		16.20	%		36.38	%(a)		28.76	%(a)		81.45	%(a)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	371,540		$	339,268		$	346,018		$	249,005		$	249,844
Net expenses to average daily net assets		1.11	%(b)		1.06	%		1.10	%		1.10	%		1.16	%
Net investment income to average daily net assets		1.31	%		1.74	%		1.68	%		2.12	%		1.82	%
Portfolio turnover rate		72	%		58	%		35	%		53	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		—			0.01	%		0.05	%		0.06	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

21

GMO Emerging Countries Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	15.90		$	19.05		$	15.87		$	14.91		$	8.51
Income (loss) from investment operations:
Net investment income (loss)		0.18	†		0.30	†		0.27	†		0.26	†		0.11
Net realized and unrealized gain (loss)		4.82			2.44			5.00			3.39			6.71
Total from investment operations		5.00			2.74			5.27			3.65			6.82
Less distributions to shareholders:
From net investment income		(0.25	)		(0.27	)		(0.28	)		(0.27	)		(0.20	)
From net realized gains		(5.58	)		(5.62	)		(1.81	)		(2.42	)		(0.22	)
Total distributions		(5.83	)		(5.89	)		(2.09	)		(2.69	)		(0.42	)
Net asset value, end of period	$	15.07		$	15.90		$	19.05		$	15.87		$	14.91
Total Return		30.29	%(a)		15.89	%		35.99	%(a)		28.30	%(a)		80.98	%(a)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	31,386		$	29,423		$	57,136		$	69,109		$	58,346
Net expenses to average daily net assets		1.41	%(b)		1.36	%		1.39	%		1.40	%		1.45	%
Net investment income to average daily net assets		0.99	%		1.63	%		1.65	%		1.82	%		1.27	%
Portfolio turnover rate		72	%		58	%		35	%		53	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		—			0.01	%		0.05	%		0.06	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding during the period.

See accompanying notes to the financial statements.

22

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Emerging Countries 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming the S&P/IFC (Investable) Composite Index. The Fund typically makes equity investments in companies whose stocks are traded in the securities markets of the world's non-developed countries, which excludes countries that are included in the MSCI EAFE Index.

Throughout the year ended February 29, 2008, 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.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to

23

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. 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

24

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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

25

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

loss. The risk associated with purchasing put and call options is limited to the premium paid. There were no purchased option contracts outstanding at the end of the period.

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

26

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $425,700, collateralized by cash in the amount of $442,500, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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.

27

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. The accrual for capital gains and repatriation taxes is included in net unrealized gain (loss) in the Statement of Operations. For the year ended February 29, 2008, the Fund incurred $348,376 in capital gains taxes which is included in net realized gain (loss) in the Statement of Operations.

The Fund is currently subject to a Taiwanese security transaction tax of 0.3% of the transaction amount on equities and 0.1% of the transaction amount on corporate bonds and mutual fund shares, which must be paid by the Fund upon the sale or transfer of any portfolio securities subject to such tax.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. The CPMF tax has been included in the net realized gain (loss) on investments throughout the year. For the year ended February 29, 2008, the Fund incurred $5,493 in CPMF tax which is included in net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, losses on wash sale transactions, post-October currency losses and foreign currency transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	1,496,135	$	(1,634,115	)	$	137,980

28

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	22,711,741	$	17,374,220
Long-term capital gains		108,039,715		96,104,697
Total distributions	$	130,751,456	$	113,478,917

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	3,982,667
Undistributed long-term capital gain	$	40,961,616

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October currency losses of $594,300.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	327,673,328	$	86,549,365	$	(15,479,310	)	$	71,070,055

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

29

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

Investments in securities of issuers in emerging countries present certain risks that are not inherent in many other investments. Many emerging countries present elements of political and/or economic instability. The securities markets of emerging countries are generally smaller and less developed than the securities markets of the U.S. and developed foreign markets. Further, countries may impose various types of foreign currency regulations or controls which may impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities in anticipation of improving conditions in the related countries. These factors may result in significant volatility in the values of its holdings. The markets in emerging countries are typically less liquid than those of developed markets. Accordingly, the Fund may not be able to realize in an actual sale amounts approximating those used to value its holdings.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

30

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.65% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

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

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 Class M net assets. This fee may be spent on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding the administration fee (Class M only), distribution (12b-1) fee (Class M only), shareholder service fees (Class III only), fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 1.00% of the 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 29, 2008 was $3,558 and $1,859 respectively. The compensation and expenses of the CCO

31

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $292,284,768 and $374,390,380, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 27.33% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.10% of the Fund's shares were held by eight related parties comprised of certain GMO employee accounts, and 18.26% of the Fund's shares were held by accounts for which the Manager has investment discretion.

32

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		957,007		$	16,034,781			1,442,762		$	27,694,596
Shares issued to shareholders in reinvestment of distributions		6,663,042			113,483,330			5,918,651			97,273,044
Shares repurchased		(4,425,134	)		(78,012,899	)		(4,234,129	)		(78,733,164	)
Net increase (decrease)		3,194,915		$	51,505,212			3,127,284		$	46,234,476
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class M:	Shares			Amount			Shares			Amount
Shares sold		628,963		$	10,927,518			917,075		$	16,897,698
Shares issued to shareholders in reinvestment of distributions		634,368			10,672,717			598,918			9,765,282
Shares repurchased		(1,031,321	)		(17,781,041	)		(2,664,680	)		(48,863,866	)
Net increase (decrease)		232,010		$	3,819,194			(1,148,687	)	$	(22,200,886	)

33

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Emerging Countries 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 Emerging Countries Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

34

GMO Emerging Countries Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 though February 29, 2008.

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, an $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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 Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		1.12	%	$	1,000.00	$	1,048.00	$	5.70
2) Hypothetical		1.12	%	$	1,000.00	$	1,019.29	$	5.62
Class M
1) Actual		1.42	%	$	1,000.00	$	1,046.60	$	7.23
2) Hypothetical		1.42	%	$	1,000.00	$	1,017.80	$	7.12

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

35

GMO Emerging Countries Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $108,039,715 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $1,317,663 and recognized foreign source income of $10,992,643.

For taxable, non-corporate shareholders, 17.55% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $70,408 and $15,980,172, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

36

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

37

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

38

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002-2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

39

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

40

GMO Global Growth Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Global Growth Fund

(A Series of GMO Trust)

Portfolio Managers

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 Global Growth Fund returned +3.1% for the fiscal year ended February 29, 2008, as compared to -0.5% for the MSCI World Index and +3.5% for the S&P/Citigroup PMI World Growth Index. The Fund was invested substantially in global equity securities throughout the period.

Country allocation had minimal impact on relative performance. Among country positions, the positive impact of our underweight to Japan was largely offset by the negative impact from our underweight to Canada.

Sector weightings had a negative impact on performance relative to the Growth index. During the period, an overweight position in Consumer Discretionary and an underweight position in Consumer Staples detracted.

Currency allocation had a positive impact on relative performance as our underweight in the U.S. dollar and overweight in the Swiss franc added value. The U.S. dollar weakened relative to most foreign currencies, which boosted returns for U.S. investors. The MSCI World Index returned almost 6% more in U.S. dollar terms than in local currency.

Among GMO's global quantitative stock selection disciplines, only stocks ranked highly by momentum outperformed significantly (and price momentum did much better than earnings revision momentum). Those stocks favored by intrinsic value underperformed.

Stock selection had a positive impact on relative performance. Among the most significant contributors were holdings in German automaker Volkswagen and Hong Kong Exchanges & Clearing, both of which outperformed. Holdings in Royal Bank of Scotland and Fannie Mae underperformed, which hurt returns.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .25% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO Global Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		1.4
Preferred Stocks		0.6
Forward Currency Contracts		0.2
Rights and Warrants		0.0
Other		(0.1	)
		100.0	%
Country Summary	% of Equity Investments
United States		45.3	%
United Kingdom		9.0
Japan		7.0
Germany		6.5
France		5.0
Finland		4.0
Hong Kong		3.5
Singapore		3.1
Canada		3.1
Australia		2.9
Switzerland		2.5
Denmark		1.6
Norway		1.3
Spain		1.2
Italy		1.1
Netherlands		1.0
Sweden		1.0
Belgium		0.4
Ireland		0.3
Austria		0.2
		100.0	%

1

GMO Global Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Information Technology		14.5	%
Energy		14.3
Financials		13.7
Health Care		13.5
Industrials		11.3
Consumer Discretionary		9.3
Materials		9.2
Consumer Staples		8.0
Utilities		3.9
Telecommunication Services		2.3
		100.0	%

2

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Australia — 2.8%
	9,762	BHP Billiton Ltd		353,216
	1,580	Commonwealth Bank of Australia		61,184
	2,324	CSL Ltd		77,946
	694	Macquarie Group Ltd		34,659
	3,104	QBE Insurance Group Ltd		64,202
	827	Rio Tinto Ltd		103,048
	15,616	Telstra Corp Ltd		70,200
	3,028	Woodside Petroleum Ltd		158,339
	2,326	Woolworths Ltd		62,121
		Total Australia		984,915
		Austria — 0.2%
	234	Oesterreichische Elektrizitaetswirtschafts AG Class A		17,319
	886	OMV AG		64,018
		Total Austria		81,337
		Belgium — 0.4%
	2,924	Fortis		64,598
	743	Inbev NV		67,153
	67	UCB SA		3,176
		Total Belgium		134,927
		Canada — 3.0%
	700	Bank of Nova Scotia		33,988
	1,400	Canadian Natural Resources		104,916
	1,100	Canadian Pacific Railway Ltd		79,953
	1,700	EnCana Corp		129,592
	1,200	Husky Energy Inc		50,841
	500	Imperial Oil Ltd		28,118
	1,800	Potash Corp of Saskatchewan Inc		286,171
	2,100	Research In Motion Ltd *		218,758
	700	Suncor Energy Inc		72,187

See accompanying notes to the financial statements.

3

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Canada — continued
	500	Toronto Dominion Bank		33,477
		Total Canada		1,038,001
		Denmark — 1.5%
	7	AP Moller-Maersk A/S		71,931
	800	Danske Bank A/S		30,559
	564	FLSmidth & Co A/S		52,659
	3,900	Novo-Nordisk A/S		266,793
	1,100	Vestas Wind Systems A/S *		111,516
		Total Denmark		533,458
		Finland — 4.0%
	3,710	Fortum Oyj		154,902
	1,858	Kone Oyj		65,011
	1,015	Metso Oyj		52,808
	21,978	Nokia Oyj		789,617
	1,531	Nokian Renkaat Oyj		62,944
	1,406	Rautaruukki Oyj		61,302
	4,225	Sampo Oyj Class A		114,668
	1,085	Wartsila Oyj Class B		74,167
		Total Finland		1,375,419
		France — 4.9%
	530	Alstom		111,385
	3,232	Arcelor Mittal		245,401
	2,098	BNP Paribas		187,561
	3,039	Electricite de France		283,447
	1,091	Peugeot SA		82,937
	5,675	Sanofi-Aventis		419,454
	513	Societe Generale		54,891
	128	Societe Generale NV (New Shares) *		14,065
	3,801	Total SA		286,231
		Total France		1,685,372

See accompanying notes to the financial statements.

4

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — 5.9%
	345	Allianz SE (Registered)		59,476
	1,325	Altana AG		30,865
	1,634	BASF AG		208,949
	1,846	Bayer AG		142,067
	2,028	Daimler AG (Registered) (a)		168,879
	1,008	Deutsche Boerse AG		160,398
	1,750	E.ON AG		329,483
	219	K&S AG		63,723
	762	MAN AG		100,509
	21	Merck KGaA		2,611
	774	Metro AG		64,194
	652	Q-Cells AG *		52,560
	1,317	Siemens AG (Registered)		167,949
	996	Solarworld AG		45,018
	2,014	ThyssenKrupp AG		115,820
	1,186	Volkswagen AG		270,046
	192	Wacker-Chemie AG		40,784
		Total Germany		2,023,331
		Hong Kong — 3.4%
	4,800	Bank of East Asia Ltd		25,782
	8,000	Cheung Kong Holdings Ltd		119,499
	18,500	CLP Holdings Ltd		144,617
	8,600	Esprit Holdings Ltd		108,076
	24,000	Hang Lung Properties Ltd		86,180
	6,300	Hang Seng Bank Ltd		119,248
	32,000	Hong Kong & China Gas		93,185
	500	Hong Kong Electric Holdings Ltd		2,832
	10,000	Hong Kong Exchanges and Clearing Ltd		189,971
	18,000	Li & Fung Ltd		65,472
	23,000	New World Development Co Ltd		61,824
	9,000	Sun Hung Kai Properties Ltd		156,838
		Total Hong Kong		1,173,524

See accompanying notes to the financial statements.

5

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Ireland — 0.3%
	1,734	Allied Irish Banks Plc		35,102
	5,593	Bank of Ireland		78,678
		Total Ireland		113,780
		Italy — 1.1%
	10,640	ENI SPA		367,412
		Japan — 6.9%
	700	Astellas Pharma Inc		30,594
	1,200	Canon Inc		53,790
	700	Daikin Industries Ltd		31,498
	700	Daito Trust Construction Co Ltd		37,975
	7,000	Fuji Heavy Industries Ltd		30,537
	8,000	Honda Motor Co Ltd		244,203
	700	JFE Holdings Inc		31,190
	3,200	Komatsu Ltd		81,294
	15,000	Marubeni Corp		113,567
	2,900	Mitsubishi Corp		88,480
	2,000	Mitsubishi Estate Co Ltd		48,741
	5,000	Mitsui & Co		108,737
	2,000	Mitsui Fudosan Co Ltd		40,608
	5,000	Mitsui OSK Lines Ltd		64,939
	1,000	Nikon Corp		28,010
	800	Nintendo Co Ltd		398,317
	10,500	Nippon Mining Holdings Inc		62,190
	12,000	Nippon Oil Corp		81,860
	10,000	Nippon Steel Corp		52,612
	5,000	Nippon Yusen KK		46,202
	11,200	Nissan Motor Co		100,721
	7	NTT Data Corp		32,757
	15,000	Osaka Gas Co Ltd		60,185
	4,700	Seven & I Holdings Co Ltd		116,867
	1,900	Shin-Etsu Chemical Co Ltd		102,536
	900	SUMCO Corp		19,902
	3,200	Takeda Pharmaceutical Co Ltd		178,557

See accompanying notes to the financial statements.

6

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	5,000	Tokyo Gas Co Ltd		22,429
	2,000	TonenGeneral Sekiyu KK		18,987
	5,000	Toshiba Corp		37,504
		Total Japan		2,365,789
		Netherlands — 1.0%
	2,145	Heineken NV		120,979
	6,658	ING Groep NV		221,257
		Total Netherlands		342,236
		Norway — 1.3%
	3,700	DnB NOR ASA		54,122
	3,200	Orkla ASA		39,779
	10,138	StatoilHydro ASA		308,918
	2,100	Telenor ASA *		43,001
		Total Norway		445,820
		Singapore — 3.0%
	26,000	Capitaland Ltd		114,869
	9,000	City Developments Ltd		75,535
	18,000	Keppel Corp Ltd		135,633
	19,000	Oversea-Chinese Banking Corp		102,496
	6,800	Singapore Airlines Ltd		73,759
	11,000	Singapore Exchange Ltd		64,005
	43,000	Singapore Technologies Engineering Ltd		103,972
	85,320	Singapore Telecommunications		230,852
	11,000	United Overseas Bank Ltd		139,473
		Total Singapore		1,040,594
		Spain — 1.2%
	137	Acciona SA		34,803
	1,239	Gas Natural SDG SA		75,076
	701	Inditex SA		36,139
	2,174	Repsol YPF SA		74,996

See accompanying notes to the financial statements.

7

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Spain — continued
	6,937	Telefonica SA		200,733
		Total Spain		421,747
		Sweden — 1.0%
	475	Alfa Laval AB		25,507
	1,125	Hennes & Mauritz AB Class B		63,099
	3,900	Sandvik AB		65,762
	1,200	Scania AB Class B		28,950
	400	SSAB Svenskt Stal AB Series A		11,200
	2,000	Svenska Cellulosa AB Class B		32,829
	1,700	Swedbank AB		45,947
	1,500	Tele2 AB Class B		26,365
	2,800	Volvo AB Class B		41,569
		Total Sweden		341,228
		Switzerland — 2.5%
	6,440	ABB Ltd		160,448
	800	Alcon Inc		115,784
	178	Nestle SA (Registered)		84,957
	7,319	Novartis AG (Registered)		361,506
	416	Zurich Financial Services AG		130,046
		Total Switzerland		852,741
		United Kingdom — 8.9%
	5,245	AstraZeneca Plc		196,045
	18,666	Barclays Plc		174,944
	9,030	BG Group Plc		212,846
	7,049	BHP Billiton Plc		225,498
	2,825	British American Tobacco Plc		105,929
	407	Cairn Energy Plc *		21,836
	9,639	Centrica Plc		61,543
	6,214	GlaxoSmithKline Plc		135,643
	13,769	HBOS Plc		163,616
	4,475	HSBC Holdings Plc		67,650

See accompanying notes to the financial statements.

8

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	2,255	Imperial Tobacco Group Plc		104,389
	5,929	J Sainsbury Plc		41,568
	522	London Stock Exchange		13,998
	1,622	Next Plc		41,137
	29,796	Old Mutual Plc		73,599
	3,152	Rio Tinto Plc		354,624
	51,044	Royal Bank of Scotland Group		385,920
	2,317	Royal Dutch Shell Group Class A (Amsterdam)		82,855
	3,258	Royal Dutch Shell Plc A Shares (London)		116,494
	2,755	SABMiller Breweries Plc		57,237
	2,715	Unilever Plc		85,540
	1,390	Vedanta Resources Plc		59,800
	68,742	Vodafone Group Inc		221,309
	12,410	William Morrison Supermarkets Plc		72,747
		Total United Kingdom		3,076,767
		United States — 44.6%
	3,100	3M Co.		243,040
	1,900	Abbott Laboratories		101,745
	1,000	Abercrombie & Fitch Co.-Class A		77,530
	1,800	Accenture Ltd.		63,450
	800	ACE Ltd.		44,992
	1,000	Adobe Systems, Inc. *		33,650
	1,000	Aetna, Inc.		49,600
	500	Air Products & Chemicals, Inc.		45,665
	1,200	Amazon.com, Inc. *		77,364
	1,000	American Express Co.		42,300
	3,300	American International Group, Inc.		154,638
	200	AmerisourceBergen Corp.		8,344
	1,200	Amgen, Inc. *		54,624
	1,700	Anadarko Petroleum Corp.		108,358
	700	Apache Corp.		80,297
	4,500	Apple, Inc. *		562,590
	800	Archer-Daniels-Midland Co.		36,080

See accompanying notes to the financial statements.

9

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	700	Autodesk, Inc. *		21,763
	2,700	Automatic Data Processing, Inc.		107,865
	1,500	Avon Products, Inc.		57,090
	1,700	Bank of New York Mellon Corp. (The)		74,579
	700	Bard (C.R.), Inc.		66,353
	2,300	Baxter International, Inc.		135,746
	1,200	Becton Dickinson & Co.		108,504
	2,400	Bed Bath & Beyond, Inc. *		68,016
	2,900	Best Buy Co., Inc.		124,729
	2,400	Boston Scientific Corp. *		30,216
	700	Bunge Ltd.		77,588
	500	Caterpillar, Inc.		36,165
	1,200	CH Robinson Worldwide, Inc.		60,924
	4,100	Chevron Corp.		355,306
	1,500	Chubb Corp.		76,350
	1,500	Citrix Systems, Inc. *		49,395
	100	CME Group, Inc.		51,330
	2,600	Coach, Inc. *		78,832
	1,500	Coca Cola Enterprises, Inc.		36,645
	6,500	Coca-Cola Co. (The)		379,990
	1,500	Cognizant Technologies Solutions Corp.-Class A *		45,315
	400	Colgate-Palmolive Co.		30,436
	3,942	ConocoPhillips		326,043
	500	Constellation Energy Group, Inc.		44,175
	1,500	Corning, Inc.		34,845
	700	CSX Corp.		33,964
	700	Danaher Corp.		51,905
	1,500	Deere & Co.		127,815
	2,900	Dell, Inc. *		57,565
	600	Diamond Offshore Drilling, Inc.		72,498
	3,400	eBay, Inc. *		89,624
	1,000	Ecolab, Inc.		46,790
	7,600	EMC Corp. *		118,104
	700	Emerson Electric Co.		35,672

See accompanying notes to the financial statements.

10

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	500	Energizer Holdings, Inc. *		46,415
	200	Entergy Corp.		20,548
	200	Everest Re Group Ltd.		19,376
	1,400	Expeditors International of Washington, Inc.		55,048
	1,000	Express Scripts, Inc. *		59,100
	8,000	Exxon Mobil Corp.		696,080
	800	Fastenal Co.		32,528
	200	Fluor Corp.		27,850
	2,200	Forest Laboratories, Inc. *		87,494
	700	Franklin Resources, Inc.		66,059
	700	Freeport-McMoRan Copper & Gold, Inc.		70,602
	2,600	Gap (The), Inc.		52,442
	500	Garmin Ltd.		29,355
	700	General Dynamics Corp.		57,295
	400	Genzyme Corp. *		28,368
	1,700	Gilead Sciences, Inc. *		80,444
	200	Goldman Sachs Group, Inc.		33,926
	800	Google, Inc.-Class A *		376,944
	1,900	Harley-Davidson, Inc.		70,604
	700	Hess Corp.		65,226
	6,400	Hewlett-Packard Co.		305,728
	6,900	Home Depot, Inc.		183,195
	1,000	Honeywell International, Inc.		57,540
	1,700	Illinois Tool Works, Inc.		83,419
	6,100	Intel Corp.		121,695
	3,100	International Business Machines Corp.		352,966
	400	Jacobs Engineering Group, Inc. *		32,116
	15,400	Johnson & Johnson		954,184
	700	Johnson Controls, Inc.		23,002
	1,700	JPMorgan Chase & Co.		69,105
	1,400	Juniper Networks, Inc. *		37,548
	1,500	Kroger Co.		36,375
	700	Lockheed Martin Corp.		72,240
	8,500	Lowe's Cos., Inc.		203,745

See accompanying notes to the financial statements.

11

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	1,000	Marathon Oil Corp.		53,160
	500	Mastercard, Inc.-Class A		95,000
	4,300	McDonald's Corp.		232,673
	2,100	McGraw-Hill Cos., Inc.		85,953
	500	McKesson Corp.		29,380
	2,000	Medco Health Solutions, Inc. *		88,620
	1,700	Medtronic, Inc.		83,912
	400	MEMC Electronic Materials, Inc. *		30,512
	5,100	Merck & Co., Inc.		225,930
	1,200	MetLife, Inc.		69,912
	424	MGM Mirage *		26,114
	9,900	Microsoft Corp.		269,478
	700	Molson Coors Brewing Co.-Class B		37,772
	2,400	Monsanto Co.		277,632
	1,800	National Oilwell Varco, Inc. *		112,140
	2,200	Nike, Inc.-Class B		132,440
	600	Northern Trust Corp.		40,578
	2,200	Nvidia Corp. *		47,058
	2,700	Occidental Petroleum Corp.		208,899
	12,200	Oracle Corp. *		229,360
	700	Paccar, Inc.		30,366
	3,000	Paychex, Inc.		94,380
	700	Pepsi Bottling Group, Inc.		23,807
	7,500	PepsiCo, Inc.		521,700
	6,900	Pfizer, Inc.		153,732
	700	Praxair, Inc.		56,196
	700	Precision Castparts Corp.		77,273
	1,000	Prudential Financial, Inc.		72,970
	1,800	Qualcomm, Inc.		76,266
	800	Rockwell Collins, Inc.		47,120
	2,400	Schering-Plough Corp.		52,080
	3,300	Schlumberger Ltd.		285,285
	1,700	Seagate Technology		36,669
	800	Smith International, Inc.		50,424

See accompanying notes to the financial statements.

12

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United States — continued
	900	Southern Copper Corp.		102,699
	600	SPX Corp.		61,380
	1,200	State Street Corp.		94,260
	2,200	Stryker Corp.		143,242
	3,600	Symantec Corp. *		60,624
	3,300	Sysco Corp.		92,598
	2,100	TD Ameritrade Holding Corp. *		38,430
	1,900	Texas Instruments, Inc.		56,924
	1,000	Thermo Fisher Scientific, Inc. *		55,930
	2,500	TJX Cos., Inc.		80,000
	769	Transocean, Inc. *		108,052
	2,700	United Parcel Service, Inc.-Class B		189,648
	2,700	United Technologies Corp.		190,377
	2,900	UnitedHealth Group, Inc.		134,792
	1,000	Valero Energy Corp.		57,770
	5,600	Walgreen Co.		204,456
	3,400	Wal-Mart Stores, Inc.		168,606
	1,900	Walt Disney Co. (The)		61,579
	700	Weatherford International Ltd. *		48,244
	1,200	Zimmer Holdings, Inc. *		90,348
		Total United States		15,399,716
		TOTAL COMMON STOCKS (COST $34,505,524)		33,798,114
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	39	Porsche AG (Non Voting) 0.06%		67,621
	979	Volkswagen AG 2.02%		136,412
		Total Germany		204,033
		TOTAL PREFERRED STOCKS (COST $167,554)		204,033

See accompanying notes to the financial statements.

13

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	1	Societe Generale Rights, Expires 02/29/08 *(b)		9
		TOTAL RIGHTS AND WARRANTS (COST $7)		9
		SHORT-TERM INVESTMENTS — 1.4%
	174,110	Bank of New York Mellon Institutional Cash Reserves Fund (c)		174,110
	300,000	BNP Paribas Time Deposit, 3.19%, due 03/03/08		300,000
		TOTAL SHORT-TERM INVESTMENTS (COST $474,110)		474,110
		TOTAL INVESTMENTS — 99.9% (Cost $35,147,195)		34,476,266
		Other Assets and Liabilities (net) — 0.1%		42,308
		TOTAL NET ASSETS — 100.0%	$	34,518,574

See accompanying notes to the financial statements.

14

GMO Global Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	CAD		964,963	$	978,836	$	26,137
5/23/08	CHF		1,377,295		1,322,991		63,702
5/23/08	JPY		149,403,527		1,444,856		49,588
5/23/08	JPY		149,403,527		1,444,856		50,719
5/23/08	NZD		89,533		70,647		(102	)
5/23/08	SEK		4,827,584		779,981		20,726
5/23/08	SGD		801,899		576,819		6,864
				$	6,618,986	$	217,634
Sales
5/23/08	AUD		742,190	$	683,975	$	(8,931	)
5/23/08	DKK		1,975,842		401,398		(11,939	)
5/23/08	EUR		857,349		1,297,849		(38,164	)
5/23/08	EUR		857,349		1,297,849		(38,468	)
5/23/08	GBP		677,386		1,338,156		(24,864	)
5/23/08	HKD		1,082,641		139,332		(272	)
5/23/08	JPY		23,820,000		230,359		(5,767	)
5/23/08	NOK		2,151,420		409,977		(10,248	)
5/23/08	SGD		160,000		115,091		(1,840	)
				$	5,913,986	$	(140,493	)

See accompanying notes to the financial statements.

15

GMO Global Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

*  Non-income producing security.

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

(b)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

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

As of February 29, 2008, 49.38% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

16

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $160,380 (cost $35,147,195) (Note 2)	$	34,476,266
Cash		97,159
Foreign currency, at value (cost $83,145) (Note 2)		84,548
Receivable for investments sold		9,230
Receivable for Fund shares sold		1,799
Dividends and interest receivable		55,164
Foreign taxes receivable		5,917
Unrealized appreciation on open forward currency contracts (Note 2)		217,736
Receivable for expenses reimbursed by Manager (Note 3)		31,465
Total assets		34,979,284
Liabilities:
Collateral on securities loaned, at value (Note 2)		174,110
Payable for investments purchased		18,466
Payable to affiliate for (Note 3):
Management fee		11,684
Shareholder service fee		3,729
Trustees and Chief Compliance Officer of GMO Trust fees		27
Unrealized depreciation on open forward currency contracts (Note 2)		140,595
Accrued expenses		112,099
Total liabilities		460,710
Net assets	$	34,518,574
Net assets consist of:
Paid-in capital	$	35,088,965
Distributions in excess of net investment income		(89,207	)
Accumulated net realized gain		109,793
Net unrealized depreciation		(590,977	)
	$	34,518,574
Net assets attributable to:
Class III shares	$	34,518,574
Shares outstanding:
Class III		1,448,880
Net asset value per share:
Class III	$	23.82

See accompanying notes to the financial statements.

17

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $26,386)	$	334,441
Interest		33,661
Securities lending income		3,385
Total investment income		371,487
Expenses:
Management fee (Note 3)		79,674
Shareholder service fee – Class III (Note 3)		25,428
Custodian and fund accounting agent fees		129,338
Transfer agent fees		26,751
Audit and tax fees		72,707
Legal fees		1,813
Trustees fees and related expenses (Note 3)		135
Registration fees		92
Miscellaneous		1,811
Total expenses		337,749
Fees and expenses reimbursed by Manager (Note 3)		(232,542	)
Expense reductions (Note 2)		(1,551	)
Net expenses		103,656
Net investment income (loss)		267,831
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		9,893,105
Closed futures contracts		46,321
Foreign currency, forward contracts and foreign currency related transactions		226,168
Net realized gain (loss)		10,165,594
Change in net unrealized appreciation (depreciation) on:
Investments		(12,245,557	)
Open futures contracts		(102,607	)
Foreign currency, forward contracts and foreign currency related transactions		58,426
Net unrealized gain (loss)		(12,289,738	)
Net realized and unrealized gain (loss)		(2,124,144	)
Net increase (decrease) in net assets resulting from operations	$	(1,856,313	)

See accompanying notes to the financial statements.

18

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	267,831		$	794,292
Net realized gain (loss)		10,165,594			3,889,761
Change in net unrealized appreciation (depreciation)		(12,289,738	)		3,319,656
Net increase (decrease) in net assets from operations		(1,856,313	)		8,003,709
Distributions to shareholders from:
Net investment income
Class III		(576,031	)		(474,914	)
Net realized gains
Class III		(1,987,132	)		(8,279,516	)
		(2,563,163	)		(8,754,430	)
Net share transactions (Note 7):
Class III		(31,353,712	)		18,749,599
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		67,093			30,368
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(31,286,619	)		18,779,967
Total increase (decrease) in net assets		(35,706,095	)		18,029,246
Net assets:
Beginning of period		70,224,669			52,195,423
End of period (including distributions in excess of net investment income of $89,207 and $75,436, respectively)	$	34,518,574		$	70,224,669

See accompanying notes to the financial statements.

19

GMO Global Growth Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005(a)
Net asset value, beginning of period	$	24.59		$	25.13		$	22.67		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.40			0.31			0.33			0.15
Net realized and unrealized gain (loss)		0.45	(b)		2.56			2.72			2.79
Total from investment operations		0.85			2.87			3.05			2.94
Less distributions to shareholders:
From net investment income		(0.49	)		(0.17	)		(0.10	)		(0.27	)
From net realized gains		(1.13	)		(3.24	)		(0.49	)		—
Total distributions		(1.62	)		(3.41	)		(0.59	)		(0.27	)
Net asset value, end of period	$	23.82		$	24.59		$	25.13		$	22.67
Total Return(c)		3.10	%		12.45	%		13.61	%		14.72	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	34,519		$	70,225		$	52,195		$	57,960
Net expenses to average daily net assets		0.62	%(d)		0.62	%		0.62	%		0.62	%*
Net investment income to average daily net assets		1.58	%		1.27	%		1.40	%		1.17	%*
Portfolio turnover rate		158	%		43	%		53	%		40	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.37	%		0.37	%		0.34	%		0.51	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.10		$	0.01		$	0.02			—	(e)

(a)  Period from July 20, 2004 (commencement of operations) through February 28, 2005.

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

(c)  The total return would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(d)  The net expense ratio does not include the effect of expense reductions.

(e)  For the period ended February 28, 2005, the Fund received no purchase premiums or redemption fees.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

20

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Global 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P/Citigroup Primary Market Index ("PMI") World Growth Index. The Fund typically makes equity investments in companies from the world's developed countries, including the U.S.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

21

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

22

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

23

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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

24

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $160,380, collateralized by cash in the amount of $174,110, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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.

25

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, losses on wash sale transactions, foreign currency transactions, derivative contract transactions, redemption in-kind transactions, and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	294,429	$	(9,375,293	)	$	9,080,864

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains	$	680,833	$	1,480,945
Long-term capital gains		1,882,330		7,273,485
Total distributions	$	2,563,163	$	8,754,430

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 236,745

26

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $52,121.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	35,219,026	$	1,385,959	$	(2,128,719	)	$	(742,760	)

For the period ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $9,129,486.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchase and redemption of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.25% of the amount invested or redeemed. An additional purchase premium and redemption fee of 0.005% is charged for any purchases/redemptions (or any portion of a purchase/redemption)

27

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

effected in a currency other than the U.S. dollar. 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

28

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.47% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.47% of the 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 29, 2008 was $135 and $0, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $33,470,839 and $66,153,492, 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.

29

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 99.58% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.03% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares		Amount
Shares sold		920,964		$	23,778,708			411,925	$	10,092,340
Shares issued to shareholders in reinvestment of distributions		102,111			2,562,902			367,063		8,657,259
Shares repurchased		(2,430,110	)		(57,695,322	)		—		—
Purchase premiums		—			59,409			—		30,368
Redemption fees		—			7,684			—		—
Net increase (decrease)		(1,407,035	)	$	(31,286,619	)		778,988	$	18,779,967

30

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Global 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 Global Growth Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

31

GMO Global Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.62	%	$	1,000.00	$	954.60	$	3.01
2) Hypothetical		0.62	%	$	1,000.00	$	1,021.78	$	3.12

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

32

GMO Global Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $1,882,330 from long-term capital gains.

For taxable, non-corporate shareholders, 52.89% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 17.26% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $53,168 or if determined to be different, the qualified short-term gains of such year.

33

GMO Global Growth Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 6.75% of distributions to shareholders declared from net investment income during the Fund's fiscal year were reclassified to distributions from net realized gains and are reflected as such in the Statement of Changes in Net Assets.

34

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.
Jay O. Light c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

35

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

36

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).
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).

⁵  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.

37

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

38

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund's portfolio is the responsibility of the International Active Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Foreign Small Companies Fund returned -2.0% for the fiscal year ended February 29, 2008, as compared to -1.9% for the S&P/Citigroup EMI World ex-U.S. Index. The Fund was invested substantially in equity securities of small companies in countries outside of the U.S. throughout the period.

Fair value pricing of the Fund subtracted 0.7% from returns versus the benchmark, which utilizes local close prices. Using the local close, which we do for attribution, the Fund returned -1.2% for the fiscal year.

Stock selection added 1.1% to returns for the fiscal year. Stock selection outperformed in the United Kingdom, Japan, Spain, and the emerging markets. Stock selection underperformed in Germany and Canada.

Country selection subtracted 0.4% from performance for the fiscal year. The largest negative impact came from an underweight position in Canada, which subtracted 0.5% from returns.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. The Fund commenced operations on June 30, 2000 subsequent to a transaction involving, in essence, the reorganization of the GMO Small Cap Active Pool of the Common Fund for Non-Profit Organizations (the "GMO Pool") as the GMO Foreign Small Companies Fund. All information relating to the time periods prior to June 30, 2000 relates to the GMO Pool. All information is unaudited. Performance for Class IV shares will vary due to different fees.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.2	%
Short-Term Investments		7.5
Preferred Stocks		1.3
Other		(2.0	)
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		19.7	%
Japan		11.3
Germany		11.1
Canada		6.1
Finland		6.0
Italy		6.0
Switzerland		5.9
France		5.4
South Korea		4.1
Brazil		2.8
Hong Kong		2.7
Netherlands		2.5
Spain		2.3
Taiwan		2.3
Norway		2.2
Australia		1.4
Singapore		1.4
Ireland		1.0
Mexico		0.8
Sweden		0.8
Austria		0.8
Belgium		0.7
Philippines		0.7
China		0.6
Malaysia		0.4
Greece		0.3
India		0.2
Thailand		0.2
Egypt		0.2
New Zealand		0.1
		100.0	%

1

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Consumer Discretionary		21.0	%
Industrials		20.4
Financials		19.8
Information Technology		8.6
Consumer Staples		7.7
Materials		7.1
Energy		6.9
Utilities		3.6
Health Care		3.5
Telecommunication Services		1.4
		100.0	%

2

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 93.2%
		Australia — 1.4%
	658,714	Australian Vintage Ltd *		884,970
	283,000	Billabong International Ltd		3,286,237
	421,897	Consolidated Rutile Ltd		208,182
	500,000	Macquarie Communications Group (a)		2,144,661
	525,000	Metcash Ltd		2,020,714
	438,800	PMP Ltd		662,402
	239,716	Santos Ltd		2,841,431
	1,500,000	SP AusNet		1,726,675
		Total Australia		13,775,272
		Austria — 0.7%
	11,900	Agrana Beteiligungs AG		1,302,671
	15,400	EVN AG		2,003,771
	20,677	Flughafen Wien AG		2,364,304
	35,000	Wienerberger AG		1,689,302
		Total Austria		7,360,048
		Belgium — 0.6%
	102,000	AGFA-Gevaert NV (a)		984,018
	25,278	Bekaert NV		3,329,181
	64,200	Fortis VVPR Strip *		975
	26,964	Omega Pharma SA		1,279,776
	5,006	Unibra SA		758,613
		Total Belgium		6,352,563
		Brazil — 2.7%
	103,100	Banco Sofisa SA		688,918
	630,000	Cia Hering		3,539,117
	450,000	Helbor Empreendimentos SA		2,980,309
	758,500	Industrias Romi SA		7,580,066
	586,000	JHSF Participacoes SA *		2,262,776
	12,000	MPX Mineracao e Energia SA *		7,223,701
	75,000	Porto Seguro SA		2,825,084
		Total Brazil		27,099,971

See accompanying notes to the financial statements.

3

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Canada — 5.8%
	330,300	Air Canada Class A * (a)		3,080,675
	1,152,300	Breakwater Resources Ltd *		1,639,035
	299,300	CHC Helicopter Corp Class A		9,381,158
	272,800	Flint Energy Services Ltd *		5,485,102
	412,100	Gammon Gold Inc *		3,571,464
	138,900	ING Canada Inc		5,644,907
	90,600	KAP Resources Ltd * (b) (c)		921
	291,800	Kingsway Financial Services Inc		3,868,926
	333,500	Linamar Corp		4,743,714
	225,000	Penn West Energy Trust		6,350,521
	316,900	Precision Drilling Trust		7,035,067
	316,200	RONA Inc *		4,468,724
	949,300	Western Canadian Coal Corp * (a)		2,594,480
		Total Canada		57,864,694
		China — 0.6%
	5,000,000	Franshion Properties China Ltd *		1,966,766
	6,900,000	Uni-President China Holding Ltd *		3,830,722
		Total China		5,797,488
		Egypt — 0.1%
	31,578	Lecico Egypt SAE GDR		347,358
	100,000	Lecico Egypt SAE GDR 144A		1,100,000
		Total Egypt		1,447,358
		Finland — 5.6%
	112,500	Atria Group Plc		2,638,649
	243,000	Hk-Ruokatalo Oyj Class A		3,067,121
	127,133	KCI Konecranes Oyj		4,615,916
	356,768	Marimekko Oyj		7,695,170
	411,979	Nokian Renkaat Oyj		16,937,763
	224,200	Poyry Oyj		5,504,860
	146,170	Ramirent Oyj		2,530,683
	220,000	Tietoenator Oyj (a)		4,129,690

See accompanying notes to the financial statements.

4

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Finland — continued
	207,800	Uponor Oyj (a)		5,427,594
	170,050	YIT Oyj (a)		4,224,553
		Total Finland		56,771,999
		France — 5.0%
	3,700	Casino Guichard-Perrachon SA		418,497
	23,271	Christian Dalloz		2,236,883
	51,420	Clarins (a)		3,609,177
	6,450	Damartex SA		179,916
	77,200	Essilor International SA		4,583,961
	43,962	Eurazeo		5,302,752
	142,100	Fimatex * (a)		1,524,169
	6,300	Gaumont SA (a)		562,071
	48,200	GFI Industries SA (a)		4,428,665
	9,000	Guyenne et Gascogne SA		1,316,518
	53,100	Klepierre		3,100,962
	75,000	M6-Metropole Television		1,768,015
	94,070	Natixis		1,376,740
	34,800	Peugeot SA		2,645,469
	45,000	Publicis Groupe		1,625,078
	1,351	SAGA		119,780
	20,350	Seb SA		3,528,345
	12,881	Sequana Capital		317,447
	7,250	Somfy SA		1,640,883
	21,000	Thales SA		1,285,011
	45,472	Virbac SA		4,230,134
	87,141	Zodiac SA		4,534,399
		Total France		50,334,872
		Germany — 9.7%
	86,080	Aareal Bank AG		2,927,664
	74,864	Adidas AG		4,751,690
	15,200	Axel Springer AG		1,890,722
	55,800	Beiersdorf AG (Bearer)		4,417,508

See accompanying notes to the financial statements.

5

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	140,655	Cat Oil AG * (a)		3,022,764
	29,100	Celesio AG		1,668,168
	81,700	Commerzbank AG		2,456,247
	30,900	Continental AG		3,047,117
	98,000	DIC Asset AG		3,015,581
	61,100	Douglas Holdings AG		3,242,408
	162,216	Eurocastle Investment (a)		4,170,478
	200,000	Francotyp-Postalia Holdings AG * (a)		1,404,532
	68,000	Fresenius Medical Care AG & Co		3,560,217
	127,500	Gagfah SA (a)		2,140,800
	80,000	Gerresheimer AG *		3,938,858
	114,367	Grenkeleasing AG		4,151,977
	60,000	Hannover Rueckversicherungs AG (Registered) (a)		2,864,366
	87,220	Heidelberger Druckmaschinen		2,130,142
	29,057	Hypo Real Estate Holding AG (a)		836,738
	615,000	Infineon Technologies AG *		4,973,712
	95,000	IVG Immobilien AG		3,331,075
	40,090	Leonische Drahtwerke AG		1,668,933
	34,700	Metro AG		2,877,929
	47,080	MTU Aero Engines Holding		2,389,757
	65,146	Nemetschek AG		1,952,027
	368,600	Patrizia Immobilien AG (a)		2,321,460
	297,184	Praktiker Bau-Und Heim		7,345,136
	5,588	Puma AG Rudolf Dassler Sport		1,988,227
	375,000	Symrise AG *		10,223,203
	41,800	Tognum AG *		1,019,057
	100,000	Wacker Construction Equipment AG *		2,046,011
		Total Germany		97,774,504
		Greece — 0.2%
	29,718	Folli-Follie Abee		946,731
	50,000	Piraeus Bank SA		1,488,227
		Total Greece		2,434,958

See accompanying notes to the financial statements.

6

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Hong Kong — 2.6%
	3,953,579	Hong Kong & Shanghai Hotels		6,367,603
	2,607,702	Industrial & Commercial Bank of China		5,659,645
	9,972,000	TPV Technology Ltd		5,976,305
	624,900	Wing Lung Bank		7,710,307
		Total Hong Kong		25,713,860
		India — 0.2%
	200,000	Welspun Gujarat Stahl Ltd		2,162,024
		Ireland — 0.9%
	66,346	Anglo Irish Bank Corp		939,636
	507,600	Blackrock International *		253,069
	67,019	CRH Plc		2,490,796
	41,500	DCC Plc		1,044,152
	55,000	FBD Holdings Plc		2,418,218
	46,000	Grafton Group Plc *		373,295
	379,440	IFG Group Plc		999,326
	9,500	Irish Life & Permanent Plc		154,528
	25,000	Kerry Group Plc		784,424
		Total Ireland		9,457,444
		Italy — 5.6%
	355,000	Arnoldo Mondadori Editore SPA (a)		2,869,873
	107,000	Banco Popolare Scarl *		2,023,264
	157,000	Brembo SPA		2,360,971
	179,200	Buzzi Unicem SPA		4,396,450
	436,100	Campari		3,744,972
	232,700	Finmeccanica SPA		7,156,332
	307,716	Grouppo Editoriale L'Espresso (a)		1,265,020
	1,228,700	IFIL SPA		9,526,347
	300,300	Indesit Company SPA		3,746,772
	621,425	Intesa San Paolo		4,173,768
	100,000	Italcementi SPA		2,034,184
	600,000	Snam Rete Gas SPA		4,172,332
	2,359,364	Telecom Italia SPA-Di RISP		4,552,197
	187,500	Unione di Banche Italiane ScpA		4,408,309
		Total Italy		56,430,791

See accompanying notes to the financial statements.

7

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — 10.7%
	500,000	Asics Corp		5,827,381
	600,000	Capcom (a)		16,455,128
	140,800	Daiei Inc *		894,761
	120,000	Diamond Lease Co Ltd		4,315,723
	275,000	Hisamitsu Pharmaceutical Co Inc		8,769,340
	450,000	Hitachi Chemical Co Ltd		8,575,064
	300,000	Hitachi Koki Co Ltd		4,191,066
	3,700	Hitachi Transport System Ltd		45,277
	300,000	Izumi Co Ltd (a)		4,302,397
	600	Japan Retail Fund Investment Corp		3,614,002
	160,000	Keihin Corp		2,581,818
	600,000	Keiyo Bank Ltd (The)		3,374,181
	90,000	Micronics Japan Co Ltd		2,898,699
	600,000	Nabtesco Corp		7,958,768
	650,000	NHK Spring Co Ltd		5,052,979
	260,000	Nippon System Development Co Ltd		3,652,550
	450,000	Sanwa Shutter Corp		2,184,383
	35	Seven Bank Ltd *		58,620
	675,000	Shimadzu Corp		6,330,121
	130,000	Sumitomo Rubber Industries		1,001,802
	20,100	Tachihi Enterprise Co Ltd		1,292,199
	200,000	Taiyo Ink Manufacturing Co Ltd		4,824,473
	491,000	Tokyu Land Corp		3,309,375
	325,000	Toyo Suisan Kaisha Ltd		5,297,368
	1,254	USJ Co Ltd (a)		818,671
		Total Japan		107,626,146
		Malaysia — 0.4%
	3,000,000	E&O Property Development *		2,133,855
	480,900	Eastern & Oriental Berhad		340,717
	700,000	IJM Corp Berhad		1,571,730
		Total Malaysia		4,046,302

See accompanying notes to the financial statements.

8

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Mexico — 0.8%
	1,000,000	Controladora Comercial Mexicana SA de CV		2,567,694
	1,096,400	Megacable Holdings SAB de CV *		3,086,504
	1,700,000	Sare Holding SA de CV *		2,412,698
		Total Mexico		8,066,896
		Netherlands — 2.4%
	288,097	Corporate Express (a)		3,411,652
	173,345	CSM (a)		5,345,855
	43,200	Fortis NV		952,353
	131,100	Imtech NV		3,100,202
	15,000	Koninklijke Ten Cate NV		506,801
	170,000	Koninklijke Wessanen NV		2,274,895
	286,136	Reed Elsevier NV		5,315,851
	124,000	Vedior NV		3,105,871
		Total Netherlands		24,013,480
		New Zealand — 0.1%
	485,400	Air New Zealand		644,249
		Norway — 2.1%
	1,442,334	Ability Drilling ASA *		3,682,771
	174,890	Ekornes ASA (a)		3,152,703
	810,285	Prosafe ASA		13,879,068
		Total Norway		20,714,542
		Philippines — 0.6%
	17,000,000	Aboitiz Power Corp		1,986,771
	5,100,000	Alliance Global Group Inc *		539,769
	37,838,000	Filinvest Land Inc *		967,059
	1,147,500	First Gen Corp		1,133,106
	23,400,000	Pepsi-Cola Products Philippines Inc *		1,705,919
		Total Philippines		6,332,624

See accompanying notes to the financial statements.

9

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Singapore — 1.3%
	17,296,000	Anwell Technologies Ltd *		843,163
	375,000	ARA Asset Management Ltd 144A *		216,413
	575,000	Banyan Tree Holdings Inc		526,936
	2,800,000	Chemoil Energy Ltd		1,061,200
	2,307,000	Financial One Corp *		1,040,623
	3,250,000	First Ship Lease Trust		2,586,207
	4,083,000	Huan Hsin Holdings Ltd		1,599,070
	2,962,000	LMA International NV *		535,534
	1,097,000	People's Food Holdings Ltd		838,105
	2,000,000	Petra Foods Ltd		1,762,277
	350,000	SembCorp Marine Ltd		896,365
	1,585,937	Unisteel Technology Ltd		1,578,206
		Total Singapore		13,484,099
		South Korea — 3.5%
	38,980	Asia Cement Co Ltd		2,532,255
	20,000	Cheil Industries Inc		897,112
	42,040	Hana Financial Group Inc		1,865,441
	298,849	Handsome Corp		3,436,602
	79,440	Handsome P&D Corp *		1,124,333
	10,000	Hite Brewery Co Ltd		1,242,792
	10,000	KCC Engineering & Construction Co		584,529
	144,000	Kooksoondang Co Ltd		802,413
	81,100	Korea Electric Terminal Co		1,809,974
	320,963	Kortek Corp		2,550,455
	76,110	Kumho Tire Co Inc		895,080
	22,000	Nong Shim Co Ltd		4,473,065
	61,000	Pulmuone Co Ltd		2,972,667
	134,800	Pusan Bank		1,783,819
	78,000	Samsung Card Co Ltd		4,138,488
	60,000	Samsung Techwin Co Ltd		3,063,717
	25,000	Samwhan Corp		568,032
		Total South Korea		34,740,774

See accompanying notes to the financial statements.

10

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Spain — 2.2%
	32,000	ACS Actividades de Construccion y Servicios SA		1,634,365
	38,296	Cia de Distribucion Integral Logista SA		3,051,348
	65,000	Corp Dermoestetica *		612,939
	30,000	Fomento de Construcciones y Contratas SA		1,808,918
	15,597	Gas Natural SDG SA		945,079
	35,000	Generale de Alquiler *		1,049,655
	15,000	Grupo Ferrovial SA		981,639
	209,000	Mapfre SA		942,361
	30,000	Red Electrica de Espana		1,871,688
	45,000	Sogecable SA *		1,887,954
	65,000	Tecnicas Reunidas SA		4,404,225
	43,864	Union Fenosa SA		2,890,165
		Total Spain		22,080,336
		Sweden — 0.8%
	68,750	Autoliv Inc SDR		3,431,586
	183,100	SAAB AB Class B		4,481,358
		Total Sweden		7,912,944
		Switzerland — 5.5%
	2,131	Bank Sarasin & Cie AG Class B (Registered)		9,556,865
	14,450	Bobst Group AG (Registered)		1,032,071
	86,286	Charles Voegele Holding AG *		7,689,175
	700	Eichhof Holding AG		1,254,797
	2,389	Forbo Holdings AG (Registered) * (a)		1,197,005
	18,940	Geberit AG (Registered)		2,786,492
	17,510	Helvetia Patria Holding (Registered)		6,656,169
	1,000	Jelmoli Holding AG (Bearer)		2,556,763
	3,250	Jelmoli Holding AG (Registered)		1,629,342
	200,309	Kardex AG *		9,986,586
	552	SGS SA (Registered)		741,409
	18,000	Swatch Group AG		5,283,450
	17,908	Valiant Holding (Registered)		3,206,002
	9,350	Valora Holding AG		2,175,040
		Total Switzerland		55,751,166

See accompanying notes to the financial statements.

11

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — 2.2%
	160,000	104 Corp		590,949
	1,550,000	Advanced Semiconductor Engineering Inc		1,421,041
	4,319,000	Arima Computer Corp *		767,026
	263,900	Catcher Technology Co		978,757
	2,040,150	China Motor Corp Ltd		1,527,318
	1,000,000	Continental Engineering Corp		680,194
	427,380	E.Sun Financial Holdings Co Ltd *		245,704
	4,416,000	Gold Circuit Electronics Ltd		3,148,437
	418,000	Kinsus Interconnect Technology Corp		1,090,247
	270,000	Novatek Microelectronics Corp Ltd		950,080
	1,507,434	Phoenix Precision Technology Corp		1,026,094
	1,641,000	Phoenixtec Power Co Ltd		2,481,140
	1,785,300	Qisda Corp *		1,663,756
	52,125	Sunplus Technology Co Ltd		58,217
	2,417,940	Tsann Kuen Enterprises Co Ltd *		3,210,507
	1,319,356	Yulon Motor Co Ltd		1,782,789
		Total Taiwan		21,622,256
		Thailand — 0.2%
	1,513,000	Asian Property Development Pcl (Foreign Registered) (c)		302,763
	11,100,000	Home Product Center Pcl (Foreign Registered) (c)		1,748,422
		Total Thailand		2,051,185
		United Kingdom — 18.7%
	145,000	Alliance & Leicester Plc		1,608,154
	145,000	AMEC Plc		2,211,886
	150,000	Aquarius Platinum Ltd		2,250,662
	488,989	Balfour Beatty Plc		4,290,690
	360,327	BBA Aviation Plc		1,311,045
	103,633	Biffa Plc		711,282
	687,250	Bodycote International Plc		2,544,113
	533,333	Brit Insurance Holdings Plc		2,450,588
	438,800	British Airways Plc *		2,224,349
	105,000	British Energy Group Plc		1,169,721

See accompanying notes to the financial statements.

12

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	339,100	Carphone Warehouse Group Plc (a)		2,054,847
	573,403	Cattle's Plc		2,640,514
	269,000	Centrica Plc		1,717,508
	144,888	Chemring Group		7,028,294
	550,000	Cobham Plc		1,978,655
	742,000	Compass Group Plc		4,782,630
	106,951	Computacenter Plc		380,235
	200,000	Davis Service Group (Ordinary)		1,979,221
	1,500,000	Dawnay Day Treveria Plc		1,729,552
	132,333	De La Rue Plc		2,367,386
	3,300,000	Dimension Data Holdings Plc		3,355,353
	11,400	Experian Group		95,833
	106,250	Fiberweb Plc		140,609
	95,200	Filtrona Plc		356,523
	696,493	FKI Plc		1,001,576
	307,600	Fyffes Plc (a)		424,062
	703,000	Galliford Try Plc		966,233
	50,000	Go-Ahead Group Plc		1,777,605
	621,109	Group 4 Securicor Plc		2,678,653
	171,747	Hays Plc		369,254
	386,049	ICAP Plc		4,806,870
	600,000	Inmarsat Plc		5,860,049
	97,777	Intermediate Capital Group Plc		2,893,256
	115,000	International Personal Finance		464,859
	114,600	Interserve Plc		972,620
	175,000	ITV Plc		231,312
	225,000	JJB Sports Plc		543,478
	115,000	Johnson Matthey Plc		4,421,157
	104,929	Kazakhmys Plc		3,196,209
	160,000	Kesa Electricals Plc		675,947
	153,149	Kier Group Plc		4,225,562
	166,000	Lamprell Plc		1,394,871
	146,000	Misys Plc		429,971
	252,652	Mitie Group Plc		1,287,461

See accompanying notes to the financial statements.

13

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	207,142	N Brown Group		1,023,900
	55,000	Next Plc		1,394,905
	1,100,000	Northgate Info Solutions Plc		2,054,391
	497,357	Pennon Group Plc		6,297,277
	196,076	Petrofac Ltd		2,137,650
	305,555	Playtech Ltd		2,432,559
	57,500	Provident Financial Plc		910,970
	75,000	Punch Taverns Plc		954,663
	600,000	Qinetiq Plc		2,345,236
	200,000	Record Plc *		409,332
	506,254	Resolution Plc		6,931,814
	375,736	Rexam Plc		3,270,957
	750,000	RM Plc		3,241,822
	1,091,496	Royal & Sun Alliance Insurance Group		2,845,541
	1,000,000	Sage Group Plc		3,898,393
	100,000	Savills Plc		673,193
	50,000	Schroders Plc		944,038
	398,769	Segro Plc		4,077,160
	417,109	Serco Group Plc		3,585,460
	50,000	Severn Trent (Ordinary Shares)		1,403,473
	144,000	Shire Plc		2,810,964
	755,160	Smith (David S.) Holdings Plc		2,364,702
	115,600	Smith News Plc		231,334
	50,000	Smiths Group Plc		982,189
	100,000	Smurfit Kappa Plc *		1,426,788
	23,796	Soco International Plc *		914,701
	145,000	Spice Plc		1,336,858
	58,600	Tate & Lyle Plc		606,786
	64,300	Tomkins Plc		215,582
	307,600	Total Produce Plc		265,207
	62,181	Travis Perkins Plc		1,329,285
	220,000	Trinity Mirror Plc		1,236,219
	1,080,000	TT Group Plc		2,016,395
	155,700	Ultra Electronics Holdings		3,690,390

See accompanying notes to the financial statements.

14

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	75,000	United Business Media Plc		790,136
	91,179	Venture Production (Ordinary Shares)		1,297,990
	100,495	VT Group Plc		1,320,361
	177,097	WH Smith Plc		1,309,809
	270,366	William Hill Plc		2,010,908
	1,036,882	William Morrison Supermarkets Plc		6,078,198
	137,800	Wolseley Plc		1,686,265
	850,000	Wood Group (John) Plc		6,945,644
	60,588	Xstrata Plc		4,726,494
	275,000	Yell Group Plc		1,186,264
		Total United Kingdom		187,612,858
		TOTAL COMMON STOCKS (COST $755,160,040)		937,477,703
		PREFERRED STOCKS — 1.3%
		France — 0.1%
	6,800	Casino Guichard-Perrachon SA 4.06% (a)		553,850
		Germany — 0.8%
	55,400	Henkel KGaA 1.81%		2,462,719
	260	Porsche AG (Non Voting) 0.06%		450,809
	200,000	ProSiebenSat.1 Media AG 6.24%		4,328,914
	5,200	Volkswagen AG 2.02%		724,558
		Total Germany		7,967,000
		Italy — 0.0%
	10,000	IFI Istituto Finanziario Industries *		282,546
		South Korea — 0.4%
	320,000	Daishin Securities Co *		4,259,624
		TOTAL PREFERRED STOCKS (COST $12,099,680)		13,063,020

See accompanying notes to the financial statements.

15

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 7.5%
	61,047,577	Bank of New York Mellon Institutional Cash Reserves Fund (d)		61,047,577
	14,400,000	ING Bank Time Deposit, 3.13%, due 03/03/08		14,400,000
		TOTAL SHORT-TERM INVESTMENTS (COST $75,447,577)		75,447,577
		TOTAL INVESTMENTS — 102.0% (Cost $842,707,297)		1,025,988,300
		Other Assets and Liabilities (net) — (2.0%)		(20,192,684	)
		TOTAL NET ASSETS — 100.0%	$	1,005,795,616

Notes to Schedule of Investments:

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

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

GDR - Global Depository Receipt

SDR - Swedish Depository Receipt

*  Non-income producing security.

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

(b)  Bankrupt issuer.

(c)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

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

As of February 29, 2008, 83.51% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

16

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $57,018,879 (cost $842,707,297) (Note 2)	$	1,025,988,300
Cash		29,462
Foreign currency, at value (cost $42,986,355) (Note 2)		44,023,694
Receivable for investments sold		4,686,324
Dividends and interest receivable		1,500,965
Foreign taxes receivable		90,308
Receivable for expenses reimbursed by Manager (Note 3)		93,119
Total assets		1,076,412,172
Liabilities:
Collateral on securities loaned, at value (Note 2)		61,047,577
Payable for investments purchased		8,548,116
Payable to affiliate for (Note 3):
Management fee		543,404
Shareholder service fee		90,647
Trustees and Chief Compliance Officer of GMO Trust fees		1,211
Accrued expenses		385,601
Total liabilities		70,616,556
Net assets	$	1,005,795,616
Net assets consist of:
Paid-in capital	$	785,045,129
Distributions in excess of net investment income		(7,212,762	)
Accumulated net realized gain		43,618,598
Net unrealized appreciation		184,344,651
	$	1,005,795,616
Net assets attributable to:
Class III shares	$	338,804,403
Class IV shares	$	666,991,213
Shares outstanding:
Class III		23,157,877
Class IV		45,558,027
Net asset value per share:
Class III	$	14.63
Class IV	$	14.64

See accompanying notes to the financial statements.

17

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $2,344,108)	$	25,640,444
Interest		1,770,309
Securities lending income		1,328,440
Total investment income		28,739,193
Expenses:
Management fee (Note 3)		7,988,182
Shareholder service fee – Class III (Note 3)		578,188
Shareholder service fee – Class IV (Note 3)		755,710
Custodian and fund accounting agent fees		861,276
Transfer agent fees		43,036
Audit and tax fees		128,189
Legal fees		26,525
Trustees fees and related expenses (Note 3)		13,171
Registration fees		920
Miscellaneous		14,486
Total expenses		10,409,683
Fees and expenses reimbursed by Manager (Note 3)		(1,013,127	)
Expense reductions (Note 2)		(23,772	)
Net expenses		9,372,784
Net investment income (loss)		19,366,409
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		174,233,675
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $3,988) (Note2)		2,863,328
Net realized gain (loss)		177,097,003
Change in net unrealized appreciation (depreciation) on:
Investments		(211,273,296	)
Foreign currency, forward contracts and foreign currency related transactions		722,780
Net unrealized gain (loss)		(210,550,516	)
Net realized and unrealized gain (loss)		(33,453,513	)
Net increase (decrease) in net assets resulting from operations	$	(14,087,104	)

See accompanying notes to the financial statements.

18

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	19,366,409		$	15,757,304
Net realized gain (loss)		177,097,003			188,024,465
Change in net unrealized appreciation (depreciation)		(210,550,516	)		68,834,451
Net increase (decrease) in net assets from operations		(14,087,104	)		272,616,220
Distributions to shareholders from:
Net investment income
Class III		(8,928,275	)		(8,607,715	)
Class IV		(16,347,910	)		(15,899,492	)
Total distributions from net investment income		(25,276,185	)		(24,507,207	)
Net realized gains
Class III		(71,469,472	)		(75,878,065	)
Class IV		(126,085,967	)		(133,631,353	)
Total distributions from net realized gains		(197,555,439	)		(209,509,418	)
		(222,831,624	)		(234,016,625	)
Net share transactions (Note 7):
Class III		46,586,423			(3,415,505	)
Class IV		79,691,450			78,067,756
Increase (decrease) in net assets resulting from net share transactions		126,277,873			74,652,251
Total increase (decrease) in net assets		(110,640,855	)		113,251,846
Net assets:
Beginning of period		1,116,436,471			1,003,184,625
End of period (including distributions in excess of net investment income of $7,212,762 and $7,065,273, respectively)	$	1,005,795,616		$	1,116,436,471

See accompanying notes to the financial statements.

19

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.38		$	17.98		$	17.19		$	14.79		$	9.13
Income (loss) from investment operations:
Net investment income (loss)†		0.31			0.28			0.26			0.26			0.20
Net realized and unrealized gain (loss)		(0.36	)		4.51			3.19			3.76			5.77
Total from investment operations		(0.05	)		4.79			3.45			4.02			5.97
Less distributions to shareholders:
From net investment income		(0.41	)		(0.44	)		(0.32	)		(0.38	)		(0.31	)
From net realized gains		(3.29	)		(3.95	)		(2.34	)		(1.24	)		—
Total distributions		(3.70	)		(4.39	)		(2.66	)		(1.62	)		(0.31	)
Net asset value, end of period	$	14.63		$	18.38		$	17.98		$	17.19		$	14.79
Total Return(a)		(1.96	)%		29.94	%		22.32	%		28.40	%		65.76	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	338,804		$	375,565		$	364,551		$	426,758		$	480,966
Net expenses to average daily net assets		0.86	%(b)		0.86	%		0.85	%		0.85	%		0.85	%
Net investment income to average daily net assets		1.69	%		1.53	%		1.52	%		1.71	%		1.71	%
Portfolio turnover rate		42	%		37	%		40	%		25	%		31	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%		0.09	%		0.09	%		0.09	%		0.11	%

(a)  Total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

20

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.39		$	17.99		$	17.20		$	14.80		$	9.13
Income (loss) from investment operations:
Net investment income (loss)†		0.31			0.28			0.26			0.26			0.21
Net realized and unrealized gain (loss)		(0.35	)		4.52			3.20			3.76			5.77
Total from investment operations		(0.04	)		4.80			3.46			4.02			5.98
Less distributions to shareholders:
From net investment income		(0.42	)		(0.45	)		(0.33	)		(0.38	)		(0.31	)
From net realized gains		(3.29	)		(3.95	)		(2.34	)		(1.24	)		—
Total distributions		(3.71	)		(4.40	)		(2.67	)		(1.62	)		(0.31	)
Net asset value, end of period	$	14.64		$	18.39		$	17.99		$	17.20		$	14.80
Total Return(a)		(1.91	)%		30.00	%		22.37	%		28.44	%		65.92	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	666,991		$	740,872		$	638,634		$	567,048		$	333,731
Net expenses to average daily net assets		0.81	%(b)		0.81	%		0.80	%		0.81	%		0.80	%
Net investment income to average daily net assets		1.70	%		1.54	%		1.55	%		1.69	%		1.78	%
Portfolio turnover rate		42	%		37	%		40	%		25	%		31	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%		0.09	%		0.09	%		0.09	%		0.11	%

(a)  Total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

21

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Foreign Small Companies 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 Funds into classes.

The Fund seeks total return in excess of that of its benchmark, the S&P/Citigroup Extended Market Index World ex-U.S. Index. The Fund typically makes equity investments in companies located or doing business outside of the U.S. that are in the smallest 30% of companies in a particular country as measured by total float-adjusted market capitalization. The Fund generally seeks to be fully invested and generally will not take temporary defensive positions, but may hold up to 10% of its total assets in cash and other high quality investments in order to manage cash inflows and outflows as a result of shareholder purchases and redemptions. The Fund may make investments in emerging countries, but these investments (excluding investments in companies from emerging countries included in the Fund's benchmark) generally will represent 10% or less of the Fund's total assets.

Throughout the year ended February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder servicing fees.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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.

22

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Shares of investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

23

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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

24

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no purchased option contracts outstanding at the end of the period.

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.

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $57,018,879, collateralized by cash in the amount of $61,047,577, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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.

25

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. For the year ended February 29, 2008, the Fund incurred $3,988 in CPMF tax which is included in the net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, foreign currency transactions, differing treatment on security sales and post-October currency losses.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	5,762,287	$	(4,686,864	)	$	(1,075,423	)

26

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	68,579,611	$	63,849,039
Long-term capital gains		154,252,013		170,167,586
Total distributions	$	222,831,624	$	234,016,625

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 43,909,538

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October currency losses of $1,310,798.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	848,763,293	$	246,446,336	$	(69,221,329	)	$	177,225,007

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

27

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is

28

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.70% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.70% of the 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 29, 2008 was $11,515 and $4,513, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $461,939,067 and $542,485,703, 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.

29

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 57.09% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.01% of the Fund's shares were held by four related parties comprised of certain GMO employee accounts.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		8,563,923		$	166,900,000			423,166		$	8,100,000
Shares issued to shareholders in reinvestment of distributions		4,631,692			78,154,241			4,723,975			81,261,068
Shares repurchased		(10,469,794	)		(198,467,818	)		(4,994,827	)		(92,776,573	)
Net increase (decrease)		2,725,821		$	46,586,423			152,314		$	(3,415,505	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		6,619,129		$	126,292,990			—		$	—
Shares issued to shareholders in reinvestment of distributions		8,449,525			140,398,460			8,605,233			148,279,756
Shares repurchased		(9,792,130	)		(187,000,000	)		(3,829,731	)		(70,212,000	)
Net increase (decrease)		5,276,524		$	79,691,450			4,775,502		$	78,067,756

30

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Foreign Small Companies 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 Foreign Small Companies Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

31

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.86	%	$	1,000.00	$	916.60	$	4.10
2) Hypothetical		0.86	%	$	1,000.00	$	1,020.59	$	4.32
Class IV
1) Actual		0.81	%	$	1,000.00	$	916.60	$	3.86
2) Hypothetical		0.81	%	$	1,000.00	$	1,020.84	$	4.07

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

32

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $154,252,013 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $2,344,033 and recognized foreign source income of $27,984,552.

For taxable, non-corporate shareholders, 25.51% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $2,774,419 and $43,303,425, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

33

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 Office1 and 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/oGMO 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

34

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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/oGMO Trust 40 Rowes Wharf Boston, MA 02110 DOB:10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

37

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

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 -11.9% for the fiscal year ended February 29, 2008, as compared to -7.9% for the Russell 1000 Value Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the Russell 1000 Value Index. Selections in Information Technology, Telecommunication Services, and Utilities added to relative returns while selections in Financials, Consumer Discretionary, and Energy detracted. Overweight positions in Exxon Mobil and Merck and an underweight in Wachovia were among the individual names adding to relative returns. Overweight positions in Citigroup, Fannie Mae, and National City Corp. were among the detractors.

Sector selection detracted slightly from returns relative to the Russell 1000 Value Index. Sector weightings positively impacting relative performance included underweight positions in Financials and Telecommunication Services and an overweight in Health Care. Sector weightings negatively impacting relative performance included overweight positions in Consumer Discretionary and Information Technology and an underweight in Industrials.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

†   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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.6	%
Short-Term Investments		3.3
Rights and Warrants		0.0
Futures		(0.2	)
Other		0.3
		100.0	%
Industry Sector Summary	% of Equity Investments
Energy		22.6	%
Health Care		17.4
Financials		15.7
Consumer Staples		10.8
Consumer Discretionary		10.6
Information Technology		9.6
Industrials		8.2
Telecommunication Services		2.0
Utilities		1.7
Materials		1.4
		100.0	%

1

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 96.6%
		Consumer Discretionary — 10.3%
	500	Abercrombie & Fitch Co. – Class A		38,765
	600	Advance Auto Parts, Inc.		20,124
	500	American Eagle Outfitters, Inc.		10,685
	500	Apollo Group, Inc. – Class A *		30,690
	100	Autoliv, Inc.		4,990
	3,100	AutoNation, Inc. *		45,167
	300	AutoZone, Inc. *		34,524
	1,500	Bed Bath & Beyond, Inc. *		42,510
	300	Best Buy Co., Inc.		12,903
	400	BorgWarner, Inc.		17,244
	600	Brunswick Corp.		9,774
	1,300	Career Education Corp. *		19,305
	900	Centex Corp.		19,971
	1,300	Coach, Inc. *		39,416
	2,400	D.R. Horton, Inc.		33,672
	1,100	Discovery Holding Co. – Class A *		24,827
	1,500	Dollar Tree Stores, Inc. *		40,245
	1,000	Expedia, Inc. *		22,930
	1,400	Family Dollar Stores, Inc.		26,810
	17,554	Ford Motor Co. *		114,628
	3,400	Gannett Co., Inc.		102,510
	2,300	General Motors Corp.		53,544
	1,200	Harley-Davidson, Inc.		44,592
	900	Hasbro, Inc.		23,193
	26,700	Home Depot, Inc.		708,885
	500	ITT Educational Services, Inc. *		27,610
	3,700	Johnson Controls, Inc.		121,582
	200	Jones Apparel Group, Inc.		2,822
	600	KB Home		14,358
	1,700	Kohl's Corp. *		75,548
	1,300	Lennar Corp. – Class A		24,193
	700	Liberty Global, Inc. – Class A *		26,320

See accompanying notes to the financial statements.

2

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	1,700	Liz Claiborne, Inc.		30,226
	16,900	Lowe's Cos., Inc.		405,093
	1,300	Mattel Co.		25,116
	3,300	McDonald's Corp.		178,563
	400	McGraw-Hill Cos., Inc.		16,372
	431	MDC Holdings, Inc.		18,050
	400	Mohawk Industries, Inc. *		28,564
	600	Nike, Inc. – Class B		36,120
	1,600	Office Depot, Inc. *		18,192
	1,000	O'Reilly Automotive, Inc. *		26,960
	800	Penske Auto Group, Inc.		14,432
	3,200	Staples, Inc.		71,200
	3,800	Target Corp.		199,918
	400	Tiffany & Co.		15,056
	1,400	Toll Brothers, Inc. *		29,694
	900	TRW Automotive Holdings Corp. *		19,872
	600	VF Corp.		45,624
		Total Consumer Discretionary		3,013,389
		Consumer Staples — 10.4%
	400	Alberto-Culver Co.		10,720
	5,500	Altria Group, Inc.		402,270
	800	Anheuser-Busch Cos., Inc.		37,672
	600	BJ's Wholesale Club, Inc. *		18,936
	500	Coca Cola Enterprises, Inc.		12,215
	10,100	Coca-Cola Co. (The)		590,446
	500	Colgate-Palmolive Co.		38,045
	300	Costco Wholesale Corp.		18,576
	1,500	CVS Caremark Corp.		60,570
	300	Energizer Holdings, Inc. *		27,849
	600	Kimberly-Clark Corp.		39,108
	1,907	Kraft Foods, Inc.		59,441
	1,600	Kroger Co.		38,800
	600	PepsiAmericas, Inc.		15,180
	4,200	PepsiCo, Inc.		292,152

See accompanying notes to the financial statements.

3

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — continued
	600	Pilgrim's Pride Corp.		14,076
	3,000	Procter & Gamble Co. (The)		198,540
	1,675	Supervalu, Inc.		43,969
	3,124	Tyson Foods, Inc. – Class A		45,017
	2,300	Walgreen Co.		83,973
	20,300	Wal-Mart Stores, Inc.		1,006,677
		Total Consumer Staples		3,054,232
		Energy — 21.8%
	1,800	Anadarko Petroleum Corp.		114,732
	1,700	Apache Corp.		195,007
	19,300	Chevron Corp.		1,672,538
	300	Cimarex Energy Co.		15,810
	12,329	ConocoPhillips		1,019,732
	700	Devon Energy Corp.		71,904
	26,700	Exxon Mobil Corp.		2,323,167
	300	Forest Oil Corp. *		14,799
	300	Helix Energy Solutions Group, Inc. *		10,566
	700	Helmerich & Payne, Inc.		31,381
	800	Hess Corp.		74,544
	400	Murphy Oil Corp.		32,152
	200	Noble Corp.		9,830
	5,000	Occidental Petroleum Corp.		386,850
	200	Overseas Shipholding Group, Inc.		12,544
	600	Patterson-UTI Energy, Inc.		14,238
	300	Rowan Cos., Inc.		12,093
	500	Sunoco, Inc.		30,540
	500	Tidewater, Inc.		28,075
	300	Unit Corp. *		16,545
	5,000	Valero Energy Corp.		288,850
	600	Weatherford International Ltd. *		41,352
		Total Energy		6,417,249

See accompanying notes to the financial statements.

4

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — 15.2%
	1,600	ACE Ltd.		89,984
	2,000	Aflac, Inc.		124,820
	8,100	Allstate Corp. (The)		386,613
	1,000	AMBAC Financial Group, Inc.		11,140
	9,900	American International Group, Inc.		463,914
	1,500	Annaly Capital Management, Inc.		31,035
	1,400	AON Corp.		58,254
	12,876	Bank of America Corp.		511,692
	2,100	BB&T Corp.		65,373
	300	Capital One Financial Corp.		13,809
	2,000	Chubb Corp.		101,800
	34,700	Citigroup, Inc.		822,737
	600	CNA Financial Corp.		15,990
	1,600	Comerica, Inc.		57,984
	900	Commerce Group, Inc.		32,616
	1,600	Countrywide Financial Corp.		10,096
	300	Endurance Specialty Holdings Ltd.		11,790
	100	Everest Re Group Ltd.		9,688
	11,400	Fannie Mae		315,210
	900	Fidelity National Title Group, Inc. – Class A		15,849
	1,000	Fifth Third Bancorp		22,900
	800	First American Corp.		27,864
	1,200	First Horizon National Corp.		19,488
	600	Freddie Mac		15,108
	900	Hartford Financial Services Group, Inc.		62,910
	400	HCC Insurance Holdings, Inc.		9,624
	600	Janus Capital Group, Inc.		14,532
	500	KeyCorp		11,025
	600	Leucadia National Corp.		27,156
	1,200	MBIA, Inc.		15,564
	1,200	MGIC Investment Corp.		17,772
	5,172	National City Corp.		82,028
	2,575	Old Republic International Corp.		35,329

See accompanying notes to the financial statements.

5

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	1,600	Popular, Inc.		17,664
	4,400	Progressive Corp. (The)		80,652
	800	Protective Life Corp.		30,872
	1,300	Prudential Financial, Inc.		94,861
	300	Reinsurance Group of America, Inc.		16,413
	700	Safeco Corp.		32,382
	600	SLM Corp.		11,766
	400	T. Rowe Price Group, Inc.		20,212
	1,100	Thornburg Mortgage, Inc. REIT		9,790
	900	Torchmark Corp.		54,234
	5,300	Travelers Cos. (The), Inc.		245,973
	800	UnionBanCal Corp.		37,256
	2,900	Unum Group		66,439
	4,600	US Bancorp		147,292
	800	W.R. Berkley Corp.		23,032
	3,684	Washington Mutual, Inc.		54,523
		Total Financials		4,455,055
		Health Care — 16.8%
	2,200	Abbott Laboratories		117,810
	2,300	Aetna, Inc.		114,080
	2,700	AmerisourceBergen Corp.		112,644
	1,000	Amgen, Inc. *		45,520
	1,200	Biogen Idec, Inc. *		70,032
	1,200	Bristol-Myers Squibb Co.		27,132
	2,000	Cardinal Health, Inc.		118,280
	400	Charles River Laboratories International, Inc. *		23,432
	1,200	Cigna Corp.		53,496
	1,400	Coventry Health Care, Inc. *		72,618
	1,700	Eli Lilly & Co.		85,034
	1,700	Express Scripts, Inc. *		100,470
	2,000	Forest Laboratories, Inc. *		79,540
	900	Gilead Sciences, Inc. *		42,588

See accompanying notes to the financial statements.

6

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	200	Invitrogen Corp. *		16,898
	8,500	Johnson & Johnson		526,660
	1,900	King Pharmaceuticals, Inc. *		20,140
	4,600	McKesson Corp.		270,296
	3,200	Medco Health Solutions, Inc. *		141,792
	1,600	Medtronic, Inc.		78,976
	13,300	Merck & Co., Inc.		589,190
	400	Patterson Cos., Inc. *		14,080
	600	PerkinElmer, Inc.		14,892
	38,900	Pfizer, Inc.		866,692
	800	Quest Diagnostics, Inc.		38,136
	1,900	Stryker Corp.		123,709
	14,200	UnitedHealth Group, Inc.		660,016
	800	Watson Pharmaceuticals, Inc. *		22,248
	3,100	WellPoint, Inc. *		217,248
	1,700	Wyeth		74,154
	2,500	Zimmer Holdings, Inc. *		188,225
		Total Health Care		4,926,028
		Industrials — 7.9%
	2,600	3M Co.		203,840
	400	AGCO Corp. *		25,944
	200	Alliant Techsystems, Inc. *		20,988
	1,700	Avis Budget Group, Inc. *		19,431
	600	Cummins, Inc.		30,228
	1,200	Danaher Corp.		88,980
	2,600	Deere & Co.		221,546
	400	Eaton Corp.		32,252
	700	FedEx Corp.		61,691
	800	General Dynamics Corp.		65,480
	15,100	General Electric Co.		500,414
	200	Goodrich Corp.		11,846
	1,500	Honeywell International, Inc.		86,310

See accompanying notes to the financial statements.

7

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	400	Illinois Tool Works, Inc.		19,628
	1,200	Ingersoll-Rand		50,232
	400	ITT Industries, Inc.		22,496
	400	Kennametal, Inc.		12,148
	800	L-3 Communications Holdings, Inc.		85,032
	400	Lennox International, Inc.		15,056
	1,200	Masco Corp.		22,428
	500	Northrop Grumman Corp.		39,305
	2,300	Paccar, Inc.		99,774
	700	Pall Corp.		27,559
	1,150	Parker-Hannifin Corp.		74,324
	400	Pentair, Inc.		13,048
	1,100	Quanta Services, Inc. *		26,268
	400	Rockwell Collins, Inc.		23,560
	700	RR Donnelley & Sons Co.		22,281
	300	Shaw Group (The), Inc. *		19,314
	200	SPX Corp.		20,460
	200	Teleflex, Inc.		11,310
	300	Thomas & Betts Corp. *		12,045
	400	Trane, Inc.		18,020
	1,475	Tyco International Ltd.		59,088
	600	Union Pacific Corp.		74,856
	500	United Parcel Service, Inc. – Class B		35,120
	700	United Rentals, Inc. *		14,070
	1,500	United Technologies Corp.		105,765
	200	URS Corp. *		8,056
	200	W.W. Grainger, Inc.		14,732
	400	YRC Worldwide, Inc. *		5,504
		Total Industrials		2,320,429
		Information Technology — 9.2%
	700	ADC Telecommunications, Inc. *		9,569
	600	Affiliated Computer Services, Inc. – Class A *		30,450

See accompanying notes to the financial statements.

8

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	500	Arrow Electronics, Inc. *		16,305
	700	Avnet, Inc. *		23,597
	1,700	CA, Inc.		38,896
	700	Cadence Design Systems, Inc. *		7,434
	14,500	Cisco Systems, Inc. *		353,365
	2,300	Compuware Corp. *		18,308
	400	Cypress Semiconductor Corp. *		8,696
	9,000	Dell, Inc. *		178,650
	4,400	eBay, Inc. *		115,984
	8,900	EMC Corp. *		138,306
	200	Factset Research Systems, Inc.		10,528
	1,400	Fiserv, Inc. *		73,668
	600	Foundry Networks, Inc. *		7,122
	100	Google, Inc. – Class A *		47,118
	300	Hewitt Associates, Inc. – Class A *		11,838
	1,300	Hewlett-Packard Co.		62,101
	1,700	Ingram Micro, Inc. – Class A *		25,959
	2,400	Intel Corp.		47,880
	2,000	International Business Machines Corp.		227,720
	900	Intersil Corp. – Class A		20,943
	600	Intuit, Inc. *		15,936
	1,200	Juniper Networks, Inc. *		32,184
	500	KLA-Tencor Corp.		21,005
	500	Lexmark International, Inc. *		16,515
	700	McAfee, Inc. *		23,289
	19,100	Microsoft Corp.		519,902
	700	NCR Corp. *		15,512
	1,800	Novell, Inc. *		13,410
	7,800	Oracle Corp. *		146,640
	6,100	Qualcomm, Inc.		258,457
	300	Silicon Laboratories, Inc. *		9,285
	800	Synopsys, Inc. *		18,568
	1,000	Tech Data Corp. *		33,350
	1,000	Teradyne, Inc. *		11,990

See accompanying notes to the financial statements.

9

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	1,600	VeriSign, Inc. *		55,680
	1,400	Western Digital Corp. *		43,218
		Total Information Technology		2,709,378
		Materials — 1.4%
	500	Air Products & Chemicals, Inc.		45,665
	2,800	Alcoa, Inc.		103,992
	600	AptarGroup, Inc.		22,488
	600	Cabot Corp.		16,440
	300	Celanese Corp. – Class A		11,670
	200	Cytec Industries, Inc.		11,456
	1,600	Dow Chemical Co. (The)		60,304
	400	FMC Corp.		22,644
	500	Lubrizol Corp.		29,150
	400	Reliance Steel & Aluminum Co.		22,204
	1,100	Smurfit-Stone Container Corp. *		8,745
	200	Temple-Inland, Inc.		2,746
	900	Weyerhaeuser Co.		55,080
		Total Materials		412,584
		Telecommunication Services — 2.0%
	4,858	AT&T, Inc.		169,204
	1,600	Sprint Corp.		11,376
	11,252	Verizon Communications, Inc.		408,673
		Total Telecommunication Services		589,253
		Utilities — 1.6%
	1,000	American Electric Power Co., Inc.		40,920
	500	Constellation Energy Group, Inc.		44,175
	1,200	Edison International		59,280
	500	Entergy Corp.		51,370
	900	FPL Group, Inc.		54,261
	600	Mirant Corp. *		22,200

See accompanying notes to the financial statements.

10

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Utilities — continued
	900	NRG Energy, Inc. *		37,143
	500	PPL Corp.		22,690
	2,200	Public Service Enterprise Group, Inc.		97,020
	1,800	Reliant Energy, Inc. *		41,040
		Total Utilities		470,099
		TOTAL COMMON STOCKS (COST $31,866,346)		28,367,696
		RIGHTS AND WARRANTS — 0.0%
		Information Technology — 0.0%
	800	Seagate Technology, Inc. Rights *(a)		8
		TOTAL RIGHTS AND WARRANTS (COST $0)		8
		SHORT-TERM INVESTMENTS — 3.3%
	399,325	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $399,350 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 8.13%, maturity date of 08/15/19 and a market value, including accrued interest, of $403,126.		399,325
	580,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (b)		575,899
		TOTAL SHORT-TERM INVESTMENTS (COST $974,022)		975,224
		TOTAL INVESTMENTS — 99.9% (Cost $32,840,368)		29,342,928
		Other Assets and Liabilities (net) — 0.1%		15,090
		TOTAL NET ASSETS — 100.0%	$	29,358,018

See accompanying notes to the financial statements.

11

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	9	S&P 500 E-Mini	March 2008	$	599,085	$	(44,937	)

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

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

See accompanying notes to the financial statements.

12

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $32,840,368) (Note 2)	$	29,342,928
Dividends and interest receivable		65,706
Receivable for collateral on open futures contracts (Note 2)		32,400
Receivable for expenses reimbursed by Manager (Note 3)		3,480
Total assets		29,444,514
Liabilities:
Payable to affiliate for (Note 3):
Management fee		7,332
Shareholder service fee		3,547
Trustees and Chief Compliance Officer of GMO Trust fees		34
Payable for variation margin on open futures contracts (Note 2)		15,525
Accrued expenses		60,058
Total liabilities		86,496
Net assets	$	29,358,018
Net assets consist of:
Paid-in capital	$	34,548,391
Accumulated undistributed net investment income		49,547
Distributions in excess of net realized gains		(1,697,543	)
Net unrealized depreciation		(3,542,377	)
	$	29,358,018
Net assets attributable to:
Class III shares	$	29,358,018
Shares outstanding:
Class III		3,734,671
Net asset value per share:
Class III	$	7.86

See accompanying notes to the financial statements.

13

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	771,798
Interest		47,715
Securities lending income		2,125
Total investment income		821,638
Expenses:
Management fee (Note 3)		106,597
Shareholder service fee – Class III (Note 3)		51,579
Custodian, fund accounting agent and transfer agent fees		29,176
Audit and tax fees		48,721
Legal fees		954
Trustees fees and related expenses (Note 3)		383
Registration fees		92
Miscellaneous		1,615
Total expenses		239,117
Fees and expenses reimbursed by Manager (Note 3)		(80,462	)
Net expenses		158,655
Net investment income (loss)		662,983
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		656,096
Closed futures contracts		(49,132	)
Net realized gain (loss)		606,964
Change in net unrealized appreciation (depreciation) on:
Investments		(5,030,104	)
Open futures contracts		(44,937	)
Net unrealized gain (loss)		(5,075,041	)
Net realized and unrealized gain (loss)		(4,468,077	)
Net increase (decrease) in net assets resulting from operations	$	(3,805,094	)

See accompanying notes to the financial statements.

14

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	662,983		$	1,723,568
Net realized gain (loss)		606,964			12,682,583
Change in net unrealized appreciation (depreciation)		(5,075,041	)		(5,467,234	)
Net increase (decrease) in net assets from operations		(3,805,094	)		8,938,917
Distributions to shareholders from:
Net investment income
Class III		(613,306	)		(1,952,221	)
Net realized gains
Class III		(2,010,274	)		(13,723,856	)
		(2,623,580	)		(15,676,077	)
Net share transactions (Note 7):
Class III		60,351			(53,141,064	)
Total increase (decrease) in net assets		(6,368,323	)		(59,878,224	)
Net assets:
Beginning of period		35,726,341			95,604,565
End of period (including accumulated undistributed net investment income of $49,547 and $0, respectively)	$	29,358,018		$	35,726,341

See accompanying notes to the financial statements.

15

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	9.68		$	10.78		$	11.71		$	11.36		$	8.05
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.21			0.26			0.20			0.17
Net realized and unrealized gain (loss)		(1.23	)		0.80			0.58			0.86			3.31
Total from investment operations		(1.05	)		1.01			0.84			1.06			3.48
Less distributions to shareholders:
From net investment income		(0.18	)		(0.23	)		(0.28	)		(0.19	)		(0.17	)
From net realized gains		(0.59	)		(1.88	)		(1.49	)		(0.52	)		—
Total distributions		(0.77	)		(2.11	)		(1.77	)		(0.71	)		(0.17	)
Net asset value, end of period	$	7.86		$	9.68		$	10.78		$	11.71		$	11.36
Total Return(a)		(11.88	)%		9.80	%		7.73	%		9.59	%		43.68	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	29,358		$	35,726		$	95,605		$	112,411		$	71,931
Net expenses to average daily net assets		0.46	%		0.46	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.93	%		1.91	%		2.31	%		1.79	%		1.77	%
Portfolio turnover rate		75	%		72	%		62	%		60	%		65	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.23	%		0.13	%		0.12	%		0.10	%		0.14	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

16

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks long-term capital growth. The Fund seeks to achieve its objective by outperforming the Russell 1000 Value Index. The Fund typically makes equity investments in U.S. companies that issue stocks included in the Russell 1000 Index, and companies with similar market capitalizations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Futures contracts

The Fund may purchase and sell futures contracts. 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

17

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

18

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

19

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions, derivative contract transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess Of Net Realized Gains		Paid-in Capital
$	(130	)	$	130	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	1,421,484	$	5,722,969
Long-term capital gains		1,202,096		9,953,108
Total distributions	$	2,623,580	$	15,676,077

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income  $49,547

20

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $1,341,682.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	33,241,165	$	939,605	$	(4,837,842	)	$	(3,898,237	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered

21

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.31% of the 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 29, 2008 was $291 and $95, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated 24,829,180 and $27,110,694, respectively.

22

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 90.57% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.09% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts, and 0.14% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		183,699		$	1,585,009			909,979		$	10,011,363
Shares issued to shareholders in reinvestment of distributions		279,714			2,550,763			1,544,864			15,522,367
Shares repurchased		(421,121	)		(4,075,421	)		(7,627,314	)		(78,674,794	)
Net increase (decrease)		42,292		$	60,351			(5,172,471	)	$	(53,141,064	)

23

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

24

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.46	%	$	1,000.00	$	862.00	$	2.13
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.58	$	2.31

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

25

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $1,202,096 from long-term capital gains.

For taxable, non-corporate shareholders, 20.62% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 20.73% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $23,800 and $825,281, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

26

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 1.27% of distributions to shareholders declared from net realized gains during the Fund's fiscal year were reclassified to distributions from net investment income and are reflected as such in the Statement of Changes in Net Assets.

27

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 Office1 and 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/oGMO Trust 40Rowes Wharf Boston,MA 02110 DOB: 07/26/1944	Chairman of theBoard of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004– March 2005); Trustee since December 2000.	Consultant – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

28

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/oGMO Trust 40Rowes 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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
Brent C. Arvidson c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 06/26/1969	Assistant Treasurer	Since August 1998.	Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.
John L. Nasrah c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Michael E. Gillespie c/oGMO Trust 40Rowes 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).
Jason B. Harrison c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (sinceFebruary 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

31

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Currency Hedged International Bond Fund returned -3.1% for the fiscal year ended February29, 2008, compared with the +5.2% return for the JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan). The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, including the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 8.3%. Cash management was the primary contributor to negative performance for the fiscal year, followed by interest-rate strategy, currency selection, and emerging debt exposure losses.

More than 70% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the strategy invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 bps, directly contributing to the Fund's underperformance given its 93% exposure to these two funds.

Further strategy underperformance was attributable to interest-rate and currency strategies. For much of the fiscal year, the strategy was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Similar results came out of two other cross-sectional models implemented in swaps. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

*   JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan)+ represents the JPMorgan Non-U.S. Government Bond Index (Hedged) prior to 12/31/03 and the JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		88.6	%
Short-Term Investments		11.2
Futures		1.6
Options Purchased		0.3
Forward Currency Contracts		0.3
Loan Participations		0.2
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Written Options		(0.1	)
Swaps		(0.2	)
Reverse Repurchase Agreements		(0.6	)
Other		(1.4	)
		100.0	%
Country/Region Summary**	% of Investments
Euro Region***		66.2	%
Japan		7.1
Canada		7.0
Australia		6.4
United States		4.1
United Kingdom		3.5
Switzerland		3.1
Emerging		2.6
		100.0	%

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

**    The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		MUTUAL FUNDS — 96.5%
		United States — 96.5%
		Affiliated Issuers
	464,947	GMO Emerging Country Debt Fund, Class III		4,677,363
	4,763,842	GMO Short-Duration Collateral Fund		114,475,125
	5,496	GMO Special Purpose Holding Fund (a) (b)		6,924
	1,217,947	GMO World Opportunity Overlay Fund		31,276,870
		Total United States		150,436,282
		TOTAL MUTUAL FUNDS (COST $157,523,933)		150,436,282
Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.2%
		Money Market Funds — 0.7%
	1,093,420	State Street Institutional Liquid Reserves Fund-Institutional Class		1,093,420
		Other Short-Term Investments — 2.5%
	4,000,000	U.S. Treasury Bill, 2.05%, due 04/17/08 (c)		3,989,294
		TOTAL SHORT-TERM INVESTMENTS (COST $5,082,714)		5,082,714
		TOTAL INVESTMENTS — 99.7% (Cost $162,606,647)		155,518,996
		Other Assets and Liabilities (net) — 0.3%		432,799
		TOTAL NET ASSETS — 100.0%	$	155,951,795

See accompanying notes to the financial statements.

2

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/04/08	AUD		4,000,000	$	3,726,200	$	189,068
3/04/08	AUD		1,900,000		1,769,945		7,781
5/06/08	AUD		2,100,000		1,940,523		(33,477	)
5/06/08	AUD		2,000,000		1,848,117		(8,923	)
3/11/08	CAD		2,700,000		2,742,810		88,256
4/01/08	CHF		15,900,000		15,269,675		636,462
4/15/08	EUR		7,600,000		11,522,818		540,818
4/15/08	EUR		1,200,000		1,819,392		61,488
3/25/08	GBP		1,500,000		2,976,480		2,880
3/25/08	GBP		2,000,000		3,968,640		59,061
3/25/08	GBP		1,000,000		1,984,320		360
4/22/08	JPY		50,000,000		482,693		16,997
4/08/08	NZD		1,600,000		1,272,485		28,485
4/08/08	NZD		1,900,000		1,511,076		(21,768	)
4/08/08	NZD		2,200,000		1,749,667		(30,969	)
				$	54,584,841	$	1,536,519
Sales
3/04/08	AUD		3,800,000	$	3,539,890	$	(224,466	)
3/04/08	AUD		2,100,000		1,956,255		33,789
3/11/08	CAD		5,400,000		5,485,620		(11,427	)
4/01/08	CHF		3,100,000		2,977,106		(170,889	)
4/01/08	CHF		10,100,000		9,699,605		(304,118	)
4/15/08	EUR		2,500,000		3,790,401		(173,401	)
4/15/08	EUR		1,500,000		2,274,240		(7,020	)
3/25/08	GBP		3,400,000		6,746,688		(62,968	)
4/22/08	JPY		235,000,000		2,268,659		(84,238	)
4/08/08	NZD		1,200,000		954,364		(12,976	)
				$	39,692,828	$	(1,017,714	)

See accompanying notes to the financial statements.

3

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
3/18/08	EUR	5,500,000	SEK	51,698,055	$	33,110
3/18/08	SEK	35,774,090	EUR	3,800,000		(31,861	)
4/29/08	EUR	4,600,000	NOK	36,280,200		(42,220	)
4/29/08	NOK	11,834,250	EUR	1,500,000		13,051
					$	(27,920	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	16	Australian Government Bond 10 Yr.	March 2008	$	1,464,163	$	469
	79	Australian Government Bond 3 Yr.	March 2008		7,234,966		14,745
	122	Canadian Government Bond 10 Yr.	June 2008		14,613,970		294,548
	240	Euro BOBL	March 2008		40,569,219		907,718
	516	Euro Bund	March 2008		91,700,754		1,348,512
	10	Japanese Government Bond 10 Yr. (TSE)	March 2008		13,328,521		151,174
	42	UK Gilt Long Bond	June 2008		9,206,042		155,992
				$	178,117,635	$	2,873,158
Sales
	15	Euro Bund	March 2008	$	2,665,720	$	(22,569	)
	615	Federal Fund 30 day	March 2008		249,440,891		(38,535	)
	7	U.S. Long Bond (CBT)	June 2008		830,375		(18,828	)
	41	U.S. Treasury Note 10 Yr.	June 2008		4,808,531		(85,937	)
	106	U.S. Treasury Note 2 Yr. (CBT)	June 2008		22,781,719		(145,992	)
	10	U.S. Treasury Note 5 Yr. (CBT)	June 2008		1,142,500		(15,203	)
				$	281,669,736	$	(327,064	)

See accompanying notes to the financial statements.

4

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	7,600,000	CHF	3/19/2013	JP Morgan Chase Bank	Receive		3.00	%	6 month CHF LIBOR		$	50,068
	4,200,000	AUD	3/19/2018	JP Morgan Chase Bank	Receive		7.07	%	6 month AUD BBSW			(53,090	)
						Premiums to (Pay) Receive			$	25,935	$	(3,022	)

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

LIBOR - London Interbank Offered Rate

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

See accompanying notes to the financial statements.

5

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $5,082,714) (Note 2)	$	5,082,714
Investments in affiliated issuers, at value (cost $157,523,933) (Notes 2 and 8)		150,436,282
Interest receivable		4,644
Unrealized appreciation on open forward currency contracts (Note 2)		1,711,606
Receivable for variation margin on open futures contracts (Note 2)		1,135,209
Receivable for open swap contracts (Note 2)		50,068
Receivable for expenses reimbursed by Manager (Note 3)		12,822
Total assets		158,433,345
Liabilities:
Payable for investments purchased		1,000,000
Payable to broker for closed futures contracts		68,655
Payable to affiliate for (Note 3):
Management fee		33,441
Shareholder service fee		20,065
Trustees and Chief Compliance Officer of GMO Trust fees		202
Unrealized depreciation on open forward currency contracts (Note 2)		1,220,721
Payable for open swap contracts (Note 2)		53,090
Accrued expenses		85,376
Total liabilities		2,481,550
Net assets	$	155,951,795
Net assets consist of:
Paid-in capital	$	167,280,391
Distributions in excess of net investment income		(21,511,882	)
Accumulated net realized gain		14,212,060
Net unrealized depreciation		(4,028,774	)
	$	155,951,795
Net assets attributable to:
Class III shares	$	155,951,795
Shares outstanding:
Class III		17,750,433
Net asset value per share:
Class III	$	8.79

See accompanying notes to the financial statements.

6

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	69,492
Interest		1,181,261
Dividends from affiliated issuers (Note 8)		7,557,704
Total investment income		8,808,457
Expenses:
Management fee (Note 3)		549,560
Shareholder service fee – Class III (Note 3)		329,736
Custodian, fund accounting agent and transfer agent fees		86,239
Audit and tax fees		61,386
Legal fees		8,080
Trustees fees and related expenses (Note 3)		2,113
Registration fees		736
Miscellaneous		1,965
Total expenses		1,039,815
Fees and expenses reimbursed by Manager (Note 3)		(155,099	)
Expense reductions (Note 2)		(7	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(29,299	)
Shareholder service fee waived (Note 3)		(10,443	)
Net expenses		844,967
Net investment income (loss)		7,963,490
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(1,785,260	)
Realized gains distributions from affiliated issuers (Note 8)		327,724
Closed futures contracts		(8,366,620	)
Closed swap contracts		(1,151,270	)
Foreign currency, forward contracts and foreign currency related transactions		(3,168,028	)
Net realized gain (loss)		(14,143,454	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		371,706
Investments in affiliated issuers		(8,023,870	)
Open futures contracts		6,465,450
Open swap contracts		(75,172	)
Foreign currency, forward contracts and foreign currency related transactions		(43,340	)
Net unrealized gain (loss)		(1,305,226	)
Net realized and unrealized gain (loss)		(15,448,680	)
Net increase (decrease) in net assets resulting from operations	$	(7,485,190	)

See accompanying notes to the financial statements.

7

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	7,963,490		$	10,998,262
Net realized gain (loss)		(14,143,454	)		5,806,574
Change in net unrealized appreciation (depreciation)		(1,305,226	)		(5,959,340	)
Net increase (decrease) in net assets from operations		(7,485,190	)		10,845,496
Distributions to shareholders from:
Net investment income
Class III		(315,341	)		—
Net realized gains
Class III		—			(6,799,302	)
Return of capital
Class III		(2,600,431	)		(239,876	)
		(2,915,772	)		(7,039,178	)
Net share transactions (Note 7):
Class III		(108,068,985	)		(683,279,021	)
Total increase (decrease) in net assets		(118,469,947	)		(679,472,703	)
Net assets:
Beginning of period		274,421,742			953,894,445
End of period (including distributions in excess of net investment income of $21,511,882 and $19,300,442, respectively)	$	155,951,795		$	274,421,742

See accompanying notes to the financial statements.

8

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	9.21		$	9.04		$	9.59		$	9.16		$	8.85
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.33			0.17			0.18			0.14			0.06
Net realized and unrealized gain (loss)		(0.62	)		0.15			0.39			0.44			0.76
Total from investment operations		(0.29	)		0.32			0.57			0.58			0.82
Less distributions to shareholders:
From net investment income		(0.01	)		—			(1.00	)(b)		(0.15	)		(0.51	)
From net realized gains		—			(0.14	)		(0.12	)		—			—
Return of capital		(0.12	)		(0.01	)		—			—			—
Total distributions		(0.13	)		(0.15	)		(1.12	)		(0.15	)		(0.51	)
Net asset value, end of period	$	8.79		$	9.21		$	9.04		$	9.59		$	9.16
Total Return(c)		(3.08	)%		3.58	%		6.01	%		6.35	%		9.53	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	155,952		$	274,422		$	953,894		$	1,015,009		$	222,872
Net expenses to average daily net assets(d)		0.38	%(e)		0.39	%		0.39	%		0.39	%		0.38	%
Net investment income to average daily net assets(a)		3.62	%		1.93	%		1.91	%		1.51	%		0.68	%
Portfolio turnover rate		55	%		25	%		49	%		44	%		36	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.09	%		0.06	%		0.06	%		0.09	%		0.24	%

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  Distributions from net investment income include amounts (approximately $0.49 per share) from foreign currency transactions which are treated as realized capital gain for book purposes.

(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

9

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Currency Hedged International Bond 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 Funds into classes.

The Fund seeks total return greater then that of the JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan). The Fund typically invests in bonds included in the JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) and in securities and instruments with similar characteristics. The Fund seeks additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its assets in shares of GMO Short-Duration Collateral Fund; futures contracts, currency options, currency forwards, swap contracts, and other types of derivatives; investment-grade bonds denominated in various currencies, including foreign and U.S. government securities and asset-backed securities issued by foreign governments and U.S. government agencies (including securities neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; shares of GMO World Opportunity Overlay Fund; and up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF"). The Fund generally attempts to hedge at least 75% of the Fund's net foreign currency exposure into the U.S. dollar.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). Shares of GMO Special Purpose Holding Fund, GMO World Opportunity Overlay Fund and GMO Short-Duration Collateral Fund are not publicly available.

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. The accounting records of the Fund are maintained in U.S. dollars.

10

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 31.47% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $35,644 through SPHF in conjunction with settlement agreements related to the default of those securities.

Foreign currency translation

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

11

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

12

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

day by the board of trade or exchange on which they are traded. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all

13

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

14

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

15

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions, derivative contract transactions, partnership interest tax allocations, foreign currency transactions and post-October capital losses.

16

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income			Accumulated Net Realized Gain		Paid-in Capital
$	(9,859,589	)	$	10,421,626	$	(562,037	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	315,341	$	596,003
Long-term capital gains		—		6,203,299
	$	315,341	$	6,799,302
Tax return of capital		2,600,431		239,876
Total distributions	$	2,915,772	$	7,039,178

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

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $2,100,592.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2009	$	(876,665	)
Total	$	(876,665	)

17

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	166,743,837	$	6,924	$	(11,231,765	)	$	(11,224,841	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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. The risks

18

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust,

19

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded Fund Fees and Expenses), exceeds 0.25% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.015	%		0.005	%		0.038	%		0.058	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $1,837 and $774, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration is paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	5,636,302	$	30,601,160
Investments (non-U.S. Government securities)		114,903,288		202,986,665

20

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 99.23% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts, and 99.23% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		5,140,961		$	46,315,270			3,950,878		$	35,845,055
Shares issued to shareholders in reinvestment of distributions		335,743			2,900,816			760,271			6,974,406
Shares repurchased		(17,538,414	)		(157,285,071	)		(80,460,422	)		(726,098,482	)
Net increase (decrease)		(12,061,710	)	$	(108,068,985	)		(75,749,273	)	$	(683,279,021	)

21

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	8,433,652	$	752,104	$	4,100,000	$	460,024	$	292,080	$	4,677,363
GMO Short-Duration Collateral Fund		183,379,841		102,797,680		163,675,000		7,097,680		—		114,475,125
GMO Special Purpose Holding Fund		7,749		—		—		—		35,644		6,924
GMO World Opportunity Overlay Fund		55,039,560		11,250,000		34,575,000		—		—		31,276,870
Totals	$	246,860,802	$	114,799,784	$	202,350,000	$	7,557,704	$	327,724	$	150,436,282

22

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Currency Hedged International Bond 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 Currency Hedged International Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

23

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.43	%	$	1,000.00	$	989.60	$	2.13
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

24

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $315,341 or if determined to be different, the qualified interest income of such year.

25

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 89.18% of distributions to shareholders declared from net investment income during the Fund's fiscal year were reclassified to distributions from return of capital and are reflected as such in the Statement of Changes in Net Assets.

26

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

27

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

28

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002–2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

29

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

30

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

GMO Special Purpose Holding Fund returned +517.5% for the fiscal year ended February 29, 2008, compared with the +5.8% for the JPMorgan U.S. 3 Month Cash Index.

The Fund outperformed the benchmark during the fiscal year by +511.7%. The returns on the Fund were positive as trust administrators released a portion of principal to bondholders in two separate payments; the first payment was in March and the second, smaller payment occurred in October.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Special Purpose Holding Fund

(A Series of GMO Trust)
Consolidated Investments Concentration Summary^(a)
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		0.0	%
Other		100.0
		100.0	%

(a)  GMO SPV I, LLC is a 74.9% owned subsidiary of GMO Special Purpose Holding Fund.

1

GMO Special Purpose Holding Fund

(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Description	Value ($)
DEBT OBLIGATIONS — 0.0% (a)
Asset-Backed Securities — 0.0%
Health Care Receivables — 0.0%
Interest related to the Bankruptcy Estate of NPF VI Inc. Series 02-1 Class A (b) (c)		—
Interest related to the Bankruptcy Estate of NPF XII Inc. Series 00-3 Class A (b) (c)		—
Interest related to the Bankruptcy Estate of NPF XII Inc. Series 02-1 Class A (b) (c)		—
		—
Total Asset-Backed Securities		—
TOTAL DEBT OBLIGATIONS (COST $0)		—
TOTAL INVESTMENTS — 0.0% (Cost $0)		—
Other Assets and Liabilities (net) — 100.0%		696,837
TOTAL NET ASSETS — 100.0%	$	696,837

Notes to Schedule of Investments:

(a)  Owned by GMO SPV I, LLC. GMO SPV I, LLC is a 74.9% subsidiary of GMO Special Purpose
Holding Fund.

(b)  Security in default.

(c)  Security valued at fair value using methods determined in good faith by or at the direction of the
Trustees of GMO Trust (Note 2).

See accompanying notes to the financial statements.

2

GMO Special Purpose Holding Fund

(A Series of GMO Trust)


Consolidating Statement of Assets and Liabilities — February 29, 2008

	GMO Special Purpose Holding Fund		GMO SPV I, LLC		Minority Interest			Eliminations			Consolidated Totals
Assets:
Investments in affiliated issuers, at value (cost $0) (Note 2)	$	276,862	$	—	$	—		$	(276,862	)	$	—
Cash		510,448		476,697		—			—			987,145
Interest receivable		667		625		—			—			1,292
Receivable for expenses reimbursed by Manager (Note 3)		493		8,587		—			—			9,080
Total assets		788,470		485,909		—			(276,862	)		997,517
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		4		—		—			—			4
Accrued expenses		91,629		121,751		—			—			213,380
Minority interest		—		—		87,296			—			87,296
Total liabilities		91,633		121,751		87,296			—			300,680
Net assets	$	696,837	$	364,158	$	(87,296	)	$	(276,862	)	$	696,837
Shares outstanding		554,071										554,071
Net asset value per share	$	1.26									$	1.26

See accompanying notes to the financial statements.

3

GMO Special Purpose Holding Fund

(A Series of GMO Trust)


Consolidating Statement of Operations — Year Ended February 29, 2008

	GMO Special Purpose Holding Fund			GMO SPV I, LLC			Minority Interest			Eliminations			Consolidated Totals
Investment Income:
Interest	$	16,049		$	20,508		$	—		$	—		$	36,557
Total income		16,049			20,508			—			—			36,557
Expenses:
Custodian and transfer agent fees		550			28,088			—			—			28,638
Audit and tax fees		39,885			10,466			—			—			50,351
Trustees fees and related expenses (Note 3)		1			—			—			—			1
Miscellaneous		1,484			538			—			—			2,022
Total expenses		41,920			39,092			—			—			81,012
Fees and expenses reimbursed by Manager (Note 3)		(41,919	)		(39,092	)		—			—			(81,011	)
Net expenses		1			—			—			—			1
Net income (loss)		16,048			20,508			—			—			36,556
Minority Interest		—			—			(4,916	)		—			(4,916	)
Net investment income (loss) after minority interest		16,048			20,508			(4,916	)		—			31,640
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			4,638,699			—			—			4,638,699
Realized gains distributions from affiliated issuers		3,593,689			—			—			(3,593,689	)		—
Net realized gain (loss)		3,593,689			4,638,699			—			(3,593,689	)		4,638,699
Change in net unrealized appreciation (depreciation) on:
Investments		(98,880	)		—			—			98,880			—
Net unrealized gain (loss)		(98,880	)		—			—			98,880			—
Net realized and unrealized gain (loss)		3,494,809			4,638,699			—			(3,494,809	)		4,638,699
Minority interest in realized and unrealized gain (loss)		—			—			(1,159,482	)		—			(1,159,482	)
Net increase (decrease) in net assets resulting from operations	$	3,510,857		$	4,659,207		$	(1,164,398	)	$	(3,494,809	)	$	3,510,857

See accompanying notes to the financial statements.

4

GMO Special Purpose Holding Fund

(A Series of GMO Trust)


Consolidated Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	36,556		$	32,527
Net realized gain (loss)		4,638,699			34,577,048
Change in net unrealized appreciation (depreciation)		—			(4,162,820	)
		4,675,255			30,446,755
Minority Interest		(1,164,398	)		(7,632,005	)
Net increase (decrease) in net assets from operations		3,510,857			22,814,750
Cash distributions to shareholders		(3,593,689	)		(26,587,616	)
		(3,593,689	)		(26,587,616	)
Fund share transactions: (Note 7)
Proceeds from sale of shares		—			139,034
Cost of shares repurchased		—			(139,034	)
Net increase (decrease) from Fund share transactions		—			—
Total increase (decrease) in net assets		(82,832	)		(3,772,866	)
Net assets:
Beginning of period		779,669			4,552,535
End of period	$	696,837		$	779,669

See accompanying notes to the financial statements.

5

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29
	2008			2007			2006			2005
Net asset value, beginning of period	$	1.41		$	8.22		$	15.51		$	24.11
Income from investment operations:
Net investment income (loss)†		0.06			0.02			(0.08	)		0.41
Net realized and unrealized gain (loss)		6.28			41.16			8.57			9.08
Total from investment operations		6.34			41.18			8.49			9.49
Less distributions to shareholders:
From net investment income		—			—			—			(0.74	)
From cash distributions		(6.49	)		(47.99	)		(15.78	)		(17.29	)
From return of capital		—			—			—			(0.06	)
Total distributions		(6.49	)		(47.99	)		(15.78	)		(18.09	)
Net asset value, end of period	$	1.26		$	1.41		$	8.22		$	15.51
Total Return(b)		517.54	%(c)		3613.95	%(c)		124.75	%(c)		36.35	%(c)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	697		$	780		$	4,553		$	8,595
Net operating expenses to average daily net assets		0.00	%		0.85	%		1.26	%		(0.01	)%
Interest expense to average daily net assets		—			—			—			—
Total net expenses to average daily net assets		0.00	%(f)		0.85	%		1.26	%		(0.01	)%
Net investment income to average daily net assets		3.91	%		1.05	%		(0.65	)%		1.83	%
Portfolio turnover rate		0	%		0	%		0	%		0	%
Fees and expenses reimbursed by the Manager to average daily net assets:		8.84	%		3.74	%		1.39	%		0.67	%

(a)  The Fund changed its fiscal year end from November 30 to February 28.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  Had the effect of reinvested distributions not been assumed and income from investment operations been retained, the total returns would have been 7.61%, 97.84%, 25.27%, and 39.36% for the fiscal years ended 2008, 2007, 2006, and 2005, respectively.

(d)  Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

(e)  Interest expense as a percentage of average daily net assets was less than 0.01%.

(f)  Total net expenses as a percentage of average daily net assets was less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

6

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

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

	Period from December 1, 2003 through			Year Ended
	February 29, 2004(a)			November 30, 2003
Net asset value, beginning of period	$	23.89		$	23.77
Income from investment operations:
Net investment income (loss)†		0.13			0.75
Net realized and unrealized gain (loss)		0.09			(0.63	)
Total from investment operations		0.22			0.12
Less distributions to shareholders:
From net investment income		—			—
From cash distributions		—			—
From return of capital		—			—
Total distributions		—			—
Net asset value, end of period	$	24.11		$	23.89
Total Return(b)		0.92	%**		0.50	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	225,727		$	224,113
Net operating expenses to average daily net assets		0.08	%*		0.13	%
Interest expense to average daily net assets		0.04	%(e)*		0.00	%(d)(e)
Total net expenses to average daily net assets		0.12	%*		0.13	%
Net investment income to average daily net assets		0.49	%*		3.11	%
Portfolio turnover rate		4	%**		80	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%*		0.10	%

See accompanying notes to the financial statements.

7

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Special Purpose Holding 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 Funds into classes.

The Fund seeks total return. The Fund's investments consist primarily of: (i) units of GMO SPV I, LLC ("SPV"), a special purpose vehicle that holds an interest in liquidating trusts related to certain defaulted asset-backed securities (the "NPF Securities") issued by NPF VI, Inc. and NPF XII, Inc., and (ii) cash and cash items.

Shares of the Fund are not publicly offered and are principally available only to other GMO Funds of the Trust and certain accredited investors. Presently the Fund is closed to new investment.

In April 2004, a plan of liquidation ("the Plan") was approved by the bankruptcy court with respect to National Century Financial Enterprises and the NPF Securities. Pursuant to the Plan, the Fund received a cash distribution, less expenses associated with the transaction and an interest in additional amounts recovered by the bankruptcy estate. The Fund, together with other creditors, are continuing to pursue various claims resulting from its holdings of the NPF Securities. The ultimate amount of losses and costs associated with the NPF Securities that may be recovered by the Fund (through its investment in SPV) is not known at this time.

The Fund has litigation pending against various entities related to the default of the NPF Securities. For the year ended February 29, 2008, the Fund indirectly received $3,593,689 in conjunction with a settlement agreement related to the default of those securities. The outcome of the lawsuits against the remaining defendants is not predictable and any potential recoveries are not reflected in the net asset value of the Fund. To the extent additional recoveries are realized, such recoveries may be material to the net asset value of the Fund.

2.  Significant accounting policies

The following is a summary of significant accounting policies 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

8

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 29, 2008

reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Basis of presentation and principles of consolidation

The accompanying consolidated financial statements include the accounts of the Fund and its majority owned investment in SPV. The consolidated financial statements include 100% of the assets and liabilities of SPV and the ownership interests of minority participants are recorded as "Minority Interest". All significant interfund accounts and transactions have been eliminated in consolidation.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Taxes

Effective April 1, 2004, the Fund elected to be taxed as a partnership for federal income tax purposes and, accordingly, the Fund is no longer a regulated investment company 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 and state income taxes is reflected in the accompanying financial statements.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)		Net Unrealized Appreciation (Depreciation)
$	—	$	—	$	—	$	—

SPV is also treated as a partnership for federal income tax purposes and subject to the same rules as the Fund with respect to the taxation of partnerships.

9

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 29, 2008

Distributions

The Fund will distribute proceeds and other cash receipts received from its underlying investments. Distributions made by the Fund, other than a distribution in partial or complete redemption of a shareholder's interest in the Fund, are reported in the Fund's financial statements as cash distributions.

Security transactions and related investment income

Security transactions are accounted for on trade date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Income is not recognized on securities for which collection is not expected. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Consolidating Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value

10

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 29, 2008

in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. In addition, the Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes). The costs incurred in connection with the Fund's pursuit of legal claims arising from the Fund's investment in the NPF securities are being treated for the purposes of the expense reimbursement as extraordinary expenses.

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $1 and $0, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Consolidating Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

There were no purchases or sales of securities, excluding short-term investments, for the year ended February 29, 2008.

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.

11

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

At February 29, 2008, 61.72% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. 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 29, 2008, there were no shares held by related parties, and 100% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008		Year Ended February 28, 2007
Shares sold		—		28,918
Shares repurchased		—		(28,918	)
Net decrease		—		—
Fund shares:
Beginning of period		554,071		554,071
End of period		554,071		554,071

12

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Special Purpose Holding Fund

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Special Purpose Holding Fund (the "Fund") and subsidiary at February 29, 2008, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

13

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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*
1) Actual		0.00	%	$	1,000.00	$	1,131.44	$	0.00
2) Hypothetical		0.00	%	$	1,000.00	$	1,024.86	$	0.00

*  Expenses are calculated using the annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year. Net expenses incurred were less than $0.01.

14

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

15

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

16

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

17

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

18

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO U.S. Quality 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. Quality Equity Fund returned -1.8% for the fiscal year ended February 29, 2008, as compared to -3.6% for the S&P 500 Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the S&P 500 Index. Selections in Telecommunication Services, Information Technology, and Consumer Staples added to relative returns while selections in Consumer Discretionary, Health Care, and Energy detracted. Overweight positions in Coca-Cola and Merck and an underweight in Citigroup added to relative returns. Overweight positions in Lowe's Companies, Home Depot, and Forest Laboratories detracted.

Sector selection added to returns relative to the S&P 500 Index. Sector weightings positively impacting relative performance included an underweight position in Financials and overweight positions in Consumer Staples and Health Care. Sector weightings negatively impacting relative performance included underweight positions in Energy, Materials, and Industrials.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Classes IV, V and VI will vary due to different fees.

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.8	%
Short-Term Investments		4.8
Futures		(0.0	)
Other		0.4
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		31.2	%
Consumer Staples		24.5
Information Technology		18.7
Energy		10.7
Industrials		5.7
Consumer Discretionary		4.8
Telecommunication Services		4.2
Financials		0.2
		100.0	%

1

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 94.8%
		Consumer Discretionary — 4.5%
	247,700	Coach, Inc. *		7,510,264
	7,188,600	Home Depot, Inc.		190,857,330
	3,540,400	Lowe's Cos., Inc.		84,863,388
	381,500	McDonald's Corp.		20,642,965
	220,300	Nike, Inc.-Class B		13,262,060
	379,200	Target Corp.		19,949,712
	531,800	VF Corp.		40,438,072
		Total Consumer Discretionary		377,523,791
		Consumer Staples — 23.2%
	1,306,200	Anheuser-Busch Cos., Inc.		61,508,958
	662,100	Avon Products, Inc.		25,199,526
	233,700	Clorox Co.		13,599,003
	8,782,300	Coca-Cola Co. (The)		513,413,258
	726,000	Colgate-Palmolive Co.		55,241,340
	299,800	Energizer Holdings, Inc. *		27,830,434
	477,200	Estee Lauder Cos. (The), Inc.-Class A		20,319,176
	267,800	General Mills, Inc.		14,994,122
	379,400	Kellogg Co.		19,243,168
	1,004,400	Kimberly-Clark Corp.		65,466,792
	1,219,800	Kraft Foods, Inc.		38,021,166
	4,168,600	PepsiCo, Inc.		289,967,816
	3,157,300	Procter & Gamble Co. (The)		208,950,114
	1,262,600	Walgreen Co.		46,097,526
	10,387,600	Wal-Mart Stores, Inc.		515,121,084
	397,300	WM Wrigley Jr. Co.		23,782,378
		Total Consumer Staples		1,938,755,861
		Energy — 10.1%
	3,525,100	Chevron Corp.		305,485,166
	6,185,500	Exxon Mobil Corp.		538,200,355
		Total Energy		843,685,521

See accompanying notes to the financial statements.

2

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — 0.2%
	283,400	Allstate Corp. (The)		13,526,682
		Health Care — 29.7%
	2,248,505	Abbott Laboratories		120,407,443
	1,224,860	Amgen, Inc. *		55,755,627
	684,600	Coventry Health Care, Inc. *		35,510,202
	2,058,873	Eli Lilly & Co.		102,984,828
	812,400	Express Scripts, Inc. *		48,012,840
	1,313,600	Forest Laboratories, Inc. *		52,241,872
	8,044,100	Johnson & Johnson		498,412,436
	1,844,130	Medtronic, Inc.		91,026,257
	7,303,000	Merck & Co., Inc.		323,522,900
	22,536,700	Pfizer, Inc.		502,117,676
	531,000	Stryker Corp.		34,573,410
	7,938,800	UnitedHealth Group, Inc.		368,995,424
	783,200	WellPoint, Inc. *		54,886,656
	1,941,320	Wyeth		84,680,378
	1,317,500	Zimmer Holdings, Inc. *		99,194,575
		Total Health Care		2,472,322,524
		Industrials — 5.4%
	2,607,100	3M Co.		204,396,640
	673,600	Danaher Corp.		49,947,440
	203,300	General Dynamics Corp.		16,640,105
	257,600	Illinois Tool Works, Inc.		12,640,432
	303,600	L-3 Communications Holdings, Inc.		32,269,644
	731,800	United Parcel Service, Inc.-Class B		51,401,632
	1,196,000	United Technologies Corp.		84,329,960
		Total Industrials		451,625,853
		Information Technology — 17.7%
	9,456,700	Cisco Systems, Inc. *		230,459,779
	412,800	Citrix Systems, Inc. *		13,593,504
	3,193,900	Dell, Inc. *		63,398,915

See accompanying notes to the financial statements.

3

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares/ Par Value ($)		Description	Value ($)
		Information Technology — continued
	3,935,273	eBay, Inc. *		103,733,796
	525,800	Fiserv, Inc. *		27,667,596
	164,000	Google, Inc.-Class A *		77,273,520
	1,520,300	International Business Machines Corp.		173,101,358
	15,011,100	Microsoft Corp.		408,602,142
	6,743,500	Oracle Corp. *		126,777,800
	5,961,500	Qualcomm, Inc.		252,588,755
		Total Information Technology		1,477,197,165
		Telecommunication Services — 4.0%
	2,970,895	AT&T, Inc.		103,476,273
	6,323,700	Verizon Communications, Inc.		229,676,784
		Total Telecommunication Services		333,153,057
		TOTAL COMMON STOCKS (COST $8,200,647,593)		7,907,790,454
		SHORT-TERM INVESTMENTS — 4.8%
	183,516,374	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $183,527,844 and an effective yield of 0.75%, collateralized by various U.S. Treasury obligations with an interest rate range of 8.13% - 11.25%, maturity date range of 02/15/15 - 08/15/19, and an aggregate market value, including accrued interest, of $186,349,074.		183,516,374
	215,910,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		214,383,300
		TOTAL SHORT-TERM INVESTMENTS (COST $397,452,297)		397,899,674
		TOTAL INVESTMENTS — 99.6% (Cost $8,598,099,890)		8,305,690,128
		Other Assets and Liabilities (net) — 0.4%		31,092,775
		TOTAL NET ASSETS — 100.0%	$	8,336,782,903

See accompanying notes to the financial statements.

4

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	1,230	S&P 500 E-Mini	March 2008	$	81,874,950	$	(1,766,065	)

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

*  Non-income producing security.

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

See accompanying notes to the financial statements.

5

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $8,598,099,890) (Note 2)	$	8,305,690,128
Receivable for Fund shares sold		97,035,687
Dividends and interest receivable		22,666,729
Receivable for collateral on open futures contracts (Note 2)		4,428,000
Receivable for expenses reimbursed by Manager (Note 3)		164,285
Total assets		8,429,984,829
Liabilities:
Payable for Fund shares repurchased		87,945,435
Payable to affiliate for (Note 3):
Management fee		2,196,047
Shareholder service fee		553,196
Trustees and Chief Compliance Officer of GMO Trust fees		8,955
Payable for variation margin on open futures contracts (Note 2)		2,121,748
Accrued expenses		376,545
Total liabilities		93,201,926
Net assets	$	8,336,782,903

See accompanying notes to the financial statements.

6

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	8,574,801,413
Accumulated undistributed net investment income		25,580,711
Accumulated net realized gain		30,576,606
Net unrealized depreciation		(294,175,827	)
	$	8,336,782,903
Net assets attributable to:
Class III shares	$	2,003,758,269
Class IV shares	$	432,045,956
Class V shares	$	663,615,976
Class VI shares	$	5,237,362,702
Shares outstanding:
Class III		97,449,407
Class IV		20,998,610
Class V		32,270,821
Class VI		254,660,700
Net asset value per share:
Class III	$	20.56
Class IV	$	20.57
Class V	$	20.56
Class VI	$	20.57

See accompanying notes to the financial statements.

7

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	137,598,045
Interest		12,465,110
Total investment income		150,063,155
Expenses:
Management fee (Note 3)		22,252,931
Shareholder service fee – Class III (Note 3)		2,892,309
Shareholder service fee – Class IV (Note 3)		632,321
Shareholder service fee – Class V (Note 3)		408,693
Shareholder service fee – Class VI (Note 3)		2,052,644
Custodian, fund accounting agent and transfer agent fees		748,025
Audit and tax fees		53,573
Legal fees		136,229
Trustees fees and related expenses (Note 3)		62,944
Registration fees		109,170
Miscellaneous		66,994
Total expenses		29,415,833
Fees and expenses reimbursed by Manager (Note 3)		(1,085,951	)
Expense reductions (Note 2)		(131,388	)
Net expenses		28,198,494
Net investment income (loss)		121,864,661
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		188,799,858
Closed futures contracts		(2,748,918	)
Net realized gain (loss)		186,050,940
Change in net unrealized appreciation (depreciation) on:
Investments		(586,790,878	)
Open futures contracts		(1,593,115	)
Net unrealized gain (loss)		(588,383,993	)
Net realized and unrealized gain (loss)		(402,333,053	)
Net increase (decrease) in net assets resulting from operations	$	(280,468,392	)

See accompanying notes to the financial statements.

8

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	121,864,661		$	66,894,724
Net realized gain (loss)		186,050,940			67,446,920
Change in net unrealized appreciation (depreciation)		(588,383,993	)		159,498,624
Net increase (decrease) in net assets from operations		(280,468,392	)		293,840,268
Distributions to shareholders from:
Net investment income
Class III		(31,023,169	)		(19,080,483	)
Class IV		(11,111,773	)		(34,152,852	)
Class V		(7,018,463	)		(1,484,773	)
Class VI		(60,979,925	)		(9,870,862	)
Total distributions from net investment income		(110,133,330	)		(64,588,970	)
Net realized gains
Class III		(50,769,370	)		(10,201,001	)
Class IV		(13,927,910	)		(6,234,488	)
Class V		(12,819,629	)		(2,285,549	)
Class VI		(101,916,040	)		(15,025,646	)
Total distributions from net realized gains		(179,432,949	)		(33,746,684	)
		(289,566,279	)		(98,335,654	)
Net share transactions (Note 7):
Class III		572,435,769			396,663,232
Class IV		(356,639,901	)		(1,347,093,160	)
Class V		450,705,666			259,783,734
Class VI		3,017,011,171			2,604,941,562
Increase (decrease) in net assets resulting from net share transactions		3,683,512,705			1,914,295,368
Total increase (decrease) in net assets		3,113,478,034			2,109,799,982
Net assets:
Beginning of period		5,223,304,869			3,113,504,887
End of period (including accumulated undistributed net investment income of $25,580,711 and $13,849,380, respectively)	$	8,336,782,903		$	5,223,304,869

See accompanying notes to the financial statements.

9

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	21.78		$	20.81		$	20.03		$	19.93		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.39			0.35			0.32			0.39			0.01
Net realized and unrealized gain (loss)		(0.70	)		1.12			0.72			(0.05	)		(0.08	)
Total from investment operations		(0.31	)		1.47			1.04			0.34			(0.07	)
Less distributions to shareholders:
From net investment income		(0.36	)		(0.34	)		(0.22	)		(0.24	)		—
From net realized gains		(0.55	)		(0.16	)		(0.04	)		—			—
Total distributions		(0.91	)		(0.50	)		(0.26	)		(0.24	)		—
Net asset value, end of period	$	20.56		$	21.78		$	20.81		$	20.03		$	19.93
Total Return(b)		(1.76	)%		7.18	%		5.28	%		1.72	%		(0.35	)%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,003,758		$	1,575,300		$	1,108,088		$	463,848		$	18,966
Net expenses to average daily net assets		0.48	%(c)		0.48	%		0.48	%		0.48	%		0.47	%*
Net investment income to average daily net assets		1.74	%		1.64	%		1.58	%		1.98	%		1.22	%*
Portfolio turnover rate		46	%		50	%		52	%		66	%		2	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.04	%		1.59	%*

(a)  Period from February 6, 2004 (commencement of operations) through February 29, 2004.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

10

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	21.80		$	20.82		$	20.03		$	19.93		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.40			0.37			0.32			0.38			0.01
Net realized and unrealized gain (loss)		(0.71	)		1.11			0.74			(0.03	)		(0.08	)
Total from investment operations		(0.31	)		1.48			1.06			0.35			(0.07	)
Less distributions to shareholders:
From net investment income		(0.37	)		(0.34	)		(0.23	)		(0.25	)		—
From net realized gains		(0.55	)		(0.16	)		(0.04	)		—			—
Total distributions		(0.92	)		(0.50	)		(0.27	)		(0.25	)		—
Net asset value, end of period	$	20.57		$	21.80		$	20.82		$	20.03		$	19.93
Total Return(b)		(1.77	)%		7.19	%		5.37	%		1.75	%		(0.35	)%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	432,046		$	800,458		$	2,005,417		$	938,586		$	137,835
Net expenses to average daily net assets		0.44	%(c)		0.44	%		0.44	%		0.44	%		0.44	%*
Net investment income to average daily net assets		1.78	%		1.79	%		1.62	%		1.92	%		0.99	%*
Portfolio turnover rate		46	%		50	%		52	%		66	%		2	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.04	%		1.59	%*

(a)  Period from February 6, 2004 (commencement of operations) through February 29, 2004.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

11

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from December 8, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.41			0.07
Net realized and unrealized gain (loss)		(0.72	)		0.04
Total from investment operations		(0.31	)		0.11
Less distributions to shareholders:
From net investment income		(0.37	)		(0.09	)
From net realized gains		(0.55	)		(0.14	)
Total distributions		(0.92	)		(0.23	)
Net asset value, end of period	$	20.56		$	21.79
Total Return(a)		(1.75	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	663,616		$	259,430
Net expenses to average daily net assets		0.42	%(b)		0.42	%*
Net investment income to average daily net assets		1.83	%		1.40	%*
Portfolio turnover rate		46	%		50	%***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%*

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

***  Calculation represents portfolio turnover rate of the Fund for the year ended February 28, 2007.

See accompanying notes to the financial statements.

12

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from December 8, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.41			0.07
Net realized and unrealized gain (loss)		(0.70	)		0.04
Total from investment operations		(0.29	)		0.11
Less distributions to shareholders:
From net investment income		(0.38	)		(0.09	)
From net realized gains		(0.55	)		(0.14	)
Total distributions		(0.93	)		(0.23	)
Net asset value, end of period	$	20.57		$	21.79
Total Return(a)		(1.67	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	5,237,363		$	2,588,116
Net expenses to average daily net assets		0.39	%(b)		0.39	%*
Net investment income to average daily net assets		1.84	%		1.43	%*
Portfolio turnover rate		46	%		50	%***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%*

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

***  Calculation represents portfolio turnover rate of the Fund for the year ended February 28, 2007.

See accompanying notes to the financial statements.

13

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO U.S. Quality 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, 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P 500Index. The Fund typically makes equity investments in companies that issue stocks included in the S&P 500 Index and in companies with similar market capitalizations. The Fund may hold fewer than 100 stocks. The Fund reserves the right to make tactical allocations of up to 20% of its net assets to investments in cash and other high quality investments.

As of February 29, 2008, the Fund had four classes of shares outstanding: Class III, Class IV, Class V and Class VI. Each class of shares bears a different level of shareholder service fees.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

14

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

15

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

16

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions and redemption in-kind transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	—	$	(9,156,118	)	$	9,156,118

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	110,133,330	$	86,255,920
Long-term capital gains		179,432,949		12,079,734
Total distributions	$	289,566,279	$	98,335,654

17

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	25,580,710
Undistributed long-term capital gain	$	52,051,934

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	8,621,341,282	$	246,761,888	$	(562,413,042	)	$	(315,651,154	)

For the period ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $9,197,517.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

18

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.105% for Class IV shares, 0.085% for Class V shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses, (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.33% of the Fund's average daily net assets.

19

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $54,940 and $27,951, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $6,326,692,567 and $2,948,957,142, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 22.32% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.29% of the Fund's shares were held by thirty related parties comprised of certain GMO employee accounts, and 57.51% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		50,996,071		$	1,139,966,142			45,988,997		$	967,561,064
Shares issued to shareholders in reinvestment of distributions		3,122,803			70,870,252			1,185,522			25,054,083
Shares repurchased		(28,982,283	)		(638,400,625	)		(28,107,538	)		(595,951,915	)
Net increase (decrease)		25,136,591		$	572,435,769			19,066,981		$	396,663,232

20

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		28,155,555		$	619,378,521			70,184,522		$	1,495,423,391
Shares issued to shareholders in reinvestment of distributions		821,509			18,645,946			1,791,751			36,987,536
Shares repurchased		(44,697,168	)		(994,664,368	)		(131,569,719	)		(2,879,504,087	)
Net increase (decrease)		(15,720,104	)	$	(356,639,901	)		(59,593,446	)	$	(1,347,093,160	)
	Year Ended February 29, 2008						Period from December 8, 2006 (commencement of operations) through February 28, 2007
Class V:	Shares			Amount			Shares			Amount
Shares sold		32,154,927		$	708,017,030			16,874,493		$	369,964,791
Shares issued to shareholders in reinvestment of distributions		832,035			18,891,284			165,675			3,600,116
Shares repurchased		(12,624,095	)		(276,202,648	)		(5,132,214	)		(113,781,173	)
Net increase (decrease)		20,362,867		$	450,705,666			11,907,954		$	259,783,734
	Year Ended February 29, 2008						Period from December 8, 2006 (commencement of operations) through February 28, 2007
Class V1:	Shares			Amount			Shares			Amount
Shares sold		143,722,533		$	3,181,476,095			118,076,664		$	2,589,720,510
Shares issued to shareholders in reinvestment of distributions		6,951,875			157,780,829			1,096,229			23,821,052
Shares repurchased		(14,796,108	)		(322,245,753	)		(390,493	)		(8,600,000	)
Net increase (decrease)		135,878,300		$	3,017,011,171			118,782,400		$	2,604,941,562

21

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Quality 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. Quality Equity Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

22

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

23

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	944.60	$	2.32
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.48	$	2.41
Class IV
1) Actual		0.44	%	$	1,000.00	$	944.70	$	2.13
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.68	$	2.21
Class V
1) Actual		0.42	%	$	1,000.00	$	944.80	$	2.03
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.77	$	2.11
Class VI
1) Actual		0.39	%	$	1,000.00	$	945.00	$	1.89
2) Hypothetical		0.39	%	$	1,000.00	$	1,022.92	$	1.96

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

24

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $179,432,949 from long-term capital gains.

For taxable, non-corporate shareholders, 99.91% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 99.91% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $9,847,844 or if determined to be different, the qualified interest income of such year.

25

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

26

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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 andmanufacturer) (July 1989 – present); Putnam Funds (December 1992 – June 2004); and Providence Journal (a newspaper publisher) (December 1986 – December 2003).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

27

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

28

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

29

GMO Foreign Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Foreign Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund's portfolio is the responsibility of the International Active Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Foreign Fund returned -0.8% for the fiscal year ended February 28, 2008, as compared to +0.8% for the MSCI EAFE Index. The Fund was invested substantially in international equity securities throughout the period.

Fair value pricing of the Fund subtracted 1.1% from returns versus the benchmark, which utilizes local close prices. Using the local close, which we do for attribution, the Fund returned +0.3% for the fiscal year.

Stock selection subtracted 1.0% from returns for the fiscal year. Stock selection was negative in Germany and the United Kingdom.

Country selection was ahead of the MSCI EAFE Index by 0.5%. The largest positive contribution to country selection came from an overweight position in Germany, which added 0.6%.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. The Fund commenced operations on June 28, 1996 subsequent to a transaction involving, in essence, the reorganization of the GMO International Equities Pool of the Common Fund for Non-Profit Organizations (the "GMO Pool") as the GMO Foreign Fund. All information relating to the time periods prior to June 28, 1996 relates to the GMO Pool. All information is unaudited. Performance for Class II, IV and M will vary due to different fees.

GMO Foreign Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.0	%
Short-Term Investments		3.3
Preferred Stocks		0.6
Rights and Warrants		0.0
Other		1.1
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		22.7	%
Japan		19.5
Germany		12.1
France		8.1
Finland		5.9
Netherlands		5.3
Italy		4.7
Hong Kong		3.9
Switzerland		3.1
Spain		3.0
Norway		1.9
Belgium		1.4
Singapore		1.4
Australia		1.3
Brazil		1.1
Taiwan		1.0
Ireland		0.9
South Korea		0.7
Sweden		0.6
Austria		0.5
Greece		0.3
Philippines		0.2
India		0.1
Mexico		0.1
Thailand		0.1
Malaysia		0.1
Argentina		0.0
Canada		0.0
New Zealand		0.0
		100.0	%

1

GMO Foreign Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		23.0	%
Industrials		14.9
Consumer Discretionary		13.4
Energy		9.7
Telecommunication Services		8.6
Information Technology		7.2
Utilities		7.0
Consumer Staples		6.2
Materials		6.0
Health Care		4.0
		100.0	%

2

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Argentina — 0.0%
	32,800	Banco Patagonia SA * (a)		676,715
		Australia — 1.3%
	223,100	Amcor Ltd		1,459,561
	198,100	Australia and New Zealand Banking Group Ltd		3,997,544
	298,000	Billabong International Ltd (b)		3,460,419
	812,486	Coca Cola Amatil Ltd		7,211,621
	483,857	Crown Ltd *		5,228,549
	3,959,600	Foster's Group Ltd		19,508,453
	1,276,239	Insurance Australia Group Ltd		4,430,720
	1,234,100	Metcash Ltd		4,750,024
	166,788	National Australia Bank Ltd		4,408,491
	483,857	Publishing & Broadcasting Ltd		1,965,168
	276,200	Santos Ltd		3,273,887
	5,061,139	SP AusNet		5,825,960
	233,800	Suncorp-Metway Ltd		2,999,231
	855,351	TABCORP Holdings Ltd		12,058,088
	1,269,886	Telstra Corp Ltd		5,708,621
	2,920,743	Telstra Corp-Installment Receipts		8,814,635
	181,500	Westfarmers Ltd		6,288,506
	328,527	Westpac Banking Corp		7,026,755
		Total Australia		108,416,233
		Austria — 0.4%
	123,600	Erste Bank Der Oesterreichischen Sparkassen AG (b)		7,151,744
	29,330	Flughafen Wien AG		3,353,728
	179,200	OMV AG		12,948,093
	385,500	Telekom Austria AG		8,719,827
	128,030	Wienerberger AG		6,179,468
		Total Austria		38,352,860

See accompanying notes to the financial statements.

3

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Belgium — 1.3%
	260,170	Belgacom SA (b)		12,460,066
	432,998	CIE Francois d' Enterprises		39,832,284
	765,991	Fortis		16,922,597
	734,028	Fortis VVPR Strip *		11,144
	67,475	Groupe Bruxelles Lambert SA		8,082,610
	179,725	KBC Groep NV (b)		22,535,268
	54,437	Solvay SA (b)		6,841,157
	125,369	UCB SA		5,942,793
		Total Belgium		112,627,919
		Brazil — 0.9%
	605,800	Banco ABC Brasil SA		3,761,398
	1,391,000	Banco Panamericano SA		7,114,984
	13,400	Brasil Brokers Participacoes SA *		12,281,947
	517,600	Cia Providencia Industria e Comercio SA *		2,234,333
	110,100	Cremer SA *		943,379
	986,800	Datasul SA		10,415,930
	78,400	M Dias Branco SA		987,476
	781,700	Marisa SA *		3,097,032
	37,000	MPX Mineracao e Energia SA *		22,273,077
	316,100	Sul America SA *		5,044,964
	961,200	Trisul SA *		6,110,165
		Total Brazil		74,264,685
		Canada — 0.0%
	220,100	KAP Resources Ltd * (a) (c)		2,236
		Finland — 5.6%
	572,600	Neste Oil Oyj (b)		20,034,762
	7,137,000	Nokia Oyj		256,415,474
	2,556,838	Nokian Renkaat Oyj (b)		105,119,720
	975,700	Poyry Oyj		23,956,697
	1,114,700	Uponor Oyj (b)		29,115,201
	1,660,951	YIT Oyj (b)		41,263,017
		Total Finland		475,904,871

See accompanying notes to the financial statements.

4

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — 7.7%
	58,760	Accor SA		4,173,651
	256,771	Arcelor Mittal		19,496,224
	781,740	AXA		26,357,491
	123,105	BIC SA		7,783,784
	491,008	BNP Paribas		43,896,069
	35,210	Casino Guichard-Perrachon SA		3,982,504
	167,096	Cie de Saint-Gobain		13,062,630
	468,888	Credit Agricole SA		12,718,487
	1,804,192	France Telecom SA		60,564,974
	251,752	Groupe Danone		19,720,769
	17,475	Guyenne et Gascogne SA		2,556,240
	110,492	Imerys SA		9,267,388
	73,278	Lafarge SA		12,667,640
	148,066	Lagardere SCA		11,633,191
	139,000	L'Oreal SA		16,495,382
	102,100	M6-Metropole Television		2,406,857
	170,604	Michelin SA Class B		16,802,837
	84,438	Pernod-Ricard		8,932,402
	387,972	Peugeot SA		29,493,335
	121,700	Publicis Groupe		4,394,933
	54,000	Renault SA		5,769,710
	583,033	Sanofi-Aventis		43,093,515
	126,173	Schneider Electric SA		14,366,599
	13,667	Sequana Capital		336,818
	161,230	Societe Generale (b)		17,251,483
	40,307	Societe Generale NV (New Shares) *		4,429,082
	1,471,526	Suez SA		93,549,079
	137,852	Suez SA VVPR Strip *		2,093
	71,140	Technip SA		5,807,667
	124,414	Thales SA		7,613,018
	1,377,700	Total SA		103,746,370
	484,500	Vivendi Universal SA		19,147,673
	130,031	Wendel Investissement (b)		14,665,334
		Total France		656,185,229

See accompanying notes to the financial statements.

5

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — 11.2%
	665,364	Adidas AG (b)		42,231,296
	418,576	Allianz SE (Registered)		72,159,664
	110,200	Axel Springer AG		13,707,736
	129,700	BASF AG		16,585,465
	797,599	Bayer AG		61,382,761
	422,800	Bayerische Motoren Werke AG		23,296,810
	582,501	Commerzbank AG		17,512,443
	216,820	Continental AG		21,381,096
	620,681	Daimler AG (Registered) (b)		51,686,413
	255,400	Deutsche Bank AG (Registered)		28,334,548
	1,787,800	Deutsche Post AG (Registered)		59,233,850
	4,236,438	Deutsche Telekom (Registered)		80,526,844
	363,810	E.ON AG		68,496,619
	330,400	Fresenius Medical Care AG & Co		17,298,467
	306,518	Heidelberger Druckmaschinen		7,485,976
	300,591	Hypo Real Estate Holding AG (b)		8,655,945
	1,211,500	Infineon Technologies AG *		9,797,809
	360,500	Metro AG		29,898,949
	55,600	MTU Aero Engines Holding		2,822,228
	418,674	Muenchener Rueckversicherungs AG (Registered)		73,665,412
	38,700	Puma AG Rudolf Dassler Sport		13,769,572
	537,900	RWE AG		65,121,039
	1,398,600	SAP AG		66,048,589
	740,037	Siemens AG (Registered)		94,372,585
	329,400	Tognum AG *		8,030,562
		Total Germany		953,502,678
		Greece — 0.3%
	525,990	EFG Eurobank Ergasias		15,151,980
	265,000	Piraeus Bank SA		7,887,605
		Total Greece		23,039,585

See accompanying notes to the financial statements.

6

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Hong Kong — 3.8%
	2,875,500	CLP Holdings Ltd		22,478,145
	2,361,900	Hang Seng Bank Ltd		44,706,454
	3,557,000	Hutchison Whampoa Ltd		33,335,270
	12,436,000	Link REIT		30,435,301
	11,685,000	MTR Corp Ltd		43,307,617
	17,283,564	New World Development Co Ltd		46,458,144
	11,281,000	Shun Tak Holdings Ltd		16,653,802
	15,764,092	Sino Land		39,390,072
	2,478,000	Sun Hung Kai Properties Ltd		43,182,764
		Total Hong Kong		319,947,569
		India — 0.1%
	900,000	Satyam Computer Services Ltd		9,682,561
		Ireland — 0.8%
	1,573,540	Allied Irish Banks Plc		31,853,667
	1,516,249	Bank of Ireland		21,329,344
	368,637	CRH Plc		13,700,588
	8,800	DCC Plc		221,411
	49,400	FBD Holdings Plc		2,171,999
	235,500	Grafton Group Plc *		1,911,111
	81,800	Irish Life & Permanent Plc		1,330,564
		Total Ireland		72,518,684
		Italy — 4.4%
	827,100	Alleanza Assicurazioni SPA		10,627,671
	787,744	Assicurazioni Generali SPA		33,857,987
	1,240,723	Banca Intesa SPA – Di RISP		7,880,056
	1,187,324	Banca Monte dei Paschi di Siena SPA (b)		5,391,385
	343,854	Buzzi Unicem SPA		8,436,031
	4,700,335	Enel SPA		50,718,509
	2,423,521	ENI SPA		83,687,167
	1,086,410	Fiat SPA		22,962,679
	590,720	Finmeccanica SPA		18,166,689

See accompanying notes to the financial statements.

7

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Italy — continued
	266,246	Grouppo Editoriale L'Espresso (b)		1,094,537
	1,926,128	Intesa San Paolo		12,936,737
	657,970	Italcementi SPA-Di RISP		10,006,652
	147,700	Mediobanca SPA		2,849,569
	2,851,000	Pirelli & Co SPA *		2,813,793
	1,329,200	Snam Rete Gas SPA		9,243,105
	15,420,198	Telecom Italia SPA		38,446,528
	15,823,176	Telecom Italia SPA-Di RISP		30,529,502
	3,646,982	UniCredito Italiano SPA		26,830,128
		Total Italy		376,478,725
		Japan — 18.7%
	534,500	Asahi Breweries		9,990,874
	1,194,000	Asahi Glass Co Ltd		13,599,561
	932,700	Astellas Pharma Inc		40,764,363
	1,289,600	Bridgestone Corp		21,215,086
	1,493,700	Canon Inc		66,955,522
	322,500	Chubu Electric Power Co Inc		8,123,652
	843,600	Daiichi Sankyo Co Ltd		26,179,860
	635,700	Daiwa House Industry Co Ltd		6,491,130
	3,865,000	Daiwa Securities Group Inc		35,837,363
	1,702,800	Denso Corp		63,568,150
	6,217	East Japan Railway Co		49,899,889
	179,400	Eisai Co Ltd		6,469,957
	2,591,500	Haseko Corp *		3,908,643
	2,439,900	Honda Motor Co Ltd		74,478,752
	22,000	Ibiden Co Ltd		1,050,517
	4,636,000	Itochu Corp		48,818,736
	786,200	JFE Holdings Inc		35,031,326
	868,400	JSR Corp		19,059,336
	3,740	Jupiter Telecommunications Co Ltd *		3,104,597
	821,000	Kao Corp		25,276,802
	8,018	KDDI Corp		48,713,560
	907,100	Komatsu Ltd		23,044,421

See accompanying notes to the financial statements.

8

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	904,000	Kubota Corp		6,132,415
	351,600	Kyushu Electric Power Co Inc		8,858,847
	346,200	Lawson Inc		13,232,995
	2,519,000	Marubeni Corp		19,071,609
	3,636,000	Matsushita Electric Industrial Co Ltd		76,579,249
	231,700	Miraca Holdings Inc		4,970,019
	1,797,500	Mitsubishi Corp		54,842,592
	8,727,000	Mitsubishi Electric Corp		79,934,565
	1,436,000	Mitsui OSK Lines Ltd		18,650,600
	201,000	Murata Manufacturing Co Ltd		10,905,845
	658,000	NGK Spark Plug Co Ltd (b)		10,285,849
	285,000	Nihon Kohden Corp		5,748,781
	68,900	Nintendo Co Ltd		34,305,014
	1,688	Nippon Commercial Investment Corp (REIT)		7,633,380
	1,647,000	Nippon Express Co Ltd		8,785,885
	132,500	Nippon Mining Holdings Inc		784,778
	4,363,000	Nippon Steel Corp		22,954,617
	279,300	Nitto Denko Corp		13,598,594
	940,600	Nomura Holdings Inc		14,770,853
	369	Nomura Real Estate Office Fund (REIT)		3,096,774
	23,019	NTT Docomo Inc		33,724,447
	56,720	ORIX Corp		8,480,149
	777	Orix JREIT Inc		4,421,172
	505,100	Seven & I Holdings Co Ltd		12,559,447
	487	Seven Bank Ltd *		815,651
	434,000	Shionogi and Co Ltd		7,440,131
	615,000	Shiseido Co Ltd		14,015,179
	918,800	Sony Corp		43,407,066
	1,600	Sony Financial Holdings Inc *		6,391,376
	3,913,000	Sumitomo Chemical Co Ltd		27,087,071
	3,375,900	Sumitomo Electric Industries Ltd		49,956,620
	1,709,000	Sumitomo Heavy Industries Ltd		13,630,041
	7,707	Sumitomo Mitsui Financial Group Inc		55,667,401
	998,000	Sumitomo Realty & Development Co Ltd		17,031,920

See accompanying notes to the financial statements.

9

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	354,400	Takeda Pharmaceutical Co Ltd		19,775,176
	5,544,000	Tokyo Gas Co Ltd		24,869,144
	1,941,000	Tokyo Tatemono Co Ltd		13,152,828
	1,375,000	Tokyu Land Corp		9,267,599
	3,363,000	Toshiba Corp		25,224,973
	2,407,900	Toyota Motor Corp		130,863,707
	110,300	Uni-Charm Corp		8,060,965
	3,143	West Japan Railway Co		14,379,166
		Total Japan		1,586,946,587
		Malaysia — 0.1%
	3,805,500	IJM Corp Berhad		8,544,595
		Mexico — 0.1%
	870,600	Megacable Holdings SAB de CV *		2,450,849
	1,948,900	Urbi Desarrollos Urbanos SAB de CV *		6,823,880
		Total Mexico		9,274,729
		Netherlands — 5.1%
	3,024,985	Aegon NV		45,176,629
	447,702	Akzo Nobel NV		32,829,029
	276,782	Fortis NV		6,101,717
	133,232	Fugro NV		10,051,435
	139,274	Hal Trust (Participating Units)		15,728,934
	2,290,722	ING Groep NV		76,124,578
	302,570	Koninklijke Ahold NV *		3,976,196
	2,812,000	Koninklijke KPN NV		53,085,058
	148,310	Koninklijke Vopak NV		7,722,857
	392,897	Koninklijke Wessanen NV		5,257,643
	2,151,732	Philips Electronics NV		83,949,035
	92,391	Philips Electronics NV ADR		3,595,858
	1,372,695	Reed Elsevier NV		25,502,006
	133,440	Royal Dutch Shell Group Class A (Amsterdam)		4,771,757
	644,307	TNT NV		25,374,408

See accompanying notes to the financial statements.

10

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Netherlands — continued
	682,160	Unilever NV		21,093,222
	78,987	Wereldhave NV		9,547,790
		Total Netherlands		429,888,152
		New Zealand — 0.0%
	389,777	Air New Zealand		517,333
	1,191,683	Telecom Corp of New Zealand		3,656,504
		Total New Zealand		4,173,837
		Norway — 1.8%
	4,689,420	Prosafe ASA		80,323,317
	1,292,300	StatoilHydro ASA		39,378,069
	1,504,700	Telenor ASA *		30,811,226
		Total Norway		150,512,612
		Philippines — 0.2%
	38,000,000	Alliance Global Group Inc *		4,021,811
	5,195,800	First Gen Corp		5,130,623
	55,280,000	Vista Land & Lifescapes Inc *		5,793,847
		Total Philippines		14,946,281
		Singapore — 1.3%
	2,997,380	DBS Group Holdings Ltd		36,492,011
	2,224,000	Keppel Corp Ltd		16,758,204
	9,244,000	People's Food Holdings Ltd		7,062,392
	1,357,600	Singapore Airlines Ltd		14,725,809
	4,930,000	Singapore Technologies Engineering Ltd		11,920,499
	8,496,710	Singapore Telecommunications		22,989,664
		Total Singapore		109,948,579
		South Korea — 0.6%
	99,300	Hana Financial Group Inc		4,406,238
	19,865	Hansol Paper Co *		233,692
	77,400	Kookmin Bank		4,770,130

See accompanying notes to the financial statements.

11

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	143,100	KT Corp ADR *		3,475,899
	8,401	Lotte Shopping Co Ltd		2,843,352
	85,500	Samsung Card Co Ltd		4,536,420
	55,200	Samsung Electronics Co Ltd		32,356,708
	37,000	Shinhan Financial Group Co Ltd		1,993,146
		Total South Korea		54,615,585
		Spain — 2.9%
	120,040	ACS Actividades de Construccion y Servicios SA		6,130,912
	1,830,692	Banco Bilbao Vizcaya Argentaria SA		37,745,199
	196,315	Banco Popular Espanol SA		3,074,446
	2,206,032	Banco Santander Central Hispano SA		39,420,769
	27,700	Cia de Distribucion Integral Logista SA		2,207,080
	156,600	Gas Natural SDG SA		9,488,960
	39,200	Grupo Ferrovial SA		2,565,349
	2,041,772	Iberdrola SA		29,488,840
	132,100	Inditex SA		6,810,236
	635,000	Mapfre SA		2,863,155
	94,750	Red Electrica de Espana		5,911,414
	645,329	Repsol YPF SA		22,261,669
	2,410,161	Telefonica SA		69,741,735
	138,668	Union Fenosa SA		9,136,728
		Total Spain		246,846,492
		Sweden — 0.6%
	586,740	Autoliv Inc SDR (b)		29,286,529
	1,428,100	Svenska Cellulosa AB Class B		23,441,860
		Total Sweden		52,728,389
		Switzerland — 3.0%
	43,170	Baloise Holding Ltd		3,893,444
	1,620	Bank Sarasin & Cie AG Class B (Registered)		7,265,190
	2,822	Banque Cantonale Vaudoise		1,457,699
	2,666	Belimo Holding AG (Registered)		2,963,808

See accompanying notes to the financial statements.

12

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Switzerland — continued
	20,560	Bobst Group AG (Registered)		1,468,469
	332,950	Credit Suisse Group		16,369,831
	9,335	Energiedienst Holding AG (Registered) *		6,086,942
	6,697	Forbo Holdings AG (Registered) * (b)		3,355,522
	32,820	Geberit AG (Registered)		4,828,546
	131,305	Holcim Ltd		13,389,719
	880	Jelmoli Holding AG (Bearer)		2,249,951
	4,836	Jelmoli Holding AG (Registered)		2,424,461
	120,510	Nestle SA (Registered)		57,518,018
	345,884	Novartis AG (Registered)		17,084,176
	585	SGS SA (Registered)		785,732
	75,300	Swatch Group AG		22,102,431
	19,900	Swiss Life Holding *		4,988,199
	504	Swiss National Insurance Co (Registered)		393,666
	365,441	Swiss Reinsurance Co (Registered)		29,291,378
	14,100	Swisscom AG (Registered)		5,362,754
	479,980	UBS AG (Registered)		15,661,084
	18,941	Valora Holding AG		4,406,142
	90,104	Zurich Financial Services AG		28,167,515
		Total Switzerland		251,514,677
		Taiwan — 1.0%
	5,119,608	Asustek Computer Inc		14,133,944
	5,998,320	Chinatrust Financial Holding Co Ltd *		5,362,554
	491,290	Chungwa Telecom Co Ltd ADR		12,056,257
	5,298,900	E.Sun Financial Holdings Co Ltd *		3,046,383
	2,780,000	Far Eastone Telecommunications Co Ltd		3,881,964
	812,000	Hon Hai Precision Industry Co Ltd		4,844,489
	937,000	MediaTek Inc		10,508,936
	1,483,000	Novatek Microelectronics Corp Ltd		5,218,404
	2,116,800	Qisda Corp *		1,972,688
	3,550,000	Sinopac Holdings Co		1,535,864
	646,070	Standard Foods Corp		353,603

See accompanying notes to the financial statements.

13

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	617,456	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		6,014,021
	22,103,890	United Microelectronics Corp		13,120,051
		Total Taiwan		82,049,158
		Thailand — 0.1%
	62,918,000	Charoen Pokphand Foods Pcl (Foreign Registered) (a)		9,177,932
		United Kingdom — 21.7%
	629,273	Anglo American Plc		39,942,054
	450,945	Associated British Foods Plc		7,556,033
	787,600	AstraZeneca Plc		29,438,443
	3,380,175	Aviva Plc		40,742,755
	7,010,910	BAE Systems Plc		66,736,593
	5,615,204	Barclays Plc		52,627,482
	900,036	BBA Aviation Plc		3,274,770
	2,948,946	BG Group Plc		69,509,557
	867,147	BHP Billiton Plc		27,740,131
	398,363	Biffa Plc		2,734,152
	15,174,540	BP Plc		163,653,072
	540,000	British Energy Group Plc		6,015,706
	798,876	British Sky Broadcasting Plc		8,963,926
	8,142,101	BT Group Plc		36,643,278
	442,365	Bunzl Plc		6,079,437
	798,000	Cadbury Schweppes Plc		8,882,742
	1,014,249	Cattle's Plc		4,670,605
	2,861,457	Centrica Plc		18,269,799
	3,104,700	Cobham Plc		11,169,326
	2,652,700	Compass Group Plc		17,098,224
	2,099,810	Diageo Plc		42,909,244
	1,764,352	DSG International Plc		2,205,534
	108,534	Experian Group		912,382
	126,317	Fiberweb Plc		167,165
	831,981	Filtrona Plc		3,115,763
	632,398	FKI Plc		909,406

See accompanying notes to the financial statements.

14

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	3,661,899	GlaxoSmithKline Plc		79,933,905
	1,216,971	Group 4 Securicor Plc		5,248,423
	1,132,961	Hays Plc		2,435,853
	3,187,596	HBOS Plc		37,878,064
	6,531,927	HSBC Holdings Plc		98,744,954
	1,015,670	ICAP Plc		12,646,566
	977,318	Imperial Tobacco Group Plc		45,242,302
	121,632	InterContinental Hotels Group Plc		1,851,240
	1,685,800	International Power Plc		12,665,141
	1,519,000	ITV Plc		2,007,792
	667,091	J Sainsbury Plc		4,676,914
	350,270	Johnson Matthey Plc		13,466,077
	403,803	Kesa Electricals Plc		1,705,933
	920,418	Kingfisher Plc		2,375,946
	973,158	Ladbrokes Plc		5,843,683
	845,000	Lamprell Plc		7,100,397
	129,400	Land Securities Group Plc		4,034,383
	9,781,744	Legal & General Group Plc		24,066,664
	3,394,020	Lloyds TSB Group Plc		30,336,929
	49,738	Lonmin Plc		3,245,086
	1,240,500	Misys Plc		3,653,281
	333,472	Mitchells & Butler (Ordinary Shares)		2,934,106
	66,744	Mondi Ltd		546,211
	68,761	Mondi Plc		530,417
	2,385,467	National Grid Plc		34,589,036
	245,132	Next Plc		6,217,016
	1,374,200	Northern Foods Plc		2,452,082
	4,403,034	Old Mutual Plc		10,875,942
	1,253,300	Pearson Plc		16,481,516
	2,553,417	Prudential Plc		30,636,929
	836,403	Reed Elsevier Plc		10,526,947
	2,905,011	Rentokil Initial Plc		4,785,321
	962,886	Resolution Plc		13,184,186
	621,169	Reuters Group Plc		7,336,026

See accompanying notes to the financial statements.

15

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	605,836	Rexam Plc		5,274,084
	301,028	Rio Tinto Plc		33,867,928
	549,700	Rolls-Royce Group Plc *		4,712,430
	1,526,308	Royal & Sun Alliance Insurance Group		3,979,100
	9,738,014	Royal Bank of Scotland Group		73,624,513
	1,897,000	Royal Dutch Shell Plc A Shares (London)		67,829,831
	2,055,597	Royal Dutch Shell Plc B Shares (London)		72,114,380
	575,400	SABMiller Breweries Plc		11,954,281
	1,384,000	Sage Group Plc		5,395,376
	297,700	Schroders Plc		5,620,799
	820,521	Scottish & Newcastle Plc		12,834,311
	974,960	Scottish & Southern Energy Plc		28,508,448
	563,626	Segro Plc		5,762,718
	608,552	Serco Group Plc		5,231,100
	535,575	Severn Trent (Ordinary Shares)		15,033,304
	825,100	Shire Plc		16,106,431
	607,432	Smith (David S.) Holdings Plc		1,902,108
	290,270	Standard Chartered Plc		9,563,260
	2,543,200	Standard Life Assurance Plc		10,993,309
	2,543,277	Tesco Plc		20,097,736
	684,305	Tomkins Plc		2,294,303
	241,664	Travis Perkins Plc		5,166,215
	320,847	Trinity Mirror Plc		1,802,897
	637,539	Unilever Plc		20,086,474
	499,112	United Utilities Plc		6,834,420
	40,585,483	Vodafone Group Inc		130,661,651
	68,539	WH Smith Plc		506,914
	235,071	Whitbread Plc		5,882,023
	321,300	William Hill Plc		2,389,742
	1,239,836	William Morrison Supermarkets Plc		7,267,914
	728,321	Wolseley Plc		8,912,500
	2,266,250	Wood Group (John) Plc		18,518,312
	789,400	WPP Group Plc		9,317,976

See accompanying notes to the financial statements.

16

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	54,500	Xstrata Plc		4,251,566
	248,700	Yell Group Plc		1,072,814
		Total United Kingdom		1,847,594,015
		TOTAL COMMON STOCKS (COST $6,413,298,274)		8,080,362,170
		PREFERRED STOCKS — 0.6%
		Brazil — 0.1%
	1,257,200	Randon Participacoes SA 0.46%		11,894,743
		France — 0.0%
	24,058	Casino Guichard-Perrachon SA 4.06% (b)		1,959,490
		Germany — 0.4%
	381,370	Henkel KGaA 1.81%		16,953,195
	2,830	Porsche AG (Non Voting) 0.06%		4,906,879
	54,806	Volkswagen AG 2.02%		7,636,563
		Total Germany		29,496,637
		Italy — 0.1%
	199,733	Fiat SPA 3.57%		3,372,798
	92,571	IFI Istituto Finanziario Industries *		2,615,556
		Total Italy		5,988,354
		TOTAL PREFERRED STOCKS (COST $30,583,867)		49,339,224
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	2	Societe Generale Rights, Expires 02/29/08 * (b) (d)		18
		TOTAL RIGHTS AND WARRANTS (COST $22)		18

See accompanying notes to the financial statements.

17

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.3%
	191,307,524	Bank of New York Mellon Institutional Cash Reserves Fund (e)		191,307,524
	94,700,000	Barclays Plc Time Deposit, 3.12%, due 03/03/08		94,700,000
		TOTAL SHORT-TERM INVESTMENTS (COST $286,007,524)		286,007,524
		TOTAL INVESTMENTS — 98.9% (Cost $6,729,889,687)		8,415,708,936
		Other Assets and Liabilities (net) — 1.1%		90,086,169
		TOTAL NET ASSETS — 100.0%	$	8,505,795,105

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

*  Non-income producing security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

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

(c)  Bankrupt issuer.

(d)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

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

As of February 29, 2008, 93.33% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

18

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $173,252,546 (cost $6,729,889,687) (Note 2)	$	8,415,708,936
Cash		81,583
Foreign currency, at value (cost $316,741,913) (Note 2)		324,026,921
Receivable for investments sold		65,654,276
Receivable for Fund shares sold		20,045,703
Dividends and interest receivable		12,591,170
Foreign taxes receivable		1,357,398
Receivable for expenses reimbursed by Manager (Note 3)		484,271
Total assets		8,839,950,258
Liabilities:
Collateral on securities loaned, at value (Note 2)		191,307,524
Payable for investments purchased		131,733,331
Payable for Fund shares repurchased		4,674,997
Payable to affiliate for (Note 3):
Management fee		4,013,995
Shareholder service fee		875,256
Administration fee – Class M		1,188
Trustees and Chief Compliance Officer of GMO Trust fees		10,707
Payable for 12b-1 fee – Class M		3,160
Accrued expenses		1,534,995
Total liabilities		334,155,153
Net assets	$	8,505,795,105

See accompanying notes to the financial statements.

19

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	6,518,992,037
Distributions in excess of net investment income		(21,928,667	)
Accumulated net realized gain		315,136,035
Net unrealized appreciation		1,693,595,700
	$	8,505,795,105
Net assets attributable to:
Class II shares	$	848,359,455
Class III shares	$	4,078,545,211
Class IV shares	$	3,571,515,655
Class M shares	$	7,374,784
Shares outstanding:
Class II		51,367,985
Class III		245,876,088
Class IV		215,278,963
Class M		444,839
Net asset value per share:
Class II	$	16.52
Class III	$	16.59
Class IV	$	16.59
Class M	$	16.58

See accompanying notes to the financial statements.

20

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $21,696,191)	$	245,461,129
Interest		13,850,994
Securities lending income		8,062,994
Total investment income		267,375,117
Expenses:
Management fee (Note 3)		56,099,105
Shareholder service fee – Class II (Note 3)		2,109,647
Shareholder service fee – Class III (Note 3)		6,903,074
Shareholder service fee – Class IV (Note 3)		3,402,058
12b-1 fee – Class M (Note 3)		22,016
Administration fee – Class M (Note 3)		17,613
Custodian and fund accounting agent fees		3,923,858
Transfer agent fees		71,795
Audit and tax fees		102,005
Legal fees		200,883
Trustees fees and related expenses (Note 3)		95,783
Registration fees		49,675
Miscellaneous		120,826
Total expenses		73,118,338
Fees and expenses reimbursed by Manager (Note 3)		(4,412,622	)
Expense reductions (Note 2)		(66,219	)
Net expenses		68,639,497
Net investment income (loss)		198,735,620
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		917,311,384
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $2,276) (Note 2)		18,899,322
Net realized gain (loss)		936,210,706
Change in net unrealized appreciation (depreciation) on:
Investments		(1,182,696,725	)
Foreign currency, forward contracts and foreign currency related transactions		6,685,432
Net unrealized gain (loss)		(1,176,011,293	)
Net realized and unrealized gain (loss)		(239,800,587	)
Net increase (decrease) in net assets resulting from operations	$	(41,064,967	)

See accompanying notes to the financial statements.

21

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	198,735,620		$	169,595,532
Net realized gain (loss)		936,210,706			611,671,466
Change in net unrealized appreciation (depreciation)		(1,176,011,293	)		819,452,831
Net increase (decrease) in net assets from operations		(41,064,967	)		1,600,719,829
Distributions to shareholders from:
Net investment income
Class II		(21,412,395	)		(25,692,710	)
Class III		(104,621,491	)		(104,807,051	)
Class IV		(96,288,052	)		(72,605,045	)
Class M		(177,321	)		(156,746	)
Total distributions from net investment income		(222,499,259	)		(203,261,552	)
Net realized gains
Class II		(81,212,536	)		(71,672,115	)
Class III		(384,092,710	)		(265,348,849	)
Class IV		(323,497,643	)		(179,509,192	)
Class M		(736,740	)		(450,682	)
Total distributions from net realized gains		(789,539,629	)		(516,980,838	)
		(1,012,038,888	)		(720,242,390	)
Net share transactions (Note 7):
Class II		(67,333,012	)		(335,623,499	)
Class III		(1,411,331	)		277,446,603
Class IV		620,525,429			1,156,698,945
Class M		72,341			1,562,326
Increase (decrease) in net assets resulting from net share transactions		551,853,427			1,100,084,375
Total increase (decrease) in net assets		(501,250,428	)		1,980,561,814
Net assets:
Beginning of period		9,007,045,533			7,026,483,719
End of period (including distributions in excess of net investment income of $21,928,667 and $44,311,300, respectively)	$	8,505,795,105		$	9,007,045,533

See accompanying notes to the financial statements.

22

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.56		$	16.70		$	15.13		$	13.29		$	8.88
Income (loss) from investment operations:
Net investment income (loss)(a)		0.40			0.38			0.28			0.26			0.17
Net realized and unrealized gain (loss)		(0.36	)		3.06			2.46			2.28			4.46
Total from investment operations		0.04			3.44			2.74			2.54			4.63
Less distributions to shareholders:
From net investment income		(0.44	)		(0.43	)		(0.33	)		(0.34	)		(0.22	)
From net realized gains		(1.64	)		(1.15	)		(0.84	)		(0.36	)		—
Total distributions		(2.08	)		(1.58	)		(1.17	)		(0.70	)		(0.22	)
Net asset value, end of period	$	16.52		$	18.56		$	16.70		$	15.13		$	13.29
Total Return(b)		(0.78	)%		21.21	%		19.01	%		19.40	%		52.49	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	848,359		$	1,018,021		$	1,213,447		$	808,149		$	781,448
Net expenses to average daily net assets		0.82	%(c)		0.82	%		0.82	%		0.82	%		0.82	%
Net investment income to average daily net assets		2.10	%		2.17	%		1.82	%		1.92	%		1.47	%
Portfolio turnover rate		29	%		23	%		25	%		23	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		0.06	%		0.08	%

(a)  Calculated using average shares outstanding throughout the period.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

See accompanying notes to the financial statements.

23

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.64		$	16.76		$	15.18		$	13.34		$	8.90
Income (loss) from investment operations:
Net investment income (loss)(a)		0.41			0.38			0.30			0.26			0.19
Net realized and unrealized gain (loss)		(0.36	)		3.09			2.45			2.30			4.47
Total from investment operations		0.05			3.47			2.75			2.56			4.66
Less distributions to shareholders:
From net investment income		(0.46	)		(0.44	)		(0.33	)		(0.36	)		(0.22	)
From net realized gains		(1.64	)		(1.15	)		(0.84	)		(0.36	)		—
Total distributions		(2.10	)		(1.59	)		(1.17	)		(0.72	)		(0.22	)
Net asset value, end of period	$	16.59		$	18.64		$	16.76		$	15.18		$	13.34
Total Return(b)		(0.75	)%		21.36	%		19.07	%		19.41	%		52.76	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	4,078,545		$	4,556,742		$	3,800,326		$	3,663,370		$	2,260,046
Net expenses to average daily net assets		0.75	%(c)		0.75	%		0.75	%		0.75	%		0.75	%
Net investment income to average daily net assets		2.16	%		2.11	%		1.97	%		1.87	%		1.67	%
Portfolio turnover rate		29	%		23	%		25	%		23	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		0.06	%		0.08	%

(a)  Calculated using average shares outstanding throughout the period.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

See accompanying notes to the financial statements.

24

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.64		$	16.77		$	15.18		$	13.34		$	8.90
Income (loss) from investment operations:
Net investment income (loss)(a)		0.40			0.36			0.31			0.28			0.19
Net realized and unrealized gain (loss)		(0.34	)		3.11			2.47			2.28			4.48
Total from investment operations		0.06			3.47			2.78			2.56			4.67
Less distributions to shareholders:
From net investment income		(0.47	)		(0.45	)		(0.35	)		(0.36	)		(0.23	)
From net realized gains		(1.64	)		(1.15	)		(0.84	)		(0.36	)		—
Total distributions		(2.11	)		(1.60	)		(1.19	)		(0.72	)		(0.23	)
Net asset value, end of period	$	16.59		$	18.64		$	16.77		$	15.18		$	13.34
Total Return(b)		(0.68	)%		21.36	%		19.22	%		19.47	%		52.84	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,571,516		$	3,424,024		$	2,007,037		$	1,169,805		$	923,221
Net expenses to average daily net assets		0.69	%(c)		0.69	%		0.69	%		0.69	%		0.70	%
Net investment income to average daily net assets		2.08	%		2.04	%		1.98	%		2.00	%		1.65	%
Portfolio turnover rate		29	%		23	%		25	%		23	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		0.06	%		0.09	%

(a)  Calculated using average shares outstanding throughout the period.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

See accompanying notes to the financial statements.

25

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.63		$	16.75		$	15.19		$	13.25		$	8.86
Income (loss) from investment operations:
Net investment income (loss)(a)		0.35			0.30			0.24			0.30			0.14
Net realized and unrealized gain (loss)		(0.36	)		3.12			2.46			2.21			4.45
Total from investment operations		(0.01	)		3.42			2.70			2.51			4.59
Less distributions to shareholders:
From net investment income		(0.40	)		(0.39	)		(0.30	)		(0.21	)		(0.20	)
From net realized gains		(1.64	)		(1.15	)		(0.84	)		(0.36	)		—
Total distributions		(2.04	)		(1.54	)		(1.14	)		(0.57	)		(0.20	)
Net asset value, end of period	$	16.58		$	18.63		$	16.75		$	15.19		$	13.25
Total Return(b)		(1.05	)%		21.04	%		18.66	%		19.18	%		52.10	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	7,375		$	8,258		$	5,673		$	3,508		$	12,878
Net expenses to average daily net assets		1.05	%(c)		1.05	%		1.05	%		1.05	%		1.05	%
Net investment income to average daily net assets		1.81	%		1.69	%		1.56	%		2.24	%		1.23	%
Portfolio turnover rate		29	%		23	%		25	%		23	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		0.06	%		0.08	%

(a)  Calculated using average shares outstanding throughout the period.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

See accompanying notes to the financial statements.

26

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Foreign 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 Funds into classes.

The Fund seeks total return in excess of that of its benchmark, the MSCI EAFE Index (Europe, Australasia, and Far East). The Fund typically makes equity investments in non-U.S. companies, including the companies that issue stocks included in the MSCI international developed country universe (the universe of securities from which the MSCI EAFE Index is constructed) and companies in emerging countries. The Fund generally seeks to be fully invested and normally does not take temporary defensive positions, but may hold up to 10% of its total assets in cash and other high quality investments in order to manage cash inflows and outflows as a result of shareholder purchases and redemptions. The Fund may make investments in emerging countries, but these investments generally will represent 10% or less of the Fund's total assets.

Throughout the year ended February 29, 2008, the Fund had four classes of shares outstanding: Class II, Class III, Class IV, and Class M. Class M shares bear an administration fee and a 12b-1 fee while classes II, III, and IV bear a shareholder service fee (See Note 3). The principal economic difference among the classes of shares is the type and level of fees borne by the classes.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

27

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

are readily available are generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

28

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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

29

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no purchased option contracts outstanding at the end of the period.

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.

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $173,252,546, collateralized by cash in the amount of $191,307,524, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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.

30

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. The CPMF tax has been included in the net realized gain (loss) on investments throughout the period. For the year ended February 29, 2008, the Fund incurred $2,276 in CPMF tax which is included in the net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, foreign currency transactions, differing treatment on security sales, and redemption in-kind transactions.

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 29, 2008. The financial highlights exclude these adjustments.

31

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	46,146,272	$	(96,668,712	)	$	50,522,440

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	294,640,270	$	277,124,342
Long-term capital gains		717,398,618		443,118,048
Total distributions	$	1,012,038,888	$	720,242,390

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	4,508,772
Undistributed long–term capital gain	$	317,006,530

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	6,756,604,509	$	1,932,154,787	$	(273,050,360	)	$	1,659,104,427

For the period ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $54,590,446.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in

32

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

33

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, and 0.09% for Class IV shares.

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

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 Class M net assets. This fee may be spent on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.60% of the 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 29, 2008 was $82,627 and $37,494, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration is paid by the Fund to any other officer of the Trust.

34

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 29, 2008 aggregated $2,631,811,703 and $2,994,835,477, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, there were no shareholders individually holding in excess of 10% of the Fund's outstanding shares.

As of February 29, 2008, 0.01% of the Fund's shares were held by fourteen related parties comprised of certain GMO employee accounts, and 0.55% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class II:	Shares			Amount			Shares			Amount
Shares sold		16,492,099		$	297,811,599			13,449,914		$	231,622,632
Shares issued to shareholders in reinvestment of distributions		4,944,763			92,077,263			5,052,204			89,348,934
Shares repurchased		(24,912,687	)		(457,221,874	)		(36,326,663	)		(656,595,065	)
Net increase (decrease)		(3,475,825	)	$	(67,333,012	)		(17,824,545	)	$	(335,623,499	)

35

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		40,267,613		$	743,943,093			66,421,037		$	1,188,616,078
Shares issued to shareholders in reinvestment of distributions		24,148,643			451,660,303			18,923,124			337,090,707
Shares repurchased		(63,056,039	)		(1,197,014,727	)		(67,564,953	)		(1,248,260,182	)
Net increase (decrease)		1,360,217		$	(1,411,331	)		17,779,208		$	277,446,603
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		35,986,533		$	684,663,196			64,980,665		$	1,177,635,350
Shares issued to shareholders in reinvestment of distributions		20,380,015			379,339,109			12,035,673			214,006,988
Shares repurchased		(24,769,071	)		(443,476,876	)		(13,038,899	)		(234,943,393	)
Net increase (decrease)		31,597,477		$	620,525,429			63,977,439		$	1,156,698,945
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class M:	Shares			Amount			Shares			Amount
Shares sold		90,342		$	1,706,341			765,485		$	13,963,575
Shares issued to shareholders in reinvestment of distributions		48,969			914,061			34,107			607,428
Shares repurchased		(137,839	)		(2,548,061	)		(694,804	)		(13,008,677	)
Net increase (decrease)		1,472		$	72,341			104,788		$	1,562,326

36

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Foreign 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 Foreign Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

37

GMO Foreign Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $35,000,000 account value divided by $1,000 = 35,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

38

GMO Foreign Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class II
1) Actual		0.82	%	$	1,000.00	$	938.40	$	3.95
2) Hypothetical		0.82	%	$	1,000.00	$	1,020.79	$	4.12
Class III
1) Actual		0.75	%	$	1,000.00	$	938.60	$	3.62
2) Hypothetical		0.75	%	$	1,000.00	$	1,021.13	$	3.77
Class IV
1) Actual		0.69	%	$	1,000.00	$	938.80	$	3.33
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.43	$	3.47
Class M
1) Actual		1.05	%	$	1,000.00	$	937.10	$	5.06
2) Hypothetical		1.05	%	$	1,000.00	$	1,019.64	$	5.27

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008 multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

39

GMO Foreign Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $717,398,618 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $21,682,149 and recognized foreign source income of $267,157,320.

For taxable, non-corporate shareholders, 63.08% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $6,957,062 and $72,141,011, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

40

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

41

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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

42

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).
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).

⁵  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.

43

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

44

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Managers

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 Tax-Managed International Equities Fund returned +2.3% for the fiscal year ended February 29, 2008, as compared to +0.8% for the MSCI EAFE Index. On an after-tax basis, the Fund returned -0.3% compared to the benchmark's -0.7% for the same period. The Fund was invested substantially in international equity securities throughout the period.

Country selection was a positive factor for the period, due primarily to the portfolio's 6% weight in emerging markets equities, which significantly outpaced the developed markets. Overweight exposure to Canada added value, while an underweight exposure to Australia worked against the portfolio.

Sector selection was also a positive factor for the fiscal year. An overweight in Energy stocks, which outperformed for the 12-month period, and underweight exposure to Financial stocks, which stumbled, were the primary factors. An underweight in Consumer Staples, which also posted strong returns for the period, was the primary negative influence.

Stock selection was also a positive for the year, as both the intrinsic value and momentum strategies outpaced the market, while the quality-adjusted value strategy posted results similar to the benchmark's.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

*  Returns do not reflect the tax effect a shareholder would pay on Fund distributions or the redemption of Fund shares.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.7	%
Preferred Stocks		1.9
Short-Term Investments		0.4
Rights and Warrants		0.0
Other		2.0
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		19.5	%
Japan		19.1
Germany		12.0
France		12.0
Australia		4.6
Switzerland		4.1
Italy		3.8
Netherlands		3.5
Finland		3.1
Canada		2.3
Singapore		1.8
Hong Kong		1.6
Belgium		1.4
Brazil		1.4
Sweden		1.2
South Korea		1.2
Taiwan		1.0
Austria		1.0
Spain		1.0
Norway		0.9
China		0.6
Russia		0.5
Thailand		0.4
Ireland		0.4
India		0.4
Malaysia		0.3
Greece		0.2
Turkey		0.2
Philippines		0.1
South Africa		0.1
Indonesia		0.1
Israel		0.1
Poland		0.1
Hungary		0.0
		100.0	%

1

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		20.4	%
Energy		14.0
Materials		11.7
Industrials		10.8
Health Care		10.6
Consumer Discretionary		10.5
Telecommunication Services		7.2
Information Technology		5.9
Consumer Staples		5.4
Utilities		3.5
		100.0	%

2

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Australia — 4.5%
	208,107	Australia and New Zealand Banking Group Ltd		4,199,479
	166,815	BHP Billiton Ltd		6,035,834
	45,208	Commonwealth Bank of Australia		1,750,629
	38,524	Macquarie Group Ltd		1,923,904
	73,689	QBE Insurance Group Ltd		1,524,166
	20,217	Rio Tinto Ltd		2,519,125
	146,634	Santos Ltd		1,738,100
	554,480	Stockland		3,588,357
	352,754	Suncorp-Metway Ltd		4,525,195
	1,144,504	Telstra Corp Ltd		5,144,981
	213,322	Westpac Banking Corp		4,562,673
	146,465	Woodside Petroleum Ltd		7,658,880
	141,450	Woolworths Ltd		3,777,729
		Total Australia		48,949,052
		Austria — 0.9%
	438	Lenzing AG		240,225
	87,050	OMV AG		6,289,796
	59,780	Voestalpine AG		3,757,593
		Total Austria		10,287,614
		Belgium — 1.4%
	6,470	Colruyt SA		1,580,930
	23,154	Delhaize Group		1,753,509
	208,468	Dexia		4,901,097
	227,419	Fortis		5,024,237
	33,263	UCB SA		1,576,746
		Total Belgium		14,836,519
		Brazil — 0.3%
	26,157	Banco do Brasil SA		437,265
	15,984	Electrobras (Centro)		235,067

See accompanying notes to the financial statements.

3

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Brazil — continued
	5,800	Petroleo Brasileiro SA (Petrobras)		335,084
	8,320	Petroleo Brasileiro SA (Petrobras) ADR		976,269
	5,700	Unibanco-Uniao de Bancos Brasileiros SA GDR		773,034
		Total Brazil		2,756,719
		Canada — 2.3%
	21,900	Canadian Imperial Bank of Commerce		1,486,107
	64,264	Canadian Natural Resources		4,815,964
	44,171	EnCana Corp		3,367,183
	42,000	National Bank of Canada		2,073,010
	43,200	Potash Corp of Saskatchewan Inc		6,868,109
	62,100	Research In Motion Ltd *		6,469,000
		Total Canada		25,079,373
		China — 0.6%
	1,004,000	Bank of China Ltd Class H		420,552
	90,000	China Merchants Bank Co Ltd Class H		312,417
	514,000	China Petroleum & Chemical Corp Class H		561,752
	174,000	China Shipping Development Co Ltd Class H		538,176
	6,300	China Telecom Corp Ltd ADR		462,483
	138,300	China Telecom Corp Ltd Class H		101,854
	586,000	CNOOC Ltd		973,200
	300,000	Datang International Power Generation Co Ltd		201,267
	790,000	Denway Motors Ltd		399,320
	318,000	Huaneng Power International Inc Class H		259,834
	1,036,000	Industrial and Commercial Bank of China Ltd Class H		718,728
	148,000	Jiangxi Copper Co Ltd Class H		342,485
	290,000	Maanshan Iron & Steel Co Ltd Class H		180,459
	248,000	PetroChina Co Ltd Class H		363,017
	64,000	Shanghai Industrial Holdings Ltd		260,985
	198,000	Yanzhou Coal Mining Co Ltd Class H		323,012
		Total China		6,419,541

See accompanying notes to the financial statements.

4

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Finland — 3.1%
	25,944	Fortum Oyj		1,083,230
	660,497	Nokia Oyj		23,730,090
	70,750	Rautaruukki Oyj		3,084,725
	208,062	Sampo Oyj Class A		5,646,859
		Total Finland		33,544,904
		France — 11.7%
	23,203	Alstom		4,876,330
	177,472	Arcelor Mittal		13,475,174
	145,451	BNP Paribas		13,003,306
	4,173	Bongrain SA		459,944
	18,695	Bouygues		1,276,872
	33,710	Casino Guichard-Perrachon SA		3,812,843
	5,024	Chargeurs International SA		105,540
	36,812	Cie de Saint-Gobain		2,877,756
	75,920	Credit Agricole SA		2,059,314
	2,228	Esso SAF		516,524
	101,435	France Telecom SA		3,405,074
	24,321	Michelin SA Class B		2,395,382
	4,045	NYSE Euronext		265,444
	86,816	Peugeot SA		6,599,686
	55,300	Renault SA		5,908,611
	373,149	Sanofi-Aventis		27,580,432
	22,762	Societe Generale		2,435,516
	5,690	Societe Generale NV (New Shares) *		625,238
	16,784	Suez SA Class B		1,068,303
	16,784	Suez SA VVPR Strip *		255
	693	Total Gabon		476,264
	462,855	Total SA		34,854,849
		Total France		128,078,657
		Germany — 10.9%
	41,494	Adidas AG		2,633,664
	36,900	Allianz SE (Registered)		6,361,310

See accompanying notes to the financial statements.

5

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	71,124	BASF AG		9,095,024
	47,643	Bayer AG		3,666,578
	86,717	Bayerische Motoren Werke AG		4,778,215
	117,272	Daimler AG (Registered)		9,765,675
	63,382	Deutsche Bank AG (Registered)		7,031,716
	32,100	Deutsche Boerse AG		5,107,914
	108,148	Deutsche Post AG (Registered)		3,583,187
	32,559	E.ON AG		6,130,072
	49,900	MAN AG		6,581,874
	49,060	Muenchener Rueckversicherungs AG (Registered)		8,632,074
	15,287	Q-Cells AG *		1,232,347
	21,046	RWE AG		2,547,941
	38,020	Salzgitter AG		6,664,220
	69,800	Siemens AG (Registered)		8,901,185
	29,661	Suedzucker AG		653,901
	177,920	ThyssenKrupp AG		10,231,711
	67,374	Volkswagen AG		15,340,704
		Total Germany		118,939,312
		Greece — 0.2%
	38,391	National Bank of Greece SA		2,080,143
		Hong Kong — 1.5%
	529,500	BOC Hong Kong Holdings Ltd		1,297,596
	52,000	Citic Pacific Ltd		281,186
	914,400	CLP Holdings Ltd		7,147,980
	99,000	Hang Lung Group Ltd		452,809
	704,000	Hong Kong Electric Holdings Ltd		3,986,915
	197,500	Hong Kong Exchanges and Clearing Ltd		3,751,921
		Total Hong Kong		16,918,407

See accompanying notes to the financial statements.

6

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Hungary — 0.0%
	1,680	MOL Magyar Olaj es Gazipari Nyrt (New Shares)		228,861
	7,420	OTP Bank Nyrt		299,823
		Total Hungary		528,684
		India — 0.4%
	2,400	Bajaj Auto Ltd Sponsored GDR		133,200
	1,250	HDFC Bank Ltd ADR		136,388
	31,700	Hindalco Industries Ltd GDR 144A		153,111
	9,600	ICICI Bank Ltd Sponsored ADR		497,664
	11,830	Infosys Technologies Sponsored ADR		460,424
	34,500	ITC Ltd GDR		170,882
	8,100	Mahindra & Mahindra Ltd Sponsored GDR		136,561
	11,200	Reliance Industries Ltd Sponsored GDR 144A		1,363,600
	7,310	Satyam Computer Services Ltd ADR		182,604
	6,600	State Bank of India Sponsored GDR		721,050
	8,690	Tata Motors Ltd Sponsored ADR		152,249
		Total India		4,107,733
		Indonesia — 0.1%
	378,000	Aneka Tambang Tbk PT		165,432
	174,500	Astra International Tbk PT		523,588
	547,500	Bumi Resources Tbk PT		451,725
		Total Indonesia		1,140,745
		Ireland — 0.4%
	38,854	Bank of Ireland		546,566
	100,699	CRH Plc		3,742,531
		Total Ireland		4,289,097
		Israel — 0.1%
	62,820	Bank Hapoalim BM		268,412
	5,910	Check Point Software Technologies Ltd *		129,547
	4,530	Teva Pharmaceutical Industries Ltd Sponsored ADR		222,287
		Total Israel		620,246

See accompanying notes to the financial statements.

7

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Italy — 3.7%
	482,848	Enel SPA		5,210,124
	937,601	ENI SPA		32,376,518
	158,878	Fiat SPA		3,358,092
		Total Italy		40,944,734
		Japan — 18.7%
	276,000	Cosmo Oil Co Ltd		912,032
	123,541	Daiichi Sankyo Co Ltd		3,833,910
	26,600	Daikin Industries Ltd		1,196,933
	63,700	Eisai Co Ltd		2,297,304
	322,000	Fuji Heavy Industries Ltd		1,404,717
	18,100	Fuji Photo Film Co Ltd		678,713
	619,500	Honda Motor Co Ltd		18,910,442
	88,000	Hoya Corp		2,232,818
	426,000	Isuzu Motors Ltd		1,939,893
	795,000	Itochu Corp		8,371,634
	73,800	JFE Holdings Inc		3,288,364
	58,000	Kamigumi Co Ltd		437,598
	100,000	Kao Corp		3,078,782
	308,000	Kawasaki Kisen Kaisha Ltd		3,124,357
	183,300	Komatsu Ltd		4,656,645
	36,000	Kyudenko Corp		181,342
	74,300	Kyushu Electric Power Co Inc		1,872,049
	899,000	Marubeni Corp		6,806,422
	383,000	Mazda Motor Corp		1,560,578
	421,200	Mitsubishi Corp		12,851,015
	143,000	Mitsubishi Estate Co Ltd		3,484,979
	326,000	Mitsui & Co		7,089,663
	329,000	Mitsui OSK Lines Ltd		4,273,014
	595,718	Mitsui Trust Holding Inc		4,106,543
	47,000	Nagase & Co		478,988
	93,000	NGK Insulators Ltd		2,111,836
	102,000	Nikon Corp		2,857,024
	27,500	Nintendo Co Ltd		13,692,132

See accompanying notes to the financial statements.

8

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	137	Nippon Building Fund Inc		1,685,509
	26,000	Nippon Corp		170,973
	563,000	Nippon Oil Corp		3,840,602
	581,000	Nippon Steel Corp		3,056,757
	1,201	Nippon Telegraph & Telephone Corp		5,237,241
	411,000	Nippon Yusen KK		3,797,817
	982,100	Nissan Motor Co		8,831,998
	4,226	NTT Docomo Inc		6,191,386
	21,000	Ono Pharmaceutical Co Ltd		1,060,212
	3,349	Resona Holdings Inc		5,417,055
	298,400	Ricoh Company Ltd		4,792,343
	7,600	Ryosan Co		181,455
	275,700	Seven & I Holdings Co Ltd		6,855,355
	95,100	Shin-Etsu Chemical Co Ltd		5,132,203
	963,100	Sojitz Corp		3,610,208
	92,900	SUMCO Corp		2,054,354
	200,800	Sumitomo Corp		2,887,745
	63,000	Taisho Pharmaceutical Co Ltd		1,283,837
	234,500	Takeda Pharmaceutical Co Ltd		13,084,872
	72,590	Takefuji Corp		1,833,482
	68,400	Tokyo Electric Power Co Inc		1,757,338
	108,000	TonenGeneral Sekiyu KK		1,025,295
	340,000	Toshiba Corp		2,550,250
		Total Japan		204,068,014
		Malaysia — 0.3%
	219,600	Gamuda Berhad		266,998
	178,800	Genting Berhad		378,225
	201,200	IOI Corp Berhad		500,427
	176,750	Malayan Banking Berhad		498,922
	88,300	MISC Berhad		246,812
	67,300	Public Bank Berhad		219,858
	135,255	Sime Darby Berhad *		491,144
	106,000	Telekom Malaysia Berhad		374,214

See accompanying notes to the financial statements.

9

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Malaysia — continued
	46,800	Tenaga Nasional Berhad		131,311
		Total Malaysia		3,107,911
		Netherlands — 3.4%
	495,995	Aegon NV		7,407,436
	12,283	Boskalis Westminster		678,187
	2,671	Gamma Holdings NV		177,886
	120,207	Heineken NV		6,779,733
	493,931	ING Groep NV		16,414,165
	139,540	Koninklijke Ahold NV *		1,833,752
	45,860	Koninklijke DSM		2,018,136
	107,689	Reed Elsevier NV		2,000,652
		Total Netherlands		37,309,947
		Norway — 0.9%
	21,304	Frontline Ltd		971,684
	62,351	Norsk Hydro ASA		880,842
	228,300	Orkla ASA		2,837,999
	172,824	StatoilHydro ASA		5,266,173
		Total Norway		9,956,698
		Philippines — 0.1%
	12,000	Ayala Corp		126,391
	613,100	Ayala Land Inc		174,230
	3,400	Globe Telecom Inc		123,106
	84,500	Manila Electric Co *		161,891
	126,700	Metropolitan Bank & Trust Co		130,110
	7,240	Philippine Long Distance Telephone Co		510,843
	956,200	PNOC Energy Development Corp		148,973
		Total Philippines		1,375,544

See accompanying notes to the financial statements.

10

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Poland — 0.0%
	3,270	KGHM Polska Miedz SA		151,318
	17,440	Polski Koncern Naftowy Orlen SA *		295,848
	12,680	Telekomunikacja Polska SA		118,124
		Total Poland		565,290
		Russia — 0.5%
	24,000	JSC Mining & Smelting Co ADR		700,800
	21,100	Lukoil Sponsored ADR		1,561,400
	12,240	Mobile Telesystems Sponsored ADR		1,004,414
	15,200	OAO Gazprom Sponsored GDR		772,160
	4,300	OAO Tatneft Sponsored GDR (Registered Shares)		539,650
	9,950	Surgutneftegaz Sponsored ADR		457,700
	28,540	Tatneft		175,171
	14,840	Vimpel-Communications Sponsored ADR		515,393
		Total Russia		5,726,688
		Singapore — 1.8%
	340,000	Capitaland Ltd		1,502,128
	161,500	Fraser & Neave Ltd		556,132
	527,000	Oversea-Chinese Banking Corp		2,842,906
	590,000	SembCorp Marine Ltd		1,511,016
	275,000	Singapore Exchange Ltd		1,600,122
	2,864,670	Singapore Telecommunications		7,750,977
	268,000	United Overseas Bank Ltd		3,398,080
		Total Singapore		19,161,361
		South Africa — 0.1%
	110,096	FirstRand Ltd		260,553
	13,816	Nedbank Group Ltd		203,782
	13,600	Remgro Ltd		350,818
	115,100	Sanlam Ltd		273,533
	105,100	Steinhoff International Holdings Ltd		241,388
		Total South Africa		1,330,074

See accompanying notes to the financial statements.

11

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — 1.1%
	2,689	Daelim Industrial Co Ltd		418,429
	7,290	Dongkuk Steel Mill Co Ltd		326,096
	8,928	Hana Financial Group Inc		396,162
	5,630	Hanjin Shipping		213,103
	19,550	Hynix Semiconductor Inc *		502,735
	4,862	Hyundai Development Co		346,717
	6,550	Hyundai Mobis		502,771
	12,010	Hyundai Motor Co		842,107
	5,130	Hyundai Steel Co		396,900
	700	KCC Corp		412,700
	7,840	Kookmin Bank		483,176
	12,770	Korea Electric Power Corp		447,432
	5,351	Korean Air Lines Co Ltd		404,291
	1,900	KT Corp		93,419
	9,350	KT Corp ADR *		227,112
	8,630	KT&G Corp		712,030
	4,303	LG Chemicals Ltd		359,648
	6,520	LG Corp		453,477
	2,140	POSCO		1,177,049
	1,698	Samsung Electronics Co Ltd		995,321
	18,710	Shinhan Financial Group Co Ltd		1,007,885
	2,776	SK Corp		493,351
	5,084	SK Energy Co Ltd		690,271
	100	SK Telecom Co Ltd		20,327
	21,030	SK Telecom Co Ltd ADR		471,072
		Total South Korea		12,393,581
		Spain — 0.9%
	114,883	Repsol YPF SA		3,963,075
	216,970	Telefonica SA		6,278,362
		Total Spain		10,241,437

See accompanying notes to the financial statements.

12

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Sweden — 1.2%
	57,900	Electrolux AB Series B		929,012
	40,075	Hennes & Mauritz AB Class B		2,247,732
	149,158	Investor AB		3,155,054
	178,000	Scania AB Class B		4,294,317
	124,900	Tele2 AB Class B		2,195,338
		Total Sweden		12,821,453
		Switzerland — 4.0%
	279,757	ABB Ltd		6,969,955
	6,497	Bobst Group AG (Registered)		464,039
	6,550	Nestle SA (Registered)		3,126,239
	351,880	Novartis AG (Registered)		17,380,335
	40,011	Swiss Reinsurance Co (Registered)		3,207,022
	40,794	Zurich Financial Services AG		12,752,659
		Total Switzerland		43,900,249
		Taiwan — 1.0%
	295,018	Advanced Semiconductor Engineering Inc		270,473
	131,508	Asustek Computer Inc		363,060
	670,488	China Development Financial Holding Corp		274,552
	669,841	China Steel Corp		989,679
	513,000	Chinatrust Financial Holding Co Ltd *		458,627
	277,440	Chunghwa Telecom Co Ltd		689,807
	390,383	Compal Electronics Inc		351,845
	55,960	Delta Electronics Inc		159,165
	291,247	Far Eastern Textile Co Ltd		474,511
	223,000	Far Eastone Telecommunications Co Ltd		311,395
	274,930	Formosa Chemicals & Fibre Co		668,126
	210,515	Formosa Plastics Corp		567,482
	45,558	High Tech Computer Corp		940,486
	171,694	Lite-On Technology Corp		234,540
	27,260	MediaTek Inc		305,735
	458,000	Mega Financial Holdings Co Ltd		327,043
	360,080	Nan Ya Plastics Corp		848,007

See accompanying notes to the financial statements.

13

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	61,559	Novatek Microelectronics Corp Ltd		216,615
	157,290	Quanta Computer Inc		206,199
	241,677	Siliconware Precision Industries Co		393,838
	528,390	Taishin Financial Holdings Co Ltd *		245,842
	155,809	Taiwan Mobile Co Ltd		263,962
	65,000	U-Ming Marine Transport Co		178,716
	140,240	Unimicron Technology Corp		211,611
	481,742	United Microelectronics Corp		285,944
	152,579	Wistron Corp		251,964
		Total Taiwan		10,489,224
		Thailand — 0.4%
	91,150	Bangkok Bank Pcl NVDR (a)		372,160
	22,000	Bangkok Dusit Medical Service Pcl (Foreign Registered) (a)		23,258
	1,245,260	IRPC Pcl (Foreign Registered) (a)		234,441
	210,020	Kasikornbank Pcl NVDR (a)		578,870
	624,060	Krung Thai Bank Pcl (Foreign Registered) (a)		212,151
	163,180	PTT Exploration & Production Pcl (Foreign Registered) (a)		821,349
	102,780	PTT Pcl (Foreign Registered) (a)		1,099,155
	52,540	Siam Cement Pcl NVDR (a)		357,085
	172,200	Siam Commercial Bank Pcl (Foreign Registered) (a)		471,982
	120,380	Thai Oil Pcl (Foreign Registered) (a)		297,668
		Total Thailand		4,468,119
		Turkey — 0.2%
	9,410	KOC Holding AS *		35,440
	18,940	Tupras-Turkiye Petrol Rafineriler AS		480,187
	123,780	Turkiye Garanti Bankasi		734,080
	90,470	Turkiye IS Bankasi Class C		414,961
	61,060	Turkiye Vakiflar Bankasi TAO Class D		142,742
		Total Turkey		1,807,410

See accompanying notes to the financial statements.

14

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — 19.0%
	245,549	3i Group Plc		3,968,531
	98,685	Alliance & Leicester Plc		1,094,488
	246,300	AstraZeneca Plc		9,206,055
	316,479	Aviva Plc		3,814,662
	322,987	Barclays Plc		3,027,137
	243,355	BG Group Plc		5,736,117
	220,139	BHP Billiton Plc		7,042,272
	201,360	Centrica Plc		1,285,641
	1,611,247	GlaxoSmithKline Plc		35,171,168
	402,538	HBOS Plc		4,783,342
	363,898	Home Retail Group		1,858,831
	164,980	Imperial Tobacco Group Plc		7,637,304
	323,002	J Sainsbury Plc		2,264,537
	92,250	Next Plc		2,339,636
	870,317	Old Mutual Plc		2,149,772
	84,522	Reckitt Benckiser Group Plc		4,559,223
	201,330	Rio Tinto Plc		22,651,148
	2,648,185	Royal Bank of Scotland Group		20,021,673
	212,792	Royal Dutch Shell Group Class A (Amsterdam)		7,609,350
	249,000	Royal Dutch Shell Plc A Shares (London)		8,903,336
	102,049	Royal Dutch Shell Plc B Shares (London)		3,580,079
	63,741	SABMiller Breweries Plc		1,324,258
	91,642	Scottish & Southern Energy Plc		2,679,670
	870,228	Taylor Woodrow Plc		2,944,632
	391,446	Tesco Plc		3,093,323
	111,700	Unilever Plc		3,519,250
	10,195,489	Vodafone Group Inc		32,823,545
	27,585	Whitbread Plc		690,241
	154,391	Wolseley Plc		1,889,290
		Total United Kingdom		207,668,511
		TOTAL COMMON STOCKS (COST $860,936,632)		1,045,912,991

See accompanying notes to the financial statements.

15

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		PREFERRED STOCKS — 1.9%
		Brazil — 1.1%
	28,194	Banco Bradesco SA 0.32%		880,281
	30,100	Banco Itau Holding Financeira SA 2.81%		758,240
	14,700	Bradespar SA 0.28%		382,473
	17,648	Brasil Telecom Participacoes SA 4.46%		246,285
	33,078	Companhia Energetica de Minas Gerais 2.29%		629,834
	20,692	Companhia Paranaense de Energia Class B 2.20%		336,608
	50,500	Companhia Vale do Rio Doce Class A 0.05%		1,488,930
	27,302	Electrobras (Centro) SA Class B 6.09%		400,384
	18,550	Gerdau Metalurgica SA 2.65%		817,205
	27,600	Gerdau SA 2.11%		901,884
	123,857	Itausa-Investimentos Itau SA 0.11%		787,335
	45,424	Petroleo Brasileiro SA (Petrobras) 0.43%		2,187,798
	67,200	Sadia SA 3.09%		379,890
	34,280	Tele Norte Leste Participacoes ADR 3.52%		858,028
	15,400	Usinas Siderrurgicas de Minas Gerais SA Class A 2.26%		892,437
		Total Brazil		11,947,612
		Germany — 0.8%
	1,850	Porsche AG (Non Voting) 0.06%		3,207,677
	20,411	Villeroy & Boch AG (Non Voting) 4.37%		293,821
	40,841	Volkswagen AG 2.02%		5,690,707
		Total Germany		9,192,205
		TOTAL PREFERRED STOCKS (COST $9,944,850)		21,139,817
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	335	Banco Bradesco SA Rights, Expires 02/22/08 * (b)		881

See accompanying notes to the financial statements.

16

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		France — 0.0%
	2	Societe Generale Rights, Expires 02/29/08 * (c)		18
		TOTAL RIGHTS AND WARRANTS (COST $219)		899
		SHORT-TERM INVESTMENTS — 0.4%
	3,900,000	Barclays Plc Time Deposit, 3.12%, due 03/03/08		3,900,000
		TOTAL SHORT-TERM INVESTMENTS (COST $3,900,000)		3,900,000
		TOTAL INVESTMENTS — 98.0% (Cost $874,781,701)		1,070,953,707
		Other Assets and Liabilities (net) — 2.0%		21,392,224
		TOTAL NET ASSETS — 100.0%	$	1,092,345,931

See accompanying notes to the financial statements.

17

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  As of February 29, 2008, these rights have been exercised but shares have not yet been credited to the Fund.

(c)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

As of February 29, 2008, 91.08% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

18

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $874,781,701) (Note 2)	$	1,070,953,707
Cash		71,774
Foreign currency, at value (cost $19,889,129) (Note 2)		20,340,309
Receivable for investments sold		111,374
Receivable for Fund shares sold		555
Dividends and interest receivable		2,085,850
Foreign taxes receivable		232,769
Receivable for expenses reimbursed by Manager (Note 3)		133,690
Total assets		1,093,930,028
Liabilities:
Payable for investments purchased		582,002
Payable to affiliate for (Note 3):
Management fee		468,464
Shareholder service fee		130,129
Trustees and Chief Compliance Officer of GMO Trust fees		1,289
Accrued expenses		402,213
Total liabilities		1,584,097
Net assets	$	1,092,345,931
Net assets consist of:
Paid-in capital	$	873,132,342
Accumulated undistributed net investment income		2,816,425
Accumulated net realized gain		19,709,630
Net unrealized appreciation		196,687,534
	$	1,092,345,931
Net assets attributable to:
Class III shares	$	1,092,345,931
Shares outstanding:
Class III		58,311,946
Net asset value per share:
Class III	$	18.73

See accompanying notes to the financial statements.

19

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $3,697,099)	$	35,374,791
Interest		1,091,974
Total investment income		36,466,765
Expenses:
Management fee (Note 3)		6,507,466
Shareholder service fee – Class III (Note 3)		1,807,629
Custodian and fund accounting agent fees		913,700
Transfer agent fees		33,973
Audit and tax fees		94,967
Legal fees		25,794
Trustees fees and related expenses (Note 3)		13,083
Registration fees		7,286
Miscellaneous		16,686
Total expenses		9,420,584
Fees and expenses reimbursed by Manager (Note 3)		(1,066,284	)
Expense reductions (Note 2)		(4,022	)
Net expenses		8,350,278
Net investment income (loss)		28,116,487
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		107,809,013
Closed futures contracts		(700,603	)
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $1,722) (Note 2)		3,903,738
Net realized gain (loss)		111,012,148
Change in net unrealized appreciation (depreciation) on:
Investments		(112,630,704	)
Foreign currency, forward contracts and foreign currency related transactions		114,439
Net unrealized gain (loss)		(112,516,265	)
Net realized and unrealized gain (loss)		(1,504,117	)
Net increase (decrease) in net assets resulting from operations	$	26,612,370

See accompanying notes to the financial statements.

20

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	28,116,487		$	18,003,549
Net realized gain (loss)		111,012,148			55,122,662
Change in net unrealized appreciation (depreciation)		(112,516,265	)		107,047,664
Net increase (decrease) in net assets from operations		26,612,370			180,173,875
Distributions to shareholders from:
Net investment income
Class III		(31,165,537	)		(20,061,779	)
Net realized gains
Class III		(118,448,701	)		(39,922,774	)
		(149,614,238	)		(59,984,553	)
Net share transactions (Note 7):
Class III		110,083,703			155,491,902
Total increase (decrease) in net assets		(12,918,165	)		275,681,224
Net assets:
Beginning of period		1,105,264,096			829,582,872
End of period (including accumulated undistributed net investment income of $2,816,425 and $354,337, respectively)	$	1,092,345,931		$	1,105,264,096

See accompanying notes to the financial statements.

21

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	20.76		$	18.31		$	15.78		$	13.19		$	8.73
Income (loss) from investment operations:
Net investment income (loss)†		0.51			0.36			0.35			0.26			0.21
Net realized and unrealized gain (loss)		0.20	(b)		3.28			2.77			2.61			4.55
Total from investment operations		0.71			3.64			3.12			2.87			4.76
Less distributions to shareholders:
From net investment income		(0.57	)		(0.40	)		(0.31	)		(0.28	)		(0.30	)
From net realized gains		(2.17	)		(0.79	)		(0.28	)		—			—
Total distributions		(2.74	)		(1.19	)		(0.59	)		(0.28	)		(0.30	)
Net asset value, end of period	$	18.73		$	20.76		$	18.31		$	15.78		$	13.19
Total Return(a)		2.28	%		20.33	%		20.04	%		21.94	%		54.99	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,092,346		$	1,105,264		$	829,583		$	559,912		$	291,360
Net expenses to average daily net assets		0.69	%(c)		0.69	%		0.69	%		0.69	%		0.69	%
Net investment income to average daily net assets		2.33	%		1.83	%		2.10	%		1.91	%		1.87	%
Portfolio turnover rate		41	%		34	%		39	%		44	%		36	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.09	%		0.08	%		0.10	%		0.16	%		0.26	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

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

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

22

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Tax-Managed International Equities 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 Funds into classes.

The Fund seeks high after-tax total return. The Fund seeks to achieve its investment objective by outperforming the MSCI EAFE Index (after tax), which is computed by GMO by adjusting the return of the MSCI EAFE Index (Europe, Australasia, and Far East) by its tax cost. The Fund typically makes equity investments in non-U.S. companies that issue stocks included in the MSCI EAFE universe (which is larger than, but generally represented by, the MSCI EAFE Index), plus companies in Canada and emerging countries. GMO uses quantitative models integrated with tax management techniques to provide broad exposure to the international equity markets to investors subject to U.S. federal income tax. The Fund's investments in emerging countries generally will represent 15% or less of the Fund's total assets.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. Because many foreign equity securities markets and exchanges close prior to

23

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. 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.

24

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

25

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

26

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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. The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the

27

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Brazilian market. For the year ended February 29, 2008, the Fund incurred $1,722 in CPMF tax which is included in the net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions and foreign currency transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	5,511,138	$	(5,511,139	)	$	1

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	42,430,962	$	22,514,744
Long-term capital gains		107,183,276		37,469,809
Total distributions	$	149,614,238	$	59,984,553

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

28

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	3,263,708
Undistributed long–term capital gain	$	19,928,520

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	875,289,873	$	257,249,887	$	(61,586,053	)	$	195,663,834

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

29

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets at the annual rate of 0.15% for Class III shares.

30

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.54% of the 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 29, 2008 was $11,427 and $5,033, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $479,386,884 and $485,084,624, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, there were no shareholders individually holding in excess of 10% of the Fund's outstanding shares.

As of February 29, 2008, 1.89% of the Fund's shares were held by ten related parties comprised of certain GMO employee accounts, and 0.12% of the Fund's shares were held by accounts for which the Manager has investment discretion.

31

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,630,804		$	96,384,502			8,725,835		$	171,811,462
Shares issued to shareholders in reinvestment of distributions		6,034,152			126,532,299			2,416,494			47,334,895
Shares repurchased		(5,588,860	)		(112,833,098	)		(3,218,183	)		(63,654,455	)
Net increase (decrease)		5,076,096		$	110,083,703			7,924,146		$	155,491,902

32

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Tax-Managed International Equities 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 Tax-Managed International Equities Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

33

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

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. 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		0.69	%	$	1,000.00	$	942.10	$	3.33
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.43	$	3.47

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

34

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Tax Information for the Tax Year ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $107,183,276 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $3,690,227 and recognized foreign source income of $39,071,890.

For taxable, non-corporate shareholders, 76.51% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $413,420 and $11,265,425, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

35

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

36

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

37

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

38

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003-present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

39

GMO Domestic Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Domestic Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Domestic Bond Fund returned +4.4% for the fiscal year ended February 29,2008, as compared with the +10.7% return of the Lehman Brothers U.S. Government Index.

The Fund underperformed the benchmark during the fiscal year by 6.4%. The year's underperformance stemmed from mark-to-market losses in the cash collateral pool in which the strategy invests a substantial portion of its total assets, the GMO Short Duration Collateral Fund (SDCF). SDCF primarily invests in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return. The SDCF investment collateralizes derivatives positions, mainly U.S. Treasury bond futures and interest-rate swaps, which seek to deliver the price return of the benchmark, which has an approximately 5-yearduration.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, SDCF underperformed LIBOR by nearly 700 bps, directly contributing to the Fund's underperformance, given the latter's 94% exposure to the former.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class VI shares will vary due to different fees.

GMO Domestic Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		89.6	%
Short-Term Investments		9.6
Futures		0.6
Swaps		0.3
Preferred Stocks		0.2
Forward Currency Contracts		(0.0	)
Other		(0.3	)
		100.0	%

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

1

GMO Domestic Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 4.6%
		Corporate Debt — 1.5%
	11,347,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		10,480,770
		U.S. Government Agency — 3.1%
	9,500,000	Agency for International Development Floater (Support of India), Variable Rate, 3 mo. LIBOR + .10%, 3.34%, due 02/01/27		9,440,720
	3,500,000	Agency for International Development Floater (Support of Jamaica), Variable Rate, 6 mo. LIBOR + .30%, 3.36%, due 12/01/14		3,508,785
	3,615,987	Agency for International Development Floater (Support of Jamaica), Variable Rate, 6 mo. U.S. Treasury Bill + .75%, 2.88%, due 03/30/19		3,631,861
	3,127,500	Agency for International Development Floater (Support of Sri Lanka), Variable Rate, 6 mo. LIBOR + .20%, 3.26%, due 06/15/12		3,123,622
	2,933,338	Agency for International Development Floater (Support of Zimbabwe), Variable Rate, 3 mo. U.S. Treasury Bill x 115%, 4.04%, due 01/01/12		2,902,174
		Total U.S. Government Agency		22,607,162
		TOTAL DEBT OBLIGATIONS (COST $34,049,348)		33,087,932
		PREFERRED STOCKS — 0.2%
		Banking — 0.2%
	10,000	Home Ownership Funding 2 Preferred 144A, 13.34%		1,544,497
		TOTAL PREFERRED STOCKS (COST $2,576,211)		1,544,497
		MUTUAL FUNDS — 93.5%
		Affiliated Issuers — 93.5%
	28,243,201	GMO Short-Duration Collateral Fund		678,684,117
	1,483	GMO Special Purpose Holding Fund (a) (b)		1,868
		TOTAL MUTUAL FUNDS (COST $717,109,114)		678,685,985

See accompanying notes to the financial statements.

2

GMO Domestic Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 0.2%
	1,624,043	State Street Institutional Liquid Reserves Fund-Institutional Class		1,624,043
		Other Short-Term Investments — 1.0%
	7,000,000	U.S. Treasury Bill, 2.05%, due 04/17/08 (c) (d)		6,981,265
		TOTAL SHORT-TERM INVESTMENTS (COST $8,605,308)		8,605,308
		TOTAL INVESTMENTS — 99.5% (Cost $762,339,981)		721,923,722
		Other Assets and Liabilities (net) — 0.5%		3,888,055
		TOTAL NET ASSETS — 100.0%	$	725,811,777

See accompanying notes to the financial statements.

3

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	514	U.S. Long Bond (CBT)	June 2008	$	60,973,250	$	1,380,203
	733	U.S. Treasury Note 10 Yr.	June 2008		85,967,156		1,533,047
	260	U.S. Treasury Note 2 Yr. (CBT)	June 2008		55,879,688		365,033
	712	U.S. Treasury Note 5 Yr. (CBT)	June 2008		81,346,000		1,094,189
				$	284,166,094	$	4,372,472

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date		Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default		Market Value
	11,500,000	USD		3/20/2013	Barclays Bank PLC	(Pay)		0.61	%	Health Care Properties		$	1,670,597
							Premiums to (Pay) Receive			$	—	$	1,670,597

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	75,000,000	USD	5/30/2008	Lehman Brothers	1 month	Return on Lehman
					LIBOR - 0.06%	Brothers U.S.
						Government Index		$	543,947
	75,000,000	USD	6/30/2008	Lehman Brothers	1 month LIBOR - 0.06%	Return on Lehman Brothers U.S. Government Index			543,947
	175,000,000	USD	7/31/2008	Lehman Brothers	1 month LIBOR - 0.05%	Return on Lehman Brothers U.S. Government Index			1,267,847
					Premiums to (Pay) Receive	$	—	$	2,355,741

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

4

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

LIBOR - London Interbank Offered Rate

MTN - Medium Term Note

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  Underlying investment represents interests in defaulted securities.

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

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

Currency Abbreviations:

USD - United States Dollar

See accompanying notes to the financial statements.

5

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $45,230,867) (Note 2)	$	43,237,737
Investments in affiliated issuers, at value (cost $717,109,114) (Notes 2 and 8)		678,685,985
Receivable for Fund shares sold		7,226,835
Interest receivable		174,452
Receivable for variation margin on open futures contracts (Note 2)		3,151,391
Receivable for open swap contracts (Note 2)		4,026,338
Receivable for expenses reimbursed by Manager (Note 3)		24,795
Total assets		736,527,533
Liabilities:
Payable for investments purchased		3,200,000
Payable for Fund shares repurchased		7,325,536
Payable to affiliate for (Note 3):
Management fee		57,977
Shareholder service fee		42,253
Trustees and Chief Compliance Officer of GMO Trust fees		820
Accrued expenses		89,170
Total liabilities		10,715,756
Net assets	$	725,811,777
Net assets consist of:
Paid-in capital	$	753,581,944
Accumulated undistributed net investment income		8,256,225
Accumulated net realized loss		(4,008,943	)
Net unrealized depreciation		(32,017,449	)
	$	725,811,777
Net assets attributable to:
Class III shares	$	144,285,975
Class VI shares	$	581,525,802
Shares outstanding:
Class III		15,240,587
Class VI		61,345,803
Net asset value per share:
Class III	$	9.47
Class VI	$	9.48

See accompanying notes to the financial statements.

6

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	30,714,141
Interest		3,278,348
Dividends		176,922
Total investment income		34,169,411
Expenses:
Management fee (Note 3)		601,686
Shareholder service fee – Class III (Note 3)		209,135
Shareholder service fee – Class VI (Note 3)		254,244
Custodian, fund accounting agent and transfer agent fees		80,665
Audit and tax fees		59,732
Legal fees		14,778
Trustees fees and related expenses (Note 3)		5,572
Registration fees		11,433
Miscellaneous		8,642
Total expenses		1,245,887
Fees and expenses reimbursed by Manager (Note 3)		(170,750	)
Expense reductions (Note 2)		(13	)
Net expenses		1,075,124
Net investment income (loss)		33,094,287
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,131,740
Investments in affiliated issuers		(1,557,671	)
Realized gains distributions from affiliated issuers (Note 8)		9,616
Closed futures contracts		4,008,720
Closed swap contracts		28,704,279
Net realized gain (loss)		32,296,684
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,345,761	)
Investments in affiliated issuers		(40,220,737	)
Open futures contracts		4,994,900
Open swap contracts		(688,510	)
Net unrealized gain (loss)		(37,260,108	)
Net realized and unrealized gain (loss)		(4,963,424	)
Net increase (decrease) in net assets resulting from operations	$	28,130,863

See accompanying notes to the financial statements.

7

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	33,094,287		$	20,918,305
Net realized gain (loss)		32,296,684			(3,832,373	)
Change in net unrealized appreciation (depreciation)		(37,260,108	)		4,109,168
Net increase (decrease) in net assets from operations		28,130,863			21,195,100
Distributions to shareholders from:
Net investment income
Class III		(11,697,331	)		(4,864,279	)
Class VI		(41,858,762	)		(16,195,086	)
Total distributions from net investment income		(53,556,093	)		(21,059,365	)
Net share transactions (Note 7):
Class III		55,468,188			(31,467,198	)
Class VI		273,813,697			(31,859,527	)
Increase (decrease) in net assets resulting from net share transactions		329,281,885			(63,326,725	)
Total increase (decrease) in net assets		303,856,655			(63,190,990	)
Net assets:
Beginning of period		421,955,122			485,146,112
End of period (including accumulated undistributed net investment income of $8,256,225 and $10,334, respectively)	$	725,811,777		$	421,955,122

See accompanying notes to the financial statements.

8

GMO Domestic Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	9.81		$	9.81		$	9.84		$	10.07		$	10.08
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.42			0.43			0.13			0.16			0.23
Net realized and unrealized gain (loss)		(0.01	)		0.06			0.16			0.04			0.24
Total from investment operations		0.41			0.49			0.29			0.20			0.47
Less distributions to shareholders:
From net investment income		(0.75	)		(0.49	)		(0.16	)		(0.16	)		(0.20	)
From net realized gains		—			—			(0.16	)		(0.27	)		(0.28	)
Return of capital		—			—			—			(0.00	)(b)		—
Total distributions		(0.75	)		(0.49	)		(0.32	)		(0.43	)		(0.48	)
Net asset value, end of period	$	9.47		$	9.81		$	9.81		$	9.84		$	10.07
Total Return(c)		4.35	%		5.09	%		3.02	%		2.02	%		4.79	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	144,286		$	94,159		$	125,188		$	736,300		$	373,277
Net expenses to average daily net assets(d)		0.25	%(e)		0.25	%		0.25	%		0.25	%		0.25	%
Net investment income to average daily net assets(a)		4.28	%		4.42	%		1.30	%		1.57	%		2.30	%
Portfolio turnover rate		22	%		17	%		24	%		11	%		15	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		0.03	%		0.02	%		0.03	%		0.06	%

(a)  Net investment income is affected by timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  Return of capital is less than $0.01.

(c)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

9

GMO Domestic Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	9.82		$	9.82		$	9.93
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.57			0.48			0.24
Net realized and unrealized gain (loss)		(0.15	)		0.02			(0.14	)(c)
Total from investment operations		0.42			0.50			0.10
Less distributions to shareholders:
From net investment income		(0.76	)		(0.50	)		(0.21	)
Total distributions		(0.76	)		(0.50	)		(0.21	)
Net asset value, end of period	$	9.48		$	9.82		$	9.82
Total Return(d)		4.42	%		5.19	%		0.97	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	581,526		$	327,796		$	359,958
Net expenses to average daily net assets(e)		0.16	%(f)		0.16	%		0.16	%*
Net investment income to average daily net assets(b)		5.87	%		4.85	%		2.38	%(g)
Portfolio turnover rate		22	%		17	%		24	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		0.03	%		0.02	%*

(a)  Period from July 26, 2005 (commencement of operations) through February 28, 2006.

(b)  Net investment income is affected by timing of the declaration of dividends by the underlying funds in which the Fund invests.

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

(d)  The total return would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  The ratio for the period ended February 28, 2006 has not been annualized since the Fund believes it would not be appropriate because the Fund's net income is not earned ratably throughout the fiscal year.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2006.

See accompanying notes to the financial statements.

10

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Domestic Bond 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 Funds into classes.

The Fund seeks total return in excess of that of the Lehman Brothers U.S. Government Index. The Fund invests a substantial portion of its assets in shares of GMO Short-Duration Collateral Fund; U.S. investment-grade bonds, including asset-backed securities and U.S. government securities; and derivatives (including synthetic debt instruments) whose value is related to U.S. investment-grade bonds. The Fund also may invest a portion of its assets in foreign bonds and lower-rated securities.

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different level of shareholder servicing fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of the GMO Short-Duration Collateral Fund and the GMO Special Purpose Holding Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment funds are valued at their net asset value. Securities for which quotations are

11

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 33.30% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $9,616 through SPHF in conjunction with settlement agreements related to the default of those securities.

Futures contracts

The Fund may purchase and sell futures contracts. 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

12

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

13

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed

14

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

15

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions and derivative contract transactions.

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 29, 2008. The financial highlights exclude these adjustments.

16

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	28,707,697	$	(28,707,697	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	53,556,093	$	21,059,365
Total distributions	$	53,556,093	$	21,059,365

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	10,493,293
Undistributed long-term capital gain	$	2,620,857

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	764,601,676	$	17,511	$	(42,695,465	)	$	(42,677,954	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

17

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

18

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.10% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.10% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder of the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.002	%		0.000	%		0.000	%		0.002	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $4,928 and $2,575, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

19

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	10,255,429	$	22,476,819
Investments (non-U.S. Government securities)		446,364,141		95,022,517

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 73.62% of the shares outstanding of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by four related parties comprised of certain GMO employee accounts, and 96.19% of the Fund's shares were held by accounts for which the Manager has investment discretion.

20

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		30,453,972		$	298,824,097			2,560,718		$	25,144,765
Shares issued to shareholders in reinvestment of distributions		765,476			7,192,263			470,574			4,591,550
Shares repurchased		(25,576,899	)		(250,548,172	)		(6,197,833	)		(61,203,513	)
Net increase (decrease)		5,642,549		$	55,468,188			(3,166,541	)	$	(31,467,198	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		26,087,987		$	256,617,471			142,221		$	1,389,455
Shares issued to shareholders in reinvestment of distributions		4,455,602			41,858,762			1,658,104			16,195,086
Shares repurchased		(2,571,173	)		(24,662,536	)		(5,081,727	)		(49,444,068	)
Net increase (decrease)		27,972,416		$	273,813,697			(3,281,402	)	$	(31,859,527	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	357,398,162	$	446,364,141	$	83,300,000	$	30,714,141	$	—	$	678,684,117
GMO Special Purpose Holding Fund		2,090		—		—		—		9,616		1,868
Totals	$	357,400,252	$	446,364,141	$	83,300,000	$	30,714,141	$	9,616	$	678,685,985

21

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Domestic Bond 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 Domestic Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

22

GMO Domestic Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.25	%	$	1,000.00	$	1,030.40	$	1.26
2) Hypothetical		0.25	%	$	1,000.00	$	1,023.62	$	1.26
Class VI
1) Actual		0.16	%	$	1,000.00	$	1,030.90	$	0.81
2) Hypothetical		0.16	%	$	1,000.00	$	1,024.07	$	0.81

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

23

GMO Domestic Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $19,944,915 or if determined to be different, the qualified interest income of such year.

24

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 Office1 and 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/oGMO 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

25

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/o GMO Trust 40Rowes 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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

26

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).
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).

⁵  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.

27

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

28

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO World Opportunity Overlay Fund returned -1.2% for the fiscal year ended February 29, 2008, as compared with +5.8% for the JPMorgan U.S. 3 Month Cash Index.

The Fund underperformed the benchmark during the fiscal year by -6.9%. During the time period, the overlay added about 0.9%, while cash management detracted about 7.8%. The Fund is comprised of overlay strategies involving investments in derivative transactions (largely interest-rate swaps and exchange-traded futures). These derivative transactions are backed by a collateral pool consisting of high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the collateral pool underperformed LIBOR by nearly 800 bps, directly contributing to the Fund's underperformance.

In addition to collateral mark-to-market losses, the volatility, cross-market, and slope strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trades with positive contributions for the year.

The Fund's duration at fiscal year-end was 0.2 years.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		93.1	%
Short-Term Investments		6.0
Options Purchased		0.9
Forward Currency Contracts		0.0
Futures		0.0
Written Options		(0.2	)
Swaps		(0.3	)
Other		0.5
		100.0	%

1

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 93.1%
		Asset-Backed Securities — 92.3%
		Auto Financing — 8.5%
	10,000,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 08/15/13		9,818,800
	7,000,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, Variable Rate, 1 mo. LIBOR + .40%, 3.52%, due 02/18/14		6,785,100
	7,000,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 11/15/11		6,875,610
	7,500,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 02/15/12		7,297,650
	2,000,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, Variable Rate, 1 mo. LIBOR + .38%, 3.50%, due 07/15/12		1,948,909
	10,000,000	Ford Credit Floorplan Master Owner Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 05/15/10		9,954,000
	12,000,000	Ford Credit Floorplan Master Owner Trust, Series 06-3, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 06/15/11		11,577,233
	2,000,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 06/15/13		1,849,276
	14,000,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, Variable Rate, 1 mo. LIBOR, 3.12%, due 06/17/13		13,535,760
	15,000,000	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 08/15/11		14,586,000
	10,000,000	Superior Wholesale Inventory Financing Trust, Series 04-A10, Class A, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 09/15/11		9,571,400
	8,000,000	Superior Wholesale Inventory Financing Trust, Series 05-A12, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 06/15/10		7,936,136
	3,000,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 06/15/12		2,839,860
	8,000,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 12/15/16		7,530,400
	14,000,000	World Omni Auto Receivables Trust, Series 07-A, Class A4, Variable Rate, 1 mo. LIBOR, 3.12%, due 11/15/12		13,543,754
		Total Auto Financing		125,649,888

See accompanying notes to the financial statements.

2

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Bank Loan Collateralized Debt Obligations — 1.1%
	9,969,958	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + .17%, 5.10%, due 06/20/25		9,807,946
	7,200,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .25%, 4.90%, due 07/05/11		6,978,168
		Total Bank Loan Collateralized Debt Obligations		16,786,114
		Business Loans — 5.3%
	2,262,941	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .37%, 3.49%, due 01/25/35		2,191,432
	4,577,203	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 3.51%, due 01/25/36		4,244,440
	10,000,000	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.30%, 4.42%, due 12/25/37		9,650,000
	2,399,706	Capitalsource Commercial Loan Trust, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 08/22/16		2,352,432
	1,261,082	GE Business Loan Trust, Series 05-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 06/15/14		1,256,519
	2,381,582	GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 11/15/33		2,238,284
	1,938,683	GE Commercial Loan Trust, Series 06-2, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.95%, due 04/19/15		1,926,857
	4,000,000	GE Dealer Floorplan Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 04/20/10		3,994,800
	13,000,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 07/20/12		12,556,348
	2,869,113	Lehman Brothers Small Balance Commercial, Series 05-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 02/25/30		2,627,119
	2,109,720	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 09/25/30		1,911,657
	9,786,759	Lehman Brothers Small Balance Commercial, Series 07-2A, Class 1A1, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 06/25/37		9,538,950
	1,820,986	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, Variable Rate, 1 mo. LIBOR + .65%, 3.77%, due 10/25/37		1,781,015
	3,000,000	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .85%, 3.97%, due 10/25/37		2,778,227
	5,000,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 02/25/13		4,842,000

See accompanying notes to the financial statements.

3

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Business Loans — continued
	11,000,000	Navistar Financial Dealer Note Master Trust, Series 98-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 07/25/11		10,959,190
	4,000,000	Textron Financial Floorplan Master Note, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 05/13/10		3,985,000
		Total Business Loans		78,834,270
		CMBS — 4.1%
	4,043,125	Bear Stearns Commercial Mortgage Securities, Inc., Series 05-PW10, Class A1, 5.09%, due 12/11/40		4,017,411
	7,000,000	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 07/15/44		6,698,300
	13,000,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.25%, due 12/15/20		12,857,000
	7,000,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.30%, due 11/10/45		7,030,625
	4,000,000	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, Variable Rate, 5.34%, due 03/10/44		4,027,500
	2,011,423	Greenwich Capital Commercial Funding Corp., Series 06-FL4, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .09%, 3.31%, due 11/05/21		1,933,481
	7,000,000	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		6,920,977
	1,579,948	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 09/15/21		1,573,117
	6,000,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, Variable Rate, 5.61%, due 05/12/39		5,974,922
	3,000,000	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.74%, due 10/15/42		2,855,820
	7,890,862	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 09/15/21		7,299,048
		Total CMBS		61,188,201
		CMBS Collateralized Debt Obligations — 1.2%
	7,480,000	American Capital Strategies Ltd Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .80%, 3.89%, due 11/23/52		4,549,931
	7,000,000	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .32%, 3.44%, due 08/26/30		6,405,000

See accompanying notes to the financial statements.

4

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		CMBS Collateralized Debt Obligations — continued
	7,400,000	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .33%, 3.45%, due 05/25/46		6,512,000
		Total CMBS Collateralized Debt Obligations		17,466,931
		Credit Cards — 19.0%
	7,150,000	Advanta Business Card Master Trust, Series 01-A, Class A, Variable Rate, 1 mo. LIBOR + .30%, 3.42%, due 10/20/10		7,129,551
	6,500,000	Advanta Business Card Master Trust, Series 05-A1, Class A1, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 04/20/11		6,473,025
	2,000,000	Advanta Business Card Master Trust, Series 05-A5, Class A5, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 04/20/12		1,942,100
	6,000,000	American Express Credit Account Master Trust, Series 04-1, Class A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 09/15/11		5,961,780
	5,000,000	American Express Credit Account Master Trust, Series 04-4, Class A, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 03/15/12		4,938,640
	5,000,000	American Express Credit Account Master Trust, Series 05-3, Class A, Variable Rate, 1 mo. LIBOR, 3.12%, due 01/18/11		4,986,500
	10,000,000	American Express Credit Account Master Trust, Series 05-5, Class A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 02/15/13		9,848,900
	4,500,000	American Express Credit Account Master Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 12/15/13		4,381,155
	5,000,000	American Express Issuance Trust, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 09/15/11		4,905,950
	6,000,000	Arran, Series 2005-A, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 12/15/10		5,925,000
	1,000,000	Bank One Issuance Trust, Series 03-A10, Class A10, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 06/15/11		995,100
	5,760,000	Bank One Issuance Trust, Series 03-A6, Class A6, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 02/15/11		5,751,149
	5,000,000	Capital One Master Trust, Series 02-1A, Class A, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 11/15/11		4,976,367
	5,530,000	Capital One Multi-Asset Execution Trust, Series 03-A3, Class A3, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 05/16/11		5,491,981
	5,000,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, Variable Rate, 3 mo. LIBOR + .15%, 3.22%, due 06/16/14		4,821,752
	11,000,000	Capital One Multi-Asset Execution Trust, Series 06-A14, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 08/15/13		10,672,200

See accompanying notes to the financial statements.

5

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	9,000,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 4.37%, due 09/15/17		8,556,210
	7,875,000	Chase Credit Card Master Trust, Series 03-3, Class A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 10/15/10		7,868,464
	3,000,000	Chase Credit Card Master Trust, Series 03-5, Class A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 01/17/11		2,991,510
	2,000,000	Chase Issuance Trust, Series 05-A3, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 10/17/11		1,987,080
	4,500,000	Chase Issuance Trust, Series 07-A1, Class A1, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 03/15/13		4,403,475
	11,000,000	Chase Issuance Trust, Series 07-A11, Class A11, Variable Rate, 1 mo. LIBOR, 3.12%, due 07/16/12		10,824,035
	9,000,000	Citibank Credit Card Issuance Trust, Series 01-A7, Class A7, Variable Rate, 3 mo. LIBOR + .14%, 3.20%, due 08/15/13		8,786,700
	2,000,000	Citibank Credit Card Issuance Trust, Series 06-A6, Class A6, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 05/24/12		1,966,400
	10,000,000	Discover Card Master Trust I, Series 04-2, Class A2, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 05/15/12		9,795,400
	5,000,000	Discover Card Master Trust I, Series 05-3, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 05/15/11		4,965,600
	5,000,000	Discover Card Master Trust I, Series 05-4, Class A1, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 06/18/13		4,868,750
	6,150,000	Discover Card Master Trust I, Series 06-2, Class A1, Variable Rate, 1 mo. LIBOR, 3.12%, due 01/17/12		6,057,750
	12,000,000	First National Master Note Trust, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .75%, 3.87%, due 11/15/12		11,895,000
	7,000,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 03/15/13		6,826,964
	5,000,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 06/15/13		4,906,250
	12,000,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 04/15/13		11,737,500
	6,000,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .55%, 3.67%, due 07/15/13		5,889,141
	17,000,000	HSBC Private Label Credit Card Master Note, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 12/16/13		16,763,594

See accompanying notes to the financial statements.

6

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	7,500,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 01/15/14		7,304,850
	5,000,000	MBNA Credit Card Master Note Trust, Series 05-A5, Class A5, Variable Rate, 1 mo. LIBOR, 3.12%, due 12/15/10		4,987,500
	7,000,000	Pillar Funding Plc, Series 04-2, Class A, 144A, Variable Rate, 3 mo. LIBOR + .14%, 5.13%, due 09/15/11		6,760,180
	16,500,000	Turquoise Card Backed Securities Plc, Series 06-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 05/16/11		16,306,641
	8,415,000	World Financial Network Credit Card Master Trust, Series 03-A, Class A2, Variable Rate, 1 mo. LIBOR + .37%, 3.49%, due 05/15/12		8,372,925
	15,400,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 03/15/13		14,982,506
	2,000,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.25%, due 02/15/17		1,787,140
		Total Credit Cards		280,792,715
		Emerging Markets Collateralized Debt Obligations — 0.2%
	4,000,000	Santiago CDO Ltd., Series 05-1A, Class A, 144A, Variable Rate, 6 mo. LIBOR + .40%, 5.53%, due 04/18/17		3,680,000
		Equipment Leases — 1.3%
	6,490,296	CNH Equipment Trust, Series 05-A, Class A4A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 06/15/12		6,420,980
	4,500,000	CNH Equipment Trust, Series 07-B, Class A3B, Variable Rate, 1 mo. LIBOR + .60%, 3.72%, due 10/17/11		4,435,380
	9,000,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 06/14/11		8,786,250
		Total Equipment Leases		19,642,610
		Insurance Premiums — 0.9%
	3,000,000	AICCO Premium Finance Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 04/15/10		2,980,200
	10,000,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 12/15/11		9,781,250
		Total Insurance Premiums		12,761,450

See accompanying notes to the financial statements.

7

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Auto Financing — 6.8%
	5,000,000	Aesop Funding II LLC, Series 05-1A, Class A3, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 04/20/11		4,560,650
	7,000,000	Aesop Funding II LLC, Series 06-1, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .22%, 3.34%, due 03/20/12		6,059,550
	6,000,000	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, Variable Rate, 1 mo. LIBOR + .08%, 3.27%, due 05/06/12		5,527,331
	1,270,518	AmeriCredit Automobile Receivables Trust, Series 06-RM, Class A1, MBIA, 5.37%, due 10/06/09		1,267,869
	4,000,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, Variable Rate, 1 mo. LIBOR + .04%, 3.23%, due 10/06/13		3,550,000
	8,000,000	AmeriCredit Automobile Receivables Trust, Series 07-CM, Class A3B, MBIA, Variable Rate, 1 mo. LIBOR + .03%, 3.22%, due 05/07/12		7,298,296
	3,000,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, Variable Rate, 1 mo. LIBOR + .80%, 3.99%, due 06/06/14		2,786,599
	7,000,000	AmeriCredit Prime Automobile Receivables Trust, Series 07-2M, Class A4B, MBIA, Variable Rate, 1 mo. LIBOR + .50%, 3.69%, due 03/08/16		6,187,510
	7,000,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 05/20/10		6,534,852
	6,000,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 07/15/13		5,672,220
	12,000,000	Capital One Auto Finance Trust, Series 07-A, Class A4, AMBAC, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 11/15/13		10,662,360
	2,000,000	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, Variable Rate, 1 mo. LIBOR + .51%, 3.63%, due 04/16/12		1,839,540
	3,000,000	Hertz Vehicle Financing LLC, Series 05-1A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 02/25/10		2,849,694
	2,000,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A5, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 11/25/11		1,695,442
	4,666,667	Rental Car Finance Corp., Series 04-1A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 06/25/09		4,617,349
	13,000,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, Variable Rate, 1 mo. LIBOR + .65%, 3.77%, due 10/15/14		11,139,440
	13,000,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, Variable Rate, 1 mo. LIBOR + 1.20%, 4.33%, due 07/14/14		12,849,200
	5,000,000	UPFC Auto Receivables Trust, Series 06-B, Class A3, AMBAC, 5.01%, due 08/15/12		4,950,000
		Total Insured Auto Financing		100,047,902

See accompanying notes to the financial statements.

8

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Credit Cards — 0.5%
	7,000,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 03/15/11		6,793,360
		Insured Other — 1.3%
	5,500,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		4,857,124
	4,188,964	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 09/15/41		3,312,674
	4,206,746	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 12/15/41		3,334,099
	5,953,000	TIB Card Receivables Fund, 144A, FGIC, Variable Rate, 3 mo. LIBOR + .25%, 4.90%, due 01/05/14		5,688,687
	10,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		1,291,932
		Total Insured Other		18,484,516
		Insured Residential Asset-Backed Securities (United States) — 0.9%
	14,917,025	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, Variable Rate, 1 mo. LIBOR + .21%, 3.33%, due 07/25/34		13,056,872
		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	1,670,289	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, Variable Rate, 1 mo. LIBOR + .19%, 3.31%, due 11/25/35		1,503,260
		Insured Time Share — 0.7%
	1,914,276	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 05/20/17		1,755,152
	1,739,948	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 05/20/18		1,473,509
	9,097,199	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, Variable Rate, 1 mo. LIBOR + 1.00%, 4.12%, due 09/20/19		7,840,430
		Total Insured Time Share		11,069,091
		Insured Transportation — 0.6%
	8,500,000	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .18%, 3.29%, due 08/18/21		8,308,070

See accompanying notes to the financial statements.

9

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Investment Grade Corporate Collateralized Debt Obligations — 3.8%
	2,000,000	Morgan Stanley ACES SPC, Series 04-12, Class A, 144A, Variable Rate, 3 mo. LIBOR + .60%, 3.70%, due 08/05/09		1,883,000
	5,000,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, Variable Rate, 3 mo. LIBOR + .65%, 5.58%, due 12/20/09		4,515,000
	3,000,000	Morgan Stanley ACES SPC, Series 04-15, Class III, 144A, Variable Rate, 3 mo. LIBOR + .75%, 5.68%, due 12/20/09		2,595,000
	6,000,000	Morgan Stanley ACES SPC, Series 04-16, Class I, 144A, Variable Rate, 3 mo. LIBOR + .40%, 3.50%, due 08/05/09		5,814,000
	3,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .52%, 5.45%, due 03/20/10		2,713,500
	6,000,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, Variable Rate, 3 mo. LIBOR + .40%, 5.33%, due 12/20/10		5,520,000
	3,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .45%, 5.38%, due 03/20/10		2,761,500
	9,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .29%, 5.22%, due 06/20/13		6,510,600
	10,000,000	Prism Orso Trust, Series 04-MAPL, Class CERT, 144A, Variable Rate, 3 mo. LIBOR + .70%, 5.63%, due 08/01/11		9,268,000
	9,000,000	Reve SPC, 144A, Variable Rate, 3 mo. LIBOR + .22%, 5.15%, due 03/20/14		7,425,000
	7,000,000	Salisbury International Investments Ltd., Series EMTN, Variable Rate, 3 mo. LIBOR + .42%, 5.35%, due 06/22/10		6,764,100
		Total Investment Grade Corporate Collateralized Debt Obligations		55,769,700
		Residential Asset-Backed Securities (United States) — 19.4%
	5,863,807	Accredited Mortage Loan Trust, Series 07-1, Class A1, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 02/25/37		5,643,760
	2,743,669	ACE Securities Corp., Series 05-AG1, Class A2B, Variable Rate, 1 mo. LIBOR + .21%, 3.33%, due 08/25/35		2,596,142
	1,534,000	ACE Securities Corp., Series 05-ASP1, Class A2C, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 09/25/35		1,269,201
	824,647	ACE Securities Corp., Series 05-SDI, Class A1, Variable Rate, 1 mo. LIBOR + .40%, 3.52%, due 11/25/50		657,953
	10,000,000	ACE Securities Corp., Series 06-ASP5, Class A2C, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 10/25/36		8,151,200
	1,727,252	ACE Securities Corp., Series 06-CW1, Class A2A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 07/25/36		1,674,260

See accompanying notes to the financial statements.

10

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	5,000,000	ACE Securities Corp., Series 06-CW1, Class A2B, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 07/25/36		4,560,800
	13,000,000	ACE Securities Corp., Series 06-HE2, Class A2C, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 05/25/36		10,712,650
	3,500,000	ACE Securities Corp., Series 06-HE3, Class A2B, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 06/25/36		3,209,465
	1,472,265	ACE Securities Corp., Series 06-SL1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 09/25/35		956,972
	2,842,284	ACE Securities Corp., Series 06-SL3, Class A1, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 06/25/36		1,136,913
	3,000,000	ACE Securities Corp., Series 06-SL3, Class A2, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 06/25/36		900,000
	2,068,367	ACE Securities Corp., Series 06-SL4, Class A1, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 09/25/36		1,034,184
	6,103,732	ACE Securities Corp., Series 07-ASL1, Class A2, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 12/25/36		2,563,568
	4,921,292	ACE Securities Corp., Series 07-WM1, Class A2A, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 11/25/36		4,603,328
	780,821	Aegis Asset Backed Securities Trust, Series 05-5, Class 1A2, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 12/25/35		778,502
	14,000,000	Argent Securities, Inc., Series 06-M1, Class AC2, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 07/25/36		10,396,400
	12,000,000	Argent Securities, Inc., Series 06-M2, Class A2B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 09/25/36		11,183,880
	7,000,000	Argent Securities, Inc., Series 06-M2, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 09/25/36		5,348,280
	6,102,727	Argent Securities, Inc., Series 06-W2, Class A2B, Variable Rate, 1 mo. LIBOR + .19%, 3.31%, due 03/25/36		5,672,485
	12,000,000	Argent Securities, Inc., Series 06-W4, Class A2B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 05/25/36		11,599,320
	2,500,000	Argent Securities, Inc., Series 06-W5, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/36		2,091,016
	4,500,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 10/25/36		4,128,750
	3,000,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 10/25/36		2,475,937

See accompanying notes to the financial statements.

11

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	1,143,363	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 11/25/36		1,104,775
	12,437,350	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .22%, 3.34%, due 05/25/37		11,590,056
	6,500,000	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 3.62%, due 02/28/40		6,012,500
	5,523,951	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 11/25/36		5,284,819
	6,000,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 11/25/36		4,200,000
	4,031,325	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 02/25/37		1,693,156
	703,007	Centex Home Equity, Series 05-C, Class AV3, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 06/25/35		700,370
	3,000,000	Centex Home Equity, Series 06-A, Class AV3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 06/25/36		2,597,400
	3,500,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 12/25/36		2,502,500
	8,000,000	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 11/25/36		6,829,600
	9,712,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 02/25/37		8,665,685
	5,536,212	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 03/25/37		5,341,553
	2,491,407	Credit-Based Asset Servicing & Securitization, Series 06-RP1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 04/25/36		2,413,551
	5,000,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 08/25/36		3,475,000
	4,867,655	GE-WMC Mortgage Securities, Series 05-2, Class A2B, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 12/25/35		4,758,133
	10,000,000	GE-WMC Mortgage Securities, Series 06-1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 08/25/36		7,909,000
	1,755,112	Household Home Equity Loan Trust, Series 05-2, Class A2, Variable Rate, 1 mo. LIBOR + .31%, 3.43%, due 01/20/35		1,602,362
	1,268,723	Household Home Equity Loan Trust, Series 05-3, Class A2, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 01/20/35		1,144,824

See accompanying notes to the financial statements.

12

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	8,204,122	Household Home Equity Loan Trust, Series 06-2, Class A1, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 03/20/36		7,669,787
	9,000,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 12/25/36		7,487,100
	2,100,000	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 10/25/35		1,890,000
	5,000,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 03/25/36		3,350,000
	3,000,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/36		2,070,000
	6,760,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 08/25/36		5,272,800
	4,000,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 10/25/36		2,720,000
	2,497,827	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 03/25/36		1,099,044
	5,498,533	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, Variable Rate, 1 mo. LIBOR + .28%, 3.40%, due 01/25/47		4,879,089
	3,000,000	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 04/25/36		2,325,000
	2,500,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 11/25/36		1,912,500
	10,000,000	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 09/25/36		8,550,000
	10,000,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 07/25/36		7,650,000
	1,619,045	Option One Mortgage Loan Trust, Series 05-3, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 08/25/35		1,555,548
	982,042	People's Choice Home Loan Securities Trust, Series 05-3, Class 1A2, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 08/25/35		933,048
	4,479,979	People's Choice Home Loan Securities Trust, Series 05-4, Class 1A2, Variable Rate, 1 mo. LIBOR + .26%, 3.38%, due 12/25/35		4,009,582
	226,880	RAAC Series Trust, Series 05-RP3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 05/25/39		225,430
	1,916,060	Residential Asset Mortgage Products, Inc., Series 05-RS4, Class A3, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 04/25/35		1,754,692

See accompanying notes to the financial statements.

13

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	8,000,000	Saxon Asset Securities Trust, Series 06-3, Class A2, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 11/25/36		7,035,992
	10,000,000	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 07/25/36		8,154,700
	1,982	Security National Mortgage Loan Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 02/25/36		1,966
	5,374,153	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 10/25/36		5,186,057
	1,383,973	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, Variable Rate, 1 mo. LIBOR + .26%, 3.38%, due 10/25/35		1,301,792
	10,020,997	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 01/25/37		9,516,815
	4,000,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/37		3,560,000
	3,000,000	Structured Asset Investment Loan Trust, Series 06-1, Class A3, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 01/25/36		2,611,244
	2,599,087	Structured Asset Securities Corp., Series 05-S6, Class A2, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 11/25/35		2,409,106
		Total Residential Asset-Backed Securities (United States)		286,301,542
		Residential Mortgage-Backed Securities (Australian) — 2.3%
	2,383,524	Australian Mortgage Securities II, Series G3, Class A1A, Variable Rate, 3 mo. LIBOR + .21%, 4.72%, due 01/10/35		2,329,918
	2,925,867	Crusade Global Trust, Series 04-2, Class A1, Variable Rate, 3 mo. LIBOR + .13%, 3.20%, due 11/19/37		2,523,882
	4,515,057	Crusade Global Trust, Series 06-1, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.95%, due 07/20/38		4,256,209
	6,466,942	Interstar Millennium Trust, Series 05-1G, Class A, Variable Rate, 3 mo. LIBOR + .12%, 5.27%, due 12/08/36		5,807,120
	2,690,949	Medallion Trust, Series 05-1G, Class A1, Variable Rate, 3 mo. LIBOR + .08%, 3.18%, due 05/10/36		2,581,751
	2,102,902	National RMBS Trust, Series 04-1, Class A1, Variable Rate, 3 mo. LIBOR + .11%, 5.04%, due 03/20/34		2,007,430
	6,679,653	National RMBS Trust, Series 06-3, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .07%, 3.96%, due 10/20/37		6,328,704
	7,286,100	Puma Finance Ltd., Series G5, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .07%, 3.14%, due 02/21/38		6,684,268

See accompanying notes to the financial statements.

14

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	1,755,673	Westpac Securitization Trust, Series 05-1G, Class A1, Variable Rate, 3 mo. LIBOR + .07%, 4.95%, due 03/23/36		1,682,163
		Total Residential Mortgage-Backed Securities (Australian)		34,201,445
		Residential Mortgage-Backed Securities (European) — 6.7%
	11,000,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, Variable Rate, 3 mo. LIBOR + .11%, 5.04%, due 09/20/66		10,759,100
	4,000,000	Arkle Master Issuer Plc, Series 06-1A, Class 3A, 144A, Variable Rate, 3 mo. LIBOR + .05%, 3.12%, due 08/17/11		3,890,040
	3,500,000	Arkle Master Issuer Plc, Series 06-1A, Class 4A1, 144A, Variable Rate, 3 mo. LIBOR + .09%, 3.16%, due 02/17/52		3,318,000
	10,000,000	Arran Residential Mortgages Funding Plc, Series 06-2A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .05%, 4.98%, due 09/20/56		9,875,000
	7,000,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, Variable Rate, 3 mo. LIBOR + .10%, 4.48%, due 01/13/39		6,555,500
	2,121,833	Gracechurch Mortgage Financing Plc, Series 06-1, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .03%, 3.10%, due 11/20/31		2,109,526
	1,755,027	Gracechurch Mortgage Funding Plc, Series 1A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .07%, 4.51%, due 10/11/41		1,708,256
	7,500,000	Granite Master Issuer Plc, Series 06-3, Class A3, Variable Rate, 3 mo. LIBOR + .04%, 3.93%, due 12/20/54		7,241,250
	10,000,000	Holmes Financing Plc, Series 10A, Class 4A1, 144A, Variable Rate, 3 mo. LIBOR + .08%, 4.34%, due 07/15/40		9,636,100
	14,000,000	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.05%, due 12/10/43		13,826,400
	2,026,850	Leek Finance Plc, Series 15A, Class AB, 144A, Variable Rate, 3 mo. LIBOR + .14%, 5.05%, due 03/21/37		1,991,380
	6,459,300	Leek Finance Plc, Series 16A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .16%, 5.07%, due 09/21/37		6,138,079
	3,000,000	Mound Financing Plc, Series 5A, Class 2A, 144A, Variable Rate, 3 mo. LIBOR + .04%, 3.17%, due 05/08/16		2,921,250
	4,422,976	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, Variable Rate, 3 mo. LIBOR + .11%, 3.18%, due 11/15/38		3,943,127
	3,821,048	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, Variable Rate, 3 mo. LIBOR, 5.09%, due 09/15/39		3,415,368
	5,000,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, Variable Rate, 3 mo. LIBOR + .08%, 4.34%, due 10/15/33		4,743,500

See accompanying notes to the financial statements.

15

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	6,870,981	RMAC Securities Plc, Series 06-NS4A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + .07%, 5.20%, due 06/12/25		6,850,368
		Total Residential Mortgage-Backed Securities (European)		98,922,244
		Residential Mortgage-Backed Securities (United States) — 0.0%
	643,097	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 07/25/30		633,451
		Student Loans — 6.7%
	5,000,000	College Loan Corp. Trust, Series 04-1, Class A2, Variable Rate, 3 mo. LIBOR + .11%, 3.44%, due 04/25/16		4,982,031
	7,720,000	College Loan Corp. Trust, Series 07-1, Class A1, Variable Rate, 3 mo. LIBOR + .01%, 3.34%, due 01/25/23		7,593,392
	4,000,000	College Loan Corp. Trust, Series 07-2, Class A1, Variable Rate, 3 mo. LIBOR + .25%, 3.58%, due 01/25/24		3,961,250
	271,926	Collegiate Funding Services Education Loan Trust I, Series 05-A, Class A1, Variable Rate, 3 mo. LIBOR + .02%, 4.86%, due 09/29/14		271,883
	2,114,790	Goal Capital Funding Trust, Series 06-1, Class A1, Variable Rate, 3 mo. LIBOR, 3.09%, due 08/25/20		2,098,972
	1,964,779	Keycorp Student Loan Trust, Series 05-A, Class 2A1, Variable Rate, 3 mo. LIBOR + .05%, 4.91%, due 09/27/21		1,932,459
	2,485,319	Montana Higher Education Student Assistance Corp., Series 05-1, Class A, Variable Rate, 3 mo. LIBOR + .04%, 4.97%, due 06/20/15		2,455,247
	8,000,000	National Collegiate Student Loan Trust, Series 05-2, Class A2, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 02/25/26		7,715,440
	2,000,000	National Collegiate Student Loan Trust, Series 06-1, Class A2, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 08/25/23		1,912,813
	4,720,777	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 08/26/19		4,564,991
	7,000,000	Nelnet Education Loan Funding, Inc., Series 04-2A, Class A3, Variable Rate, 3 mo. LIBOR + .10%, 3.19%, due 11/25/15		6,927,410
	9,000,000	Nelnet Student Loan Trust, Series 05-3, Class A3, Variable Rate, 3 mo. LIBOR + .05%, 4.93%, due 06/22/17		8,936,719
	8,000,000	SLM Student Loan Trust, Series 05-3, Class A4, Variable Rate, 3 mo. LIBOR + .07%, 3.40%, due 04/27/20		7,780,000
	1,452,891	SLM Student Loan Trust, Series 05-4, Class A1, Variable Rate, 3 mo. LIBOR + .01%, 3.34%, due 10/26/15		1,441,558

See accompanying notes to the financial statements.

16

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Student Loans — continued
	8,500,000	SLM Student Loan Trust, Series 06-A, Class A2, Variable Rate, 3 mo. LIBOR + .03%, 4.29%, due 10/15/15		8,415,000
	14,000,000	SLM Student Loan Trust, Series 07-2, Class A2, Variable Rate, 3 mo. LIBOR, 3.33%, due 07/25/17		13,737,500
	6,375,109	SLM Student Loan Trust, Series 07-5, Class A1, Variable Rate, 3 mo. LIBOR - .01%, 3.32%, due 07/25/13		6,340,245
	7,500,000	SLM Student Loan Trust, Series 07-6, Class A2, Variable Rate, 3 mo. LIBOR + .25%, 3.58%, due 01/25/19		7,311,000
		Total Student Loans		98,377,910
		Trade Receivables — 0.9%
	14,000,000	ABS Global Finance Plc, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .10%, 2.92%, due 12/17/10		13,767,600
		Total Asset-Backed Securities		1,364,039,142
		Corporate Debt — 0.6%
JPY	500,000,000	MBIA Global Funding LLC, Series EMTN, Variable Rate, JPY LIBOR, 1.03%, due 06/30/08		4,767,061
	5,000,000	TIAA Global Markets, 144A, Variable Rate, 3 mo. LIBOR + .10%, 4.48%, due 01/12/11		4,952,057
		Total Corporate Debt		9,719,118
		U.S. Government Agency — 0.2%
	2,129,342	Agency for International Development Floater (Support of Jamaica), Variable Rate, 4 mo. LIBOR + .30%, 3.37%, due 10/01/18		2,129,342
	1,000,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		1,109,000
		Total U.S. Government Agency		3,238,342
		TOTAL DEBT OBLIGATIONS (COST $1,483,588,974)		1,376,996,602

See accompanying notes to the financial statements.

17

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Principal Amount		Description	Value ($)
		OPTIONS PURCHASED — 0.9%
		Options on Interest Rates — 0.1%
EUR	325,000,000	EUR 6 Month LIBOR Cap Call, Expires 02/16/17, Strike 10.00%		337,279
EUR	650,000,000	EUR 6 Month LIBOR Cap Call, Expires 02/27/17, Strike 10.00%		682,975
				1,020,254
		Options on Interest Rate Swaps — 0.8%
EUR	225,000,000	EUR Swaption Call, Expires 01/07/09, Strike 4.10%		2,605,430
EUR	225,000,000	EUR Swaption Call, Expires 01/14/09, Strike 3.91%		2,163,233
EUR	150,000,000	EUR Swaption Call, Expires 02/12/10, Strike 3.85%		992,606
EUR	150,000,000	EUR Swaption Call, Expires 02/22/10, Strike 3.95%		1,105,308
EUR	225,000,000	EUR Swaption Put, Expires 01/07/09, Strike 4.10%		296,849
EUR	225,000,000	EUR Swaption Put, Expires 01/14/09, Strike 3.91%		401,087
GBP	14,000,000	GBP Swaption Call, Expires 02/28/11, Strike 5.17%		949,033
GBP	40,000,000	GBP Swaption Call, Expires 04/11/08, Strike 5.86%		368,936
GBP	40,000,000	GBP Swaption Call, Expires 04/14/08, Strike 5.86%		367,794
GBP	40,000,000	GBP Swaption Call, Expires 04/17/08, Strike 5.97%		448,753
GBP	60,000,000	GBP Swaption Call, Expires 04/28/08, Strike 5.91%		672,716
GBP	60,000,000	GBP Swaption Call, Expires 05/08/08, Strike 5.96%		772,274
GBP	14,000,000	GBP Swaption Put, Expires 02/28/11, Strike 5.17%		712,430
GBP	40,000,000	GBP Swaption Put, Expires 04/11/08, Strike 5.86%		29,087
GBP	40,000,000	GBP Swaption Put, Expires 04/14/08, Strike 5.86%		32,309
GBP	40,000,000	GBP Swaption Put, Expires 04/17/08, Strike 5.97%		22,691
GBP	60,000,000	GBP Swaption Put, Expires 04/28/08, Strike 5.91%		50,257
GBP	60,000,000	GBP Swaption Put, Expires 05/08/08, Strike 5.96%		48,722
				12,039,515
		TOTAL OPTIONS PURCHASED (COST $9,521,781)		13,059,769

See accompanying notes to the financial statements.

18

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 6.0%
		Money Market Funds — 3.8%
	56,043,378	State Street Institutional Liquid Reserves Fund-Institutional Class		56,043,378
		Other Short-Term Investments — 2.2%
	15,000,000	Sheffield Receivables Commercial Paper, 3.30%, due 03/18/08		14,976,625
	6,000,000	U.S. Treasury Bill, 1.78%, due 05/01/08 (a) (b)		5,982,006
	6,500,000	U.S. Treasury Bill, 1.78%, due 06/19/08 (a) (b)		6,465,186
	5,000,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a) (b)		4,964,645
		Total Other Short-Term Investments		32,388,462
		TOTAL SHORT-TERM INVESTMENTS (COST $88,383,809)		88,431,840
		TOTAL INVESTMENTS — 100.0% (Cost $1,581,494,564)		1,478,488,211
		Other Assets and Liabilities (net) — (0.0%)		(312,477	)
		TOTAL NET ASSETS — 100.0%	$	1,478,175,734

See accompanying notes to the financial statements.

19

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/03/08	GBP		805,000	$	1,599,575	$	845
Sales
4/22/08	JPY		500,000,000	$	4,826,935	$	(179,230	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	4,585	Eurodollar 90 Day	December 2008	$	1,120,917,875	$	2,224,138
Sales
	4,585	Eurodollar 90 Day	December 2009	$	1,113,409,938	$	(2,418,175	)
	78	U.S. Treasury Note 10 Yr.	June 2008		9,147,938		(163,491	)
	51	U.S. Treasury Note 5 Yr. (CBT)	June 2008		5,826,750		(78,608	)
				$	1,128,384,626	$	(2,660,274	)

Reverse Repurchase Agreements

Average balance outstanding	$	(77,501,730	)
Average interest rate		1.44	%
Maximum balance outstanding	$	(135,993,112	)
Average shares outstanding		52,540,106
Average balance per share outstanding	$	(1.48	)
Days Outstanding		97

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements. There were no reverse repurchase agreements outstanding at the end of the period.

See accompanying notes to the financial statements.

20

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Written Options

	Notional Amount		Expiration Date		Description	Premiums			Market Value
Call	$	150,000,000	02/12/2009	EUR	Interest Rate Swaption,
					Strike 3.50%	$	(667,309	)	$	(985,205	)
Call		150,000,000	02/20/2009	EUR	Interest Rate Swaption, Strike 3.62%		(639,820	)		(1,201,113	)
Call		40,000,000	04/11/2008	GBP	Interest Rate Swaption, Strike 5.67%		(175,426	)		(252,166	)
Put		40,000,000	04/11/2008	GBP	Interest Rate Swaption, Strike 6.44%		(183,502	)		(1,963	)
Call		40,000,000	04/14/2008	GBP	Interest Rate Swaption, Strike 5.59%		(175,254	)		(218,093	)
Put		40,000,000	04/14/2008	GBP	Interest Rate Swaption, Strike 6.50%		(177,100	)		(1,831	)
Call		40,000,000	04/17/2008	GBP	Interest Rate Swaption, Strike 5.52%		(180,256	)		(191,684	)
Put		40,000,000	04/17/2008	GBP	Interest Rate Swaption, Strike 6.50%		(164,703	)		(2,180	)
Call		60,000,000	04/28/2008	GBP	Interest Rate Swaption, Strike 5.35%		(257,481	)		(232,364	)
Call		60,000,000	05/08/2008	GBP	Interest Rate Swaption, Strike 5.25%		(290,051	)		(217,382	)
						$	(2,910,902	)	$	(3,303,981	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	13,000,000	USD	9/20/2010	Morgan Stanley	Receive		0.40	%	Eagle Creek CDO	$	(982,861	)
	100,000,000	USD	12/20/2012	Morgan Stanley	(Pay)		1.20	%	Reference security within CDX Index		(293,952	)
	500,000,000	USD	12/20/2012	Morgan Stanley	Receive		0.70	%	Reference security within CDX Index		(17,768	)

See accompanying notes to the financial statements.

21

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default		Market Value
	500,000,000	USD	12/20/2012	Morgan Stanley	Receive		0.71	%	Reference security
									within CDX Index		$	202,434
	7,000,000	USD	3/20/2013	Morgan Stanley	Receive		0.25	%	MS Synthetic 2006-1			(1,005,663	)
	5,000,000	USD	3/20/2015	Lehman Brothers	Receive		0.88	%	AAA CDO			(1,191,322	)
						Premiums to (Pay) Receive			$	—	$	(3,289,132	)

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate	Market Value
	1,000,000,000	NOK	3/14/2009	Morgan Stanley	Receive		5.33	%	3 month
									NOK NIBOR	$	(1,016,169	)
	665,000,000	USD	3/4/2010	Morgan Stanley	(Pay)		2.57	%	3 month LIBOR		(636,923	)
	1,059,000,000	NOK	3/15/2010	Morgan Stanley	(Pay)		5.17	%	3 month NOK NIBOR		141,486
	176,000,000	AUD	6/18/2010	Barclays Bank PLC	Receive		7.40	%	3 month AUD BBSW		(468,117	)
	133,000,000	AUD	6/18/2010	Deutsche Bank AG	Receive		7.40	%	3 month AUD BBSW		(353,747	)
	181,000,000	CAD	6/18/2010	JP Morgan Chase Bank	Receive		4.40	%	3 month CDOR		3,634,009
	2,390,000,000	SEK	6/18/2010	Morgan Stanley	(Pay)		4.40	%	3 month SEK STIBOR		(1,275,935	)
	314,000,000	CHF	6/18/2010	Morgan Stanley	(Pay)		3.00	%	6 month CHF LIBOR		(2,854,478	)
	37,700,000,000	JPY	6/18/2010	Citigroup	(Pay)		1.00	%	6 month JPY LIBOR		(822,055	)
	25,200,000,000	JPY	6/18/2010	JP Morgan Chase Bank	(Pay)		1.00	%	6 month JPY LIBOR		(549,490	)
	5,000,000	USD	2/7/2012	Deutsche Bank AG	(Pay)		4.33	%	3 month LIBOR		(230,651	)
	280,000,000	USD	3/4/2013	Morgan Stanley	Receive		3.40	%	3 month LIBOR		386,589
	15,000,000	USD	2/8/2015	JP Morgan Chase Bank	(Pay)		4.47	%	3 month LIBOR		(620,351	)
	43,000,000	CAD	6/18/2018	JP Morgan Chase Bank	(Pay)		4.80	%	3 month CDOR		(1,614,461	)
	569,000,000	SEK	6/18/2018	Morgan Stanley	Receive		4.80	%	3 month SEK STIBOR		778,099

See accompanying notes to the financial statements.

22

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	46,000,000	AUD	6/18/2018	Barclays Bank PLC	(Pay)		7.10	%	6 month
									AUD BBSW		$	574,053
	35,000,000	AUD	6/18/2018	Deutsche Bank AG	(Pay)		7.10	%	6 month AUD BBSW			436,873
	71,000,000	CHF	6/18/2018	Morgan Stanley	Receive		3.50	%	6 month CHF LIBOR			1,033,936
	7,900,000,000	JPY	6/18/2018	Citigroup	Receive		1.75	%	6 month JPY LIBOR			933,420
	5,300,000,000	JPY	6/18/2018	JP Morgan Chase Bank	Receive		1.75	%	6 month JPY LIBOR			626,218
						Premiums to (Pay) Receive			$	717,873	$	(1,897,694	)

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

BBSW - Bank Bill Swap Reference Rate

CDO - Collateralized Debt Obligation

CDOR - Canadian Dollar Offered Rate

CMBS - Collateralized Mortgage Backed Security

EMTN - Euromarket Medium Term Note

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

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

LIBOR - London Interbank Offered Rate

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

NIBOR - Norwegian Interbank Offered Rate

RMBS - Residential Mortgage Backed Security

STIBOR - Stockholm Interbank Offered Rate

See accompanying notes to the financial statements.

23

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

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

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

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

24

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $1,581,494,564) (Note 2)	$	1,478,488,211
Interest receivable		3,832,333
Unrealized appreciation on open forward currency contracts (Note 2)		845
Receivable for variation margin on open futures contracts (Note 2)		6,622,796
Receivable for open swap contracts (Note 2)		8,747,117
Receivable for expenses reimbursed by Manager (Note 3)		48,923
Total assets		1,497,740,225
Liabilities:
Payable for investments purchased		1,964,075
Written options outstanding, at value (premiums $2,910,902) (Note 2)		3,303,981
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,767
Unrealized depreciation on open forward currency contracts (Note 2)		179,230
Interest payable for open swap contracts		16,068
Payable for open swap contracts (Note 2)		13,933,943
Accrued expenses		165,427
Total liabilities		19,564,491
Net assets	$	1,478,175,734
Shares outstanding:		57,557,153
Net asset value per share:	$	25.68

See accompanying notes to the financial statements.

25

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Interest	$	84,344,012
Dividends		1,208,206
Total investment income		85,552,218
Expenses:
Custodian, fund accounting agent and transfer agent fees		222,547
Audit and tax fees		100,553
Legal fees		43,009
Trustees fees and related expenses (Note 3)		15,095
Interest expense (Note 2)		1,117,209
Miscellaneous		14,212
Total expenses		1,512,625
Fees and expenses reimbursed by Manager (Note 3)		(365,140	)
Net expenses		1,147,485
Net investment income (loss)		84,404,733
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		9,206,735
Closed futures contracts		30,234,990
Closed swap contracts		(34,191,364	)
Written options		(4,669,140	)
Foreign currency, forward contracts and foreign currency related transactions		(182,755	)
Net realized gain (loss)		398,466
Change in net unrealized appreciation (depreciation) on:
Investments		(105,271,062	)
Open futures contracts		(201,411	)
Open swap contracts		(5,685,946	)
Written options		647,335
Foreign currency, forward contracts and foreign currency related transactions		(178,782	)
Net unrealized gain (loss)		(110,689,866	)
Net realized and unrealized gain (loss)		(110,291,400	)
Net increase (decrease) in net assets resulting from operations	$	(25,886,667	)

See accompanying notes to the financial statements.

26

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	84,404,733		$	71,699,954
Net realized gain (loss)		398,466			(41,675,218	)
Change in net unrealized appreciation (depreciation)		(110,689,866	)		11,010,275
Net increase (decrease) in net assets from operations		(25,886,667	)		41,035,011
Net share transactions (Note 7):		(246,005,000	)		696,755,000
Total increase (decrease) in net assets		(271,891,667	)		737,790,011
Net assets:
Beginning of period		1,750,067,401			1,012,277,390
End of period	$	1,478,175,734		$	1,750,067,401

See accompanying notes to the financial statements.

27

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Year Ended February 28/29,
	2008			2007			2006			2005(a)
Net asset value, beginning of period	$	25.99		$	25.23		$	25.17		$	25.00
Income (loss) from investment operations:
Net investment income (loss)†		1.41			1.36			0.96			0.15
Net realized and unrealized gain (loss)		(1.72	)		(0.60	)		(0.90	)		0.02
Total from investment operations		(0.31	)		0.76			0.06			0.17
Net asset value, end of period	$	25.68		$	25.99		$	25.23		$	25.17
Total Return(b)		(1.19	)%		3.01	%		0.24	%		0.68	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,478,176		$	1,750,067		$	1,012,277		$	582,279
Net operating expenses to average daily net assets		0.00	%(c)		0.00	%(c)		0.00	%(c)		0.01	%*
Interest expense to average daily net assets		0.07	%		0.00	%(c)		—			—
Total net expenses to average daily net assets		0.07	%		0.00	%(c)		0.00	%(c)		0.01	%*
Net investment income to average daily net assets		5.38	%		5.36	%		3.84	%		2.21	%*
Portfolio turnover rate		41	%		93	%		31	%		8	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.03	%		0.03	%		0.06	%*

(a)  Period from November 22, 2004 (commencement of operations) through February 28, 2005.

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

(c)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

28

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO World Opportunity Overlay 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 Funds into classes.

The Fund seeks total return greater than that of the JPMorgan U.S. 3 Month Cash Index. The Fund's investment program has two principal components. One component of the Fund's investment program involves the use of derivatives, primarily interest rate swap contracts and/or futures contracts, to seek to exploit misvaluations in world interest rates and to add value relative to the JPMorgan U.S. 3 Month Cash Index. The other component of the Fund's investment program involves making direct investments primarily in high quality U.S. and foreign fixed income securities, in particular asset-backed securities, to gain exposure to the JPMorgan U.S. 3 Month Cash Index (and to securities with similar characteristics to those in the benchmark) and to generate a core return.

Shares of the Fund are not publicly offered and are principally available only to other funds of the Trust and certain accredited investors.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to

29

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 34.69% of net assets.

The Fund invests in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency

30

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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

31

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Written options outstanding at the end of the period are listed in the Fund's Schedule of Investments.

For the year ended February 29, 2008, the Fund's investment activity in written option contracts was as follows:

	Puts						Calls
	Principal Amount of Contracts			Premiums			Principal Amount of Contracts			Premiums
Outstanding, beginning of period	$	(810,000,000	)	$	(2,766,300	)	$	(485,000,000	)	$	(2,750,050	)
Options written		(6,318,009,776	)		(42,176,990	)		(33,938,004,900	)		(44,213,933	)
Options exercised		1,884,000,000			13,161,944			3,628,000,000			26,594,606
Options expired		4,578,000,000			28,094,198			30,069,000,000			15,178,580
Options sold		546,009,776			3,161,843			186,004,900			2,805,200
	$	(120,000,000	)	$	(525,305	)	$	(540,000,000	)	$	(2,385,597	)

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. Purchased options outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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.

32

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated

33

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities

34

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes

The Fund elected to be taxed 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 and state income taxes is reflected in the accompanying financial statements.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,581,587,197	$	6,024,169	$	(109,123,155	)	$	(103,098,986	)

Distributions

The Fund does not intend to make any distributions to its shareholders but may do so in the sole discretion of the Trustees.

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. Interest income on inflation indexed securities, if any, is accrued

35

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

36

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

3.  Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. In addition, the Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $12,979 and $6,238, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	31,895,400
Investments (non-U.S. Government securities)		617,025,927		762,614,823

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.

37

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 71.31% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Each of the shareholders are other funds of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties, and all of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
	Shares			Amount			Shares			Amount
Shares sold		53,723,671		$	1,403,880,000			47,430,776		$	1,214,765,000
Shares repurchased		(63,507,548	)		(1,649,885,000	)		(20,215,136	)		(518,010,000	)
Net increase (decrease)		(9,783,877	)	$	(246,005,000	)		27,215,640		$	696,755,000

38

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO World Opportunity Overlay 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 World Opportunity Overlay Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

39

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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*
1)Actual		0.00	%**	$	1,000.00	$	974.20	$	0.01
2)Hypothetical		0.00	%**	$	1,000.00	$	1,024.86	$	0.01

*  Expenses are calculated using the annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

**  Annualized net expense ratios are less than 0.01%.

40

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

41

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

42

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

43

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

44

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Portfolio Managers

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 Tax-Managed U.S. Equities Fund returned -6.8% for the fiscal year ended February 29, 2008, as compared to -3.8% for the Russell 3000 Index+. On an after-tax basis, the Fund returned -7.5% compared to the benchmark's -4.1% for the same period. The Fund was invested substantially in U.S. equity securities throughout the period.

The portfolio's underperformance for the fiscal year is attributed primarily to stock selection. Sector selection had a neutral effect. The portfolio benefited from being underweight in Financials, the weakest sector for the period. Overweight exposure to Consumer Discretionary stocks, the next weakest sector, worked against the portfolio.

Stock selection accounted for the majority of the portfolio's underperformance in the period. Selections within Financials and Consumer Discretionary stocks accounted for the lion's share of the deficit. Overweight exposure to Citigroup and Fannie Mae worked against the portfolio. Within Consumer Discretionary stocks, overweight exposure to Home Depot and Lowes were the chief disappointments.

For the fiscal year, the crux of the underperformance came from poor returns from the valuation-based stock selection strategy. While the portfolio's valuation strategy gives explicit credit to companies with strong financial quality (high, stable profitability and low debt), this approach worked poorly for the majority of the period. The momentum-based strategy was more successful, finishing in positive territory after a lackluster start to the fiscal year.

Note: Russell 3000 Index+ represents the S&P 500 Index prior to 10/15/2007 and the Russell 3000 Index thereafter.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

*  Russell 3000 Index+ represents the S&P 500 Index prior to 10/15/2007 and the Russell 3000 Index thereafter. Fund returns do not reflect the tax effect a shareholder would pay on Fund distributions or the redemption of Fund shares.

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.8	%
Short-Term Investments		2.1
Other		0.1
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		22.6	%
Energy		16.4
Information Technology		16.4
Consumer Staples		16.0
Consumer Discretionary		10.0
Industrials		6.7
Financials		5.9
Telecommunication Services		2.7
Materials		2.3
Utilities		1.0
		100.0	%

1

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%
		Consumer Discretionary — 9.8%
	900	Abercrombie & Fitch Co.-Class A		69,777
	7,600	Amazon.com, Inc. *		489,972
	2,850	American Eagle Outfitters, Inc.		60,904
	8,300	Apollo Group, Inc.-Class A *		509,454
	5,800	AutoNation, Inc. *		84,506
	1,800	AutoZone, Inc. *		207,144
	5,600	Bed Bath & Beyond, Inc. *		158,704
	1,600	Carnival Corp.		62,960
	5,200	Coach, Inc. *		157,664
	2,600	Discovery Holding Co.-Class A *		58,682
	600	Dollar Tree Stores, Inc. *		16,098
	3,500	Expedia, Inc. *		80,255
	2,700	Family Dollar Stores, Inc.		51,705
	26,069	Ford Motor Co. *		170,231
	900	GameStop Corp.-Class A *		38,124
	4,600	Gannett Co., Inc.		138,690
	800	General Motors Corp.		18,624
	4,000	Goodyear Tire & Rubber Co. (The) *		108,400
	4,300	Harley-Davidson, Inc.		159,788
	3,900	Hasbro, Inc.		100,503
	69,700	Home Depot, Inc.		1,850,535
	1,700	IAC/InterActive Corp. *		33,830
	1,500	ITT Educational Services, Inc. *		82,830
	7,200	Johnson Controls, Inc.		236,592
	5,600	Kohl's Corp. *		248,864
	1,100	Liberty Global, Inc.-Class A *		41,360
	700	Liberty Media Holding Corp. Capital-Class A *		81,277
	2,300	Liz Claiborne, Inc.		40,894
	40,300	Lowe's Cos., Inc.		965,991
	4,800	Mattel Co.		92,736
	9,400	McDonald's Corp.		508,634
	1,952	MGM Mirage *		120,224
	4,300	Nike, Inc.-Class B		258,860
	1,800	Nordstrom, Inc.		66,654

See accompanying notes to the financial statements.

2

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	500	Polo Ralph Lauren Corp.		31,095
	1,100	RadioShack Corp.		19,195
	1,100	Ross Stores, Inc.		30,635
	600	Sherwin-Williams Co. (The)		31,068
	8,200	Staples, Inc.		182,450
	1,300	Starbucks Corp. *		23,361
	9,600	Target Corp.		505,056
	2,600	Tiffany & Co.		97,864
	3,200	VF Corp.		243,328
	4,300	Yum! Brands, Inc.		148,135
		Total Consumer Discretionary		8,683,653
		Consumer Staples — 15.6%
	20,600	Altria Group, Inc.		1,506,684
	7,100	Anheuser-Busch Cos., Inc.		334,339
	4,000	Avon Products, Inc.		152,240
	48,700	Coca-Cola Co. (The)		2,847,002
	2,100	Colgate-Palmolive Co.		159,789
	1,800	Costco Wholesale Corp.		111,456
	1,000	CVS Caremark Corp.		40,380
	2,000	Energizer Holdings, Inc. *		185,660
	1,800	Estee Lauder Cos. (The), Inc.-Class A		76,644
	5,100	Kimberly-Clark Corp.		332,418
	8,237	Kraft Foods, Inc.		256,747
	4,700	Kroger Co. (The)		113,975
	21,600	PepsiCo, Inc.		1,502,496
	15,200	Procter & Gamble Co. (The)		1,005,936
	3,000	Safeway, Inc.		86,220
	1,757	Supervalu, Inc.		46,121
	9,100	Tyson Foods, Inc.-Class A		131,131
	2,100	UST, Inc.		114,009
	11,500	Walgreen Co.		419,865
	88,500	Wal-Mart Stores, Inc.		4,388,715
	300	WM Wrigley Jr. Co.		17,958
		Total Consumer Staples		13,829,785

See accompanying notes to the financial statements.

3

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — 16.0%
	2,300	Anadarko Petroleum Corp.		146,602
	2,900	Apache Corp.		332,659
	2,300	Cameron International Corp. *		97,704
	39,900	Chevron Corp.		3,457,734
	14,574	ConocoPhillips		1,205,416
	1,200	Devon Energy Corp.		123,264
	1,000	Diamond Offshore Drilling, Inc.		120,830
	56,900	Exxon Mobil Corp.		4,950,869
	300	FMC Technologies, Inc. *		16,998
	2,100	Halliburton Co.		80,430
	1,100	Hess Corp.		102,498
	3,400	Marathon Oil Corp.		180,744
	700	Murphy Oil Corp.		56,266
	800	Noble Corp.		39,320
	9,600	Occidental Petroleum Corp.		742,752
	14,900	Schlumberger Ltd.		1,288,105
	2,200	Smith International, Inc.		138,666
	300	Sunoco, Inc.		18,324
	4,189	Transocean, Inc. *		588,596
	7,500	Valero Energy Corp.		433,275
	1,500	Weatherford International Ltd. *		103,380
		Total Energy		14,224,432
		Financials — 5.8%
	700	ACE Ltd.		39,368
	2,900	Aflac, Inc.		180,989
	12,000	Allstate Corp. (The)		572,760
	11,100	American International Group, Inc.		520,146
	1,800	AON Corp.		74,898
	17,108	Bank of America Corp.		679,872
	1,000	BB&T Corp.		31,130
	800	Brown & Brown, Inc.		14,264
	1,200	Chubb Corp.		61,080
	47,800	Citigroup, Inc.		1,133,338

See accompanying notes to the financial statements.

4

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	600	CNA Financial Corp.		15,990
	1,100	Comerica, Inc.		39,864
	900	Eaton Vance Corp.		28,665
	4,300	Fannie Mae		118,895
	400	First American Corp.		13,932
	1,300	Franklin Resources, Inc.		122,681
	400	Goldman Sachs Group, Inc.		67,852
	1,200	Leucadia National Corp.		54,312
	100	Markel Corp. *		46,475
	500	MetLife, Inc.		29,130
	800	Moody's Corp.		30,384
	500	Morgan Stanley		21,060
	7,100	National City Corp.		112,606
	4,387	Old Republic International Corp.		60,190
	4,500	Progressive Corp. (The)		82,485
	2,300	Prudential Financial, Inc.		167,831
	800	Safeco Corp.		37,008
	1,200	SEI Investment Co.		30,012
	2,100	Torchmark Corp.		126,546
	7,000	Travelers Cos. (The), Inc.		324,870
	5,400	Unum Group		123,714
	4,600	US Bancorp		147,292
	1,250	W.R. Berkley Corp.		35,988
		Total Financials		5,145,627
		Health Care — 22.1%
	12,300	Abbott Laboratories		658,665
	5,600	Aetna, Inc.		277,760
	5,800	AmerisourceBergen Corp.		241,976
	3,900	Amgen, Inc. *		177,528
	200	Bard (C.R.), Inc.		18,958
	2,700	Baxter International, Inc.		159,354
	2,100	Biogen Idec, Inc. *		122,556
	6,000	Bristol-Myers Squibb Co.		135,660

See accompanying notes to the financial statements.

5

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	4,600	Cardinal Health, Inc.		272,044
	4,600	Cigna Corp.		205,068
	3,300	Coventry Health Care, Inc. *		171,171
	700	DENTSPLY International, Inc.		27,328
	8,500	Eli Lilly & Co.		425,170
	13,400	Express Scripts, Inc. *		791,940
	9,200	Forest Laboratories, Inc. *		365,884
	1,000	Gilead Sciences, Inc. *		47,320
	900	Health Net, Inc. *		39,546
	600	Intuitive Surgical, Inc. *		169,152
	300	Invitrogen Corp. *		25,347
	42,500	Johnson & Johnson		2,633,300
	4,700	King Pharmaceuticals, Inc. *		49,820
	8,000	McKesson Corp.		470,080
	8,526	Medco Health Solutions, Inc. *		377,787
	9,200	Medtronic, Inc.		454,112
	54,200	Merck & Co., Inc.		2,401,060
	157,230	Pfizer, Inc.		3,503,084
	2,600	Quest Diagnostics, Inc.		123,942
	11,400	Schering-Plough Corp.		247,380
	1,800	St. Jude Medical, Inc. *		77,364
	9,500	Stryker Corp.		618,545
	58,400	UnitedHealth Group, Inc.		2,714,432
	1,000	Waters Corp. *		59,610
	6,600	WellPoint, Inc. *		462,528
	7,500	Wyeth		327,150
	10,500	Zimmer Holdings, Inc. *		790,545
		Total Health Care		19,643,166
		Industrials — 6.6%
	14,900	3M Co.		1,168,160
	4,000	Caterpillar, Inc.		289,320
	900	CH Robinson Worldwide, Inc.		45,693
	3,000	CSX Corp.		145,560
	400	Cummins, Inc.		20,152

See accompanying notes to the financial statements.

6

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	4,800	Danaher Corp.		355,920
	5,900	Deere & Co.		502,739
	200	Eaton Corp.		16,126
	300	Emerson Electric Co.		15,288
	1,100	FedEx Corp.		96,943
	300	Flowserve Corp.		32,670
	1,300	Fluor Corp.		181,025
	600	General Dynamics Corp.		49,110
	1,100	Goodrich Corp.		65,153
	8,100	Honeywell International, Inc.		466,074
	2,900	Illinois Tool Works, Inc.		142,303
	1,400	Ingersoll-Rand		58,604
	1,100	ITT Industries, Inc.		61,864
	1,900	Jacobs Engineering Group, Inc. *		152,551
	1,700	L-3 Communications Holdings, Inc.		180,693
	1,500	Masco Corp.		28,035
	1,300	Northrop Grumman Corp.		102,193
	9,025	Paccar, Inc.		391,505
	1,300	Pall Corp.		51,181
	1,700	Parker-Hannifin Corp.		109,871
	800	Pitney Bowes, Inc.		28,624
	2,200	Precision Castparts Corp.		242,858
	1,700	Textron, Inc.		92,089
	500	Union Pacific Corp.		62,380
	1,900	United Parcel Service, Inc.-Class B		133,456
	6,200	United Technologies Corp.		437,162
	1,400	W.W. Grainger, Inc.		103,124
		Total Industrials		5,828,426
		Information Technology — 16.0%
	600	Adobe Systems, Inc. *		20,190
	1,500	Affiliated Computer Services, Inc.-Class A *		76,125
	1,700	Analog Devices, Inc.		45,764
	9,000	Apple, Inc. *		1,125,180
	1,100	Arrow Electronics, Inc. *		35,871

See accompanying notes to the financial statements.

7

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	2,700	Avnet, Inc. *		91,017
	300	BMC Software, Inc. *		9,684
	2,100	CA, Inc.		48,048
	1,700	Cadence Design Systems, Inc. *		18,054
	61,200	Cisco Systems, Inc. *		1,491,444
	500	Citrix Systems, Inc. *		16,465
	4,600	Corning, Inc.		106,858
	1,000	Cypress Semiconductor Corp. *		21,740
	49,100	Dell, Inc. *		974,635
	27,661	eBay, Inc. *		729,144
	38,600	EMC Corp. *		599,844
	4,900	Fiserv, Inc. *		257,838
	900	FLIR Systems, Inc. *		25,614
	1,700	Google, Inc.-Class A *		801,006
	5,500	Hewlett-Packard Co.		262,735
	22,100	Intel Corp.		440,895
	13,500	International Business Machines Corp.		1,537,110
	1,700	Juniper Networks, Inc. *		45,594
	1,900	KLA-Tencor Corp.		79,819
	2,300	Lexmark International, Inc. *		75,969
	2,400	McAfee, Inc. *		79,848
	90,200	Microsoft Corp.		2,455,244
	1,000	NCR Corp. *		22,160
	35,800	Oracle Corp. *		673,040
	43,800	Qualcomm, Inc.		1,855,806
	600	Texas Instruments, Inc.		17,976
	900	Total System Services, Inc.		20,007
	2,000	VeriSign, Inc. *		69,600
	3,200	Xilinx, Inc.		71,552
		Total Information Technology		14,201,876
		Materials — 2.3%
	900	Air Products & Chemicals, Inc.		82,197
	3,800	Alcoa, Inc.		141,132
	500	Ball Corp.		22,050

See accompanying notes to the financial statements.

8

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Materials — continued
	1,300	Celanese Corp.-Class A		50,570
	2,700	Dow Chemical Co. (The)		101,763
	200	Eastman Chemical Co.		13,162
	1,200	Lubrizol Corp.		69,960
	400	Martin Marietta Materials, Inc.		43,040
	8,500	Monsanto Co.		983,280
	2,000	Owens-IIlinois, Inc. *		112,900
	1,500	PPG Industries, Inc.		92,970
	1,600	Praxair, Inc.		128,448
	500	Sealed Air Corp.		12,105
	200	Vulcan Materials Co.		14,020
	2,100	Weyerhaeuser Co.		128,520
		Total Materials		1,996,117
		Telecommunication Services — 2.6%
	21,763	AT&T, Inc.		758,005
	600	CenturyTel, Inc.		21,714
	42,642	Verizon Communications, Inc.		1,548,757
		Total Telecommunication Services		2,328,476
		Utilities — 1.0%
	3,200	American Electric Power Co., Inc.		130,944
	1,200	Centerpoint Energy, Inc.		17,616
	1,100	Constellation Energy Group, Inc.		97,185
	1,800	Edison International		88,920
	1,400	Entergy Corp.		143,836
	1,300	FPL Group, Inc.		78,377
	1,000	Mirant Corp. *		37,000
	1,700	NRG Energy, Inc. *		70,159
	2,800	Public Service Enterprise Group, Inc.		123,480
	2,900	Reliant Energy, Inc. *		66,120
		Total Utilities		853,637
		TOTAL COMMON STOCKS (COST $86,982,840)		86,735,195

See accompanying notes to the financial statements.

9

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.1%
	1,621,799	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $1,621,900 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 11.25%, maturity date of 02/15/15, and a market value, including accrued interest, of $1,651,245.		1,621,799
	200,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		198,586
		TOTAL SHORT-TERM INVESTMENTS (COST $1,819,970)		1,820,385
		TOTAL INVESTMENTS — 99.9% (Cost $88,802,810)		88,555,580
		Other Assets and Liabilities (net) — 0.1%		130,018
		TOTAL NET ASSETS — 100.0%	$	88,685,598

Notes to Schedule of Investments:

*  Non-income producing security.

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

See accompanying notes to the financial statements.

10

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $88,802,810) (Note 2)	$	88,555,580
Dividends and interest receivable		194,508
Receivable for expenses reimbursed by Manager (Note 3)		31,270
Total assets		88,781,358
Liabilities:
Payable to affiliate for (Note 3):
Management fee		23,532
Shareholder service fee		10,696
Trustees and Chief Compliance Officer of GMO Trust fees		98
Accrued expenses		61,434
Total liabilities		95,760
Net assets	$	88,685,598
Net assets consist of:
Paid-in capital	$	88,928,493
Accumulated undistributed net investment income		213,290
Distributions in excess of net realized gain		(208,955	)
Net unrealized depreciation		(247,230	)
	$	88,685,598
Net assets attributable to:
Class III shares	$	88,685,598
Shares outstanding:
Class III		7,266,167
Net asset value per share:
Class III	$	12.21

See accompanying notes to the financial statements.

11

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	2,167,892
Interest		84,900
Total investment income		2,252,792
Expenses:
Management fee (Note 3)		366,235
Shareholder service fee – Class III (Note 3)		166,471
Custodian, fund accounting agent and transfer agent fees		38,349
Audit and tax fees		48,602
Legal fees		23,608
Trustees fees and related expenses (Note 3)		23,220
Registration fees		184
Miscellaneous		2,185
Total expenses		668,854
Fees and expenses reimbursed by Manager (Note 3)		(134,700	)
Expense reductions (Note 2)		(9	)
Net expenses		534,145
Net investment income (loss)		1,718,647
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		6,146,177
Closed futures contracts		(60,668	)
Net realized gain (loss)		6,085,509
Change in net unrealized appreciation (depreciation) on investments		(13,115,568	)
Net realized and unrealized gain (loss)		(7,030,059	)
Net increase (decrease) in net assets resulting from operations	$	(5,311,412	)

See accompanying notes to the financial statements.

12

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,718,647		$	1,733,783
Net realized gain (loss)		6,085,509			3,529,504
Change in net unrealized appreciation (depreciation)		(13,115,568	)		2,169,764
Net increase (decrease) in net assets from operations		(5,311,412	)		7,433,051
Distributions to shareholders from:
Net investment income
Class III		(1,800,557	)		(1,642,938	)
Net realized gains
Class III		(1,256,863	)		—
		(3,057,420	)		(1,642,938	)
Net share transactions (Note 7):
Class III		(19,670,155	)		(10,404,882	)
Total increase (decrease) in net assets		(28,038,987	)		(4,614,769	)
Net assets:
Beginning of period		116,724,585			121,339,354
End of period (including accumulated undistributed net investment income of $213,290 and $306,453, respectively)	$	88,685,598		$	116,724,585

See accompanying notes to the financial statements.

13

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	13.48		$	12.83		$	12.14		$	11.58		$	8.62
Income (loss) from investment operations:
Net investment income (loss)†		0.21			0.19			0.20			0.16			0.14
Net realized and unrealized gain (loss)		(1.08	)		0.64			0.69			0.54			2.96
Total from investment operations		(0.87	)		0.83			0.89			0.70			3.10
Less distributions to shareholders:
From net investment income		(0.22	)		(0.18	)		(0.20	)		(0.14	)		(0.14	)
From net realized gains		(0.18	)		—			—			—			—
Total distributions		(0.40	)		(0.18	)		(0.20	)		(0.14	)		(0.14	)
Net asset value, end of period	$	12.21		$	13.48		$	12.83		$	12.14		$	11.58
Total Return(a)		(6.78	)%		6.53	%		7.46	%		6.12	%(b)		36.21	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	88,686		$	116,725		$	121,339		$	81,374		$	62,027
Net expenses to average daily net assets		0.48	%(c)		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.55	%		1.46	%		1.65	%		1.39	%		1.34	%
Portfolio turnover rate		62	%		67	%		62	%		87	%		70	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%		0.11	%		0.08	%		0.08	%		0.13	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The effect of losses in the amount of $15,989 resulting from compliance violations and the Manager's reimbursement of such losses had no effect on total return.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

14

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Tax-Managed U.S. Equities 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 Funds into classes.

The Fund seeks high after-tax total return. The Fund seeks to achieve its objective by outperforming the Russell 3000 Index. The Fund typically makes equity investments in companies that issue stocks included in the Russell 3000 Index and companies with similar market capitalizations, and uses quantitative models integrated with tax management techniques to provide broad exposure to the U.S. equity market to investors subject to U.S. federal income tax.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

15

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. There were no futures contracts outstanding at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

16

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

17

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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

U.S. GAAP and tax accounting differences primarily relate to post-October capital losses and redemption in-kind transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess Of Net Realized Gain			Paid-in Capital
$	(11,253	)	$	(2,972,571	)	$	2,983,824

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	1,811,810	$	1,642,938
Long-term capital gains		1,245,610		—
Total Distributions	$	3,057,420	$	1,642,938

18

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 213,290

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $206,290.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	88,805,475	$	6,735,698	$	(6,985,593	)	$	(249,895	)

For the period ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $2,983,824.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

19

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.33% of the 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 29, 2008 was $23,036 and $390, respectively. The compensation and expenses of the CCO

20

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $66,813,804 and $87,512,328, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 77.11% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.05% of the Fund's shares were held by one related party comprised of a certain GMO employee account, and 2.63% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		76,039		$	1,022,306			182,327		$	2,335,000
Shares issued to shareholders in reinvestment of distributions		196,167			2,702,024			93,323			1,204,619
Shares repurchased		(1,667,621	)		(23,394,485	)		(1,072,199	)		(13,944,501	)
Net increase (decrease)		(1,395,415	)	$	(19,670,155	)		(796,549	)	$	(10,404,882	)

21

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Tax-Managed U.S. Equities 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 Tax-Managed U.S. Equities Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

22

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

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. 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	$	906.30	$	2.28
	2	) Hypothetical		0.48	%	$	1,000.00	$	1,022.48	$	2.41

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

23

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $1,245,610 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 29, 2008 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 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $66,417 or if determined to be different, the qualified interest income of such year.

24

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

25

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

26

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo&Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002-2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

27

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

28

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Tobacco-Free 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

The Class III shares of the GMO Tobacco-Free Core Fund returned -7.3% for the fiscal year ended February 29, 2008, as compared to -3.6% for the S&P 500 Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the S&P 500 Index. Selections in Telecommunication Services and Information Technology added to relative returns while selections in Consumer Discretionary, Financials, and Energy detracted. Individual names adding to relative returns included overweight positions in Exxon Mobil and Merck and an underweight in Wachovia. Names detracting from relative returns included overweight positions in Home Depot, Citigroup, and Lowe's Companies.

Sector selection added to returns relative to the S&P 500 Index. Sector weightings positively impacting relative performance included an underweight position in Financials and overweight positions in Health Care and Telecommunication Services. Sector weightings negatively impacting relative performance included an overweight in Consumer Discretionary and underweight positions in Industrials and Materials.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		3.5
Other		0.1
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.3	%
Energy		17.5
Information Technology		17.1
Consumer Staples		13.7
Consumer Discretionary		9.3
Industrials		7.1
Financials		6.3
Materials		2.4
Telecommunication Services		2.3
Utilities		1.0
		100.0	%

1

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Consumer Discretionary — 9.0%
	900	Abercrombie & Fitch Co.-Class A		69,777
	3,900	Amazon.com, Inc. *		251,433
	3,050	American Eagle Outfitters, Inc.		65,179
	4,300	Apollo Group, Inc.-Class A *		263,934
	300	Autoliv, Inc.		14,970
	2,100	AutoNation, Inc. *		30,597
	600	AutoZone, Inc. *		69,048
	2,800	Bed Bath & Beyond, Inc. *		79,352
	100	Best Buy Co., Inc.		4,301
	300	BorgWarner, Inc.		12,933
	100	Carnival Corp.		3,935
	4,500	Coach, Inc. *		136,440
	1,800	Discovery Holding Co.-Class A *		40,626
	2,100	Expedia, Inc. *		48,153
	900	Family Dollar Stores, Inc.		17,235
	12,793	Ford Motor Co. *		83,538
	800	GameStop Corp.-Class A *		33,888
	2,600	Gannett Co., Inc.		78,390
	1,400	General Motors Corp.		32,592
	800	Goodyear Tire & Rubber Co. (The) *		21,680
	1,800	Harley-Davidson, Inc.		66,888
	1,200	Hasbro, Inc.		30,924
	33,300	Home Depot, Inc.		884,115
	400	IAC/InterActive Corp. *		7,960
	1,300	ITT Educational Services, Inc. *		71,786
	3,700	Johnson Controls, Inc.		121,582
	2,800	Kohl's Corp. *		124,432
	800	Liberty Global, Inc.-Class A *		30,080
	200	Liberty Media Holding Corp. Capital-Class A *		23,222
	1,400	Liz Claiborne, Inc.		24,892
	18,400	Lowe's Cos., Inc.		441,048
	500	Mattel Co.		9,660

See accompanying notes to the financial statements.

2

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	3,400	McDonald's Corp.		183,974
	200	McGraw-Hill Cos., Inc.		8,186
	934	MGM Mirage *		57,525
	100	Mohawk Industries, Inc. *		7,141
	1,600	Nike, Inc.-Class B		96,320
	300	Nordstrom, Inc.		11,109
	6,200	Office Depot, Inc. *		70,494
	300	Polo Ralph Lauren Corp.		18,657
	300	R.H. Donnelley Corp. *		2,127
	400	RadioShack Corp.		6,980
	3,400	Staples, Inc.		75,650
	200	Starbucks Corp. *		3,594
	3,600	Target Corp.		189,396
	900	Tiffany & Co.		33,876
	400	Toll Brothers, Inc. *		8,484
	1,000	VF Corp.		76,040
	100	Wynn Resorts Ltd.		10,070
	500	Yum! Brands, Inc.		17,225
		Total Consumer Discretionary		4,071,438
		Consumer Staples — 13.2%
	3,100	Anheuser-Busch Cos., Inc.		145,979
	1,400	Avon Products, Inc.		53,284
	200	Clorox Co.		11,638
	600	Coca Cola Enterprises, Inc.		14,658
	26,100	Coca-Cola Co. (The)		1,525,806
	1,600	Colgate-Palmolive Co.		121,744
	300	Costco Wholesale Corp.		18,576
	800	CVS Caremark Corp.		32,304
	1,100	Energizer Holdings, Inc. *		102,113
	700	Estee Lauder Cos. (The), Inc.-Class A		29,806
	300	Kellogg Co.		15,216
	2,600	Kimberly-Clark Corp.		169,468
	3,600	Kraft Foods, Inc.		112,212

See accompanying notes to the financial statements.

3

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — continued
	2,300	Kroger Co.		55,775
	12,800	PepsiCo, Inc.		890,368
	7,900	Procter & Gamble Co. (The)		522,822
	1,700	Safeway, Inc.		48,858
	1,265	Supervalu, Inc.		33,206
	1,400	Tyson Foods, Inc.-Class A		20,174
	7,200	Walgreen Co.		262,872
	34,900	Wal-Mart Stores, Inc.		1,730,691
	700	WM Wrigley Jr. Co.		41,902
		Total Consumer Staples		5,959,472
		Energy — 16.8%
	1,500	Anadarko Petroleum Corp.		95,610
	1,700	Apache Corp.		195,007
	200	Baker Hughes, Inc.		13,458
	1,600	Cameron International Corp. *		67,968
	19,800	Chevron Corp.		1,715,868
	7,451	ConocoPhillips		616,272
	500	Denbury Resources, Inc. *		15,945
	1,100	Devon Energy Corp.		112,992
	600	Diamond Offshore Drilling, Inc.		72,498
	30,500	Exxon Mobil Corp.		2,653,805
	600	FMC Technologies, Inc. *		33,996
	1,300	Halliburton Co.		49,790
	700	Hess Corp.		65,226
	400	Marathon Oil Corp.		21,264
	600	Murphy Oil Corp.		48,228
	700	Noble Corp.		34,405
	5,000	Occidental Petroleum Corp.		386,850
	200	Rowan Cos., Inc.		8,062
	7,300	Schlumberger Ltd.		631,085
	1,300	Smith International, Inc.		81,939
	600	Sunoco, Inc.		36,648
	2,129	Transocean, Inc. *		299,146

See accompanying notes to the financial statements.

4

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — continued
	4,000	Valero Energy Corp.		231,080
	1,700	Weatherford International Ltd. *		117,164
		Total Energy		7,604,306
		Financials — 6.1%
	1,000	ACE Ltd.		56,240
	1,700	Aflac, Inc.		106,097
	5,300	Allstate Corp. (The)		252,969
	7,100	American International Group, Inc.		332,706
	1,400	AON Corp.		58,254
	10,288	Bank of America Corp.		408,845
	1,200	BB&T Corp.		37,356
	800	Brown & Brown, Inc.		14,264
	600	Charles Schwab Corp. (The)		11,766
	1,300	Chubb Corp.		66,170
	26,500	Citigroup, Inc.		628,315
	500	CNA Financial Corp.		13,325
	600	Comerica, Inc.		21,744
	500	Eaton Vance Corp.		15,925
	200	Fifth Third Bancorp		4,580
	400	First American Corp.		13,932
	400	Franklin Resources, Inc.		37,748
	500	Hartford Financial Services Group, Inc.		34,950
	1,000	Leucadia National Corp.		45,260
	100	Markel Corp. *		46,475
	100	Moody's Corp.		3,798
	1,200	Morgan Stanley		50,544
	3,900	National City Corp.		61,854
	725	Old Republic International Corp.		9,947
	2,400	Progressive Corp. (The)		43,992
	600	Prudential Financial, Inc.		43,782
	200	Safeco Corp.		9,252
	400	SEI Investment Co.		10,004
	500	Torchmark Corp.		30,130

See accompanying notes to the financial statements.

5

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	3,300	Travelers Cos. (The), Inc.		153,153
	2,400	Unum Group		54,984
	1,800	US Bancorp		57,636
	1,866	Washington Mutual, Inc.		27,617
		Total Financials		2,763,614
		Health Care — 22.5%
	5,800	Abbott Laboratories		310,590
	1,700	Aetna, Inc.		84,320
	2,000	AmerisourceBergen Corp.		83,440
	3,700	Amgen, Inc. *		168,424
	200	Baxter International, Inc.		11,804
	1,400	Biogen Idec, Inc. *		81,704
	800	Bristol-Myers Squibb Co.		18,088
	2,100	Cardinal Health, Inc.		124,194
	200	Cerner Corp. *		8,690
	1,200	Cigna Corp.		53,496
	200	Covance, Inc. *		16,882
	3,000	Coventry Health Care, Inc. *		155,610
	4,900	Eli Lilly & Co.		245,098
	6,800	Express Scripts, Inc. *		401,880
	3,800	Forest Laboratories, Inc. *		151,126
	1,300	Gilead Sciences, Inc. *		61,516
	300	Intuitive Surgical, Inc. *		84,576
	200	Invitrogen Corp. *		16,898
	22,920	Johnson & Johnson		1,420,123
	1,000	King Pharmaceuticals, Inc. *		10,600
	3,200	McKesson Corp.		188,032
	4,400	Medco Health Solutions, Inc. *		194,964
	5,500	Medtronic, Inc.		271,480
	27,200	Merck & Co., Inc.		1,204,960
	1,800	Patterson Cos., Inc. *		63,360
	76,390	Pfizer, Inc.		1,701,969
	1,000	Quest Diagnostics, Inc.		47,670

See accompanying notes to the financial statements.

6

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	5,100	Schering-Plough Corp.		110,670
	900	St. Jude Medical, Inc. *		38,682
	4,400	Stryker Corp.		286,484
	29,824	UnitedHealth Group, Inc.		1,386,220
	100	Waters Corp. *		5,961
	4,600	WellPoint, Inc. *		322,368
	5,000	Wyeth		218,100
	8,000	Zimmer Holdings, Inc. *		602,320
		Total Health Care		10,152,299
		Industrials — 6.8%
	7,800	3M Co.		611,520
	2,100	Caterpillar, Inc.		151,893
	100	CH Robinson Worldwide, Inc.		5,077
	300	CSX Corp.		14,556
	2,700	Danaher Corp.		200,205
	3,000	Deere & Co.		255,630
	200	Eaton Corp.		16,126
	500	Emerson Electric Co.		25,480
	300	Fastenal Co.		12,198
	300	FedEx Corp.		26,439
	200	Flowserve Corp.		21,780
	800	Fluor Corp.		111,400
	200	General Dynamics Corp.		16,370
	900	Goodrich Corp.		53,307
	100	Harsco Corp.		5,649
	4,000	Honeywell International, Inc.		230,160
	200	Illinois Tool Works, Inc.		9,814
	1,100	Ingersoll-Rand		46,046
	600	ITT Industries, Inc.		33,744
	1,200	Jacobs Engineering Group, Inc. *		96,348
	1,200	L-3 Communications Holdings, Inc.		127,548
	200	Manpower, Inc.		11,340
	700	Masco Corp.		13,083

See accompanying notes to the financial statements.

7

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	800	McDermott International, Inc. *		41,776
	4,050	Paccar, Inc.		175,689
	400	Pall Corp.		15,748
	1,200	Parker-Hannifin Corp.		77,556
	1,100	Precision Castparts Corp.		121,429
	300	Rockwell Collins, Inc.		17,670
	200	RR Donnelley & Sons Co.		6,366
	200	SPX Corp.		20,460
	100	Stericycle, Inc. *		5,389
	1,100	Textron, Inc.		59,587
	500	Trane, Inc.		22,525
	600	Tyco International Ltd.		24,036
	300	Union Pacific Corp.		37,428
	1,500	United Parcel Service, Inc.-Class B		105,360
	3,500	United Technologies Corp.		246,785
	100	W.W. Grainger, Inc.		7,366
		Total Industrials		3,080,883
		Information Technology — 16.5%
	500	Activision, Inc. *		13,625
	200	Adobe Systems, Inc. *		6,730
	1,500	Affiliated Computer Services, Inc.-Class A *		76,125
	300	Analog Devices, Inc.		8,076
	5,100	Apple, Inc. *		637,602
	400	Arrow Electronics, Inc. *		13,044
	200	Autodesk, Inc. *		6,218
	900	Avnet, Inc. *		30,339
	1,100	CA, Inc.		25,168
	800	Cadence Design Systems, Inc. *		8,496
	33,200	Cisco Systems, Inc. *		809,084
	1,500	Citrix Systems, Inc. *		49,395
	400	Cognizant Technologies Solutions Corp.-Class A *		12,084
	2,900	Corning, Inc.		67,367
	23,800	Dell, Inc. *		472,430

See accompanying notes to the financial statements.

8

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	100	DST Systems, Inc. *		7,026
	15,000	eBay, Inc. *		395,400
	21,900	EMC Corp. *		340,326
	3,300	Fiserv, Inc. *		173,646
	400	FLIR Systems, Inc. *		11,384
	1,000	Google, Inc.-Class A *		471,180
	1,700	Hewlett-Packard Co.		81,209
	12,300	Intel Corp.		245,385
	6,100	International Business Machines Corp.		694,546
	100	Intersil Corp.-Class A		2,327
	500	Intuit, Inc. *		13,280
	1,500	Juniper Networks, Inc. *		40,230
	600	KLA-Tencor Corp.		25,206
	600	Lexmark International, Inc. *		19,818
	400	McAfee, Inc. *		13,308
	44,500	Microsoft Corp.		1,211,290
	100	National Semiconductor Corp.		1,647
	100	NAVTEQ Corp. *		7,495
	200	NCR Corp. *		4,432
	23,800	Oracle Corp. *		447,440
	21,300	Qualcomm, Inc.		902,481
	700	Texas Instruments, Inc.		20,972
	700	Total System Services, Inc.		15,561
	1,000	VeriSign, Inc. *		34,800
	1,000	Western Digital Corp. *		30,870
	800	Xilinx, Inc.		17,888
		Total Information Technology		7,464,930
		Materials — 2.3%
	600	Air Products & Chemicals, Inc.		54,798
	2,400	Alcoa, Inc.		89,136
	1,000	Celanese Corp.-Class A		38,900
	200	Crown Holdings, Inc. *		4,982
	600	Dow Chemical Co. (The)		22,614

See accompanying notes to the financial statements.

9

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Materials — continued
	800	Freeport-McMoRan Copper & Gold, Inc.		80,688
	200	Lubrizol Corp.		11,660
	200	Martin Marietta Materials, Inc.		21,520
	4,300	Monsanto Co.		497,424
	1,600	Owens-IIlinois, Inc. *		90,320
	1,000	Praxair, Inc.		80,280
	400	Temple-Inland, Inc.		5,492
	200	Vulcan Materials Co.		14,020
	700	Weyerhaeuser Co.		42,840
		Total Materials		1,054,674
		Telecommunication Services — 2.2%
	8,039	AT&T, Inc.		279,998
	19,684	Verizon Communications, Inc.		714,923
		Total Telecommunication Services		994,921
		Utilities — 1.0%
	400	American Electric Power Co., Inc.		16,368
	300	Centerpoint Energy, Inc.		4,404
	600	Constellation Energy Group, Inc.		53,010
	2,900	Duke Energy Corp.		50,866
	300	Dynegy, Inc.-Class A *		2,220
	700	Edison International		34,580
	300	Entergy Corp.		30,822
	100	Equitable Resources, Inc.		6,162
	500	FPL Group, Inc.		30,145
	600	Mirant Corp. *		22,200
	900	NRG Energy, Inc. *		37,143
	400	PPL Corp.		18,152
	1,800	Public Service Enterprise Group, Inc.		79,380
	2,000	Reliant Energy, Inc. *		45,600
		Total Utilities		431,052
		TOTAL COMMON STOCKS (COST $47,155,206)		43,577,589

See accompanying notes to the financial statements.

10

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.5%
	665,435	Citigroup Global Markets Repurchase Agreement, dated 02/29/2008, due 03/03/2008, with a maturity value of $665,477 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 11.25%, maturity date of 02/15/15 and a market value, including accrued interest, of $681,707.		665,435
	900,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		893,636
		TOTAL SHORT-TERM INVESTMENTS (COST $1,557,206)		1,559,071
		TOTAL INVESTMENTS — 99.9% (Cost $48,712,412)		45,136,660
		Other Assets and Liabilities (net) — 0.1%		60,173
		TOTAL NET ASSETS — 100.0%	$	45,196,833

See accompanying notes to the financial statements.

11

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	14	S&P 500 E-Mini	March 2008	$	931,910	$	(77,166	)

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

*  Non-income producing security.

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

See accompanying notes to the financial statements.

12

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $48,712,412) (Note 2)	$	45,136,660
Dividends and interest receivable		97,164
Receivable for collateral on open futures contracts (Note 2)		50,400
Receivable for expenses reimbursed by Manager (Note 3)		22,968
Total assets		45,307,192
Liabilities:
Payable to affiliate for (Note 3):
Management fee		11,986
Shareholder service fee		5,447
Trustees and Chief Compliance Officer of GMO Trust fees		58
Payable for variation margin on open futures contracts (Note 2)		24,150
Accrued expenses		68,718
Total liabilities		110,359
Net assets	$	45,196,833
Net assets consist of:
Paid-in capital	$	52,560,460
Accumulated undistributed net investment income		66,409
Accumulated net realized loss		(3,777,118	)
Net unrealized depreciation		(3,652,918	)
	$	45,196,833
Net assets attributable to:
Class III shares	$	45,196,833
Shares outstanding:
Class III		4,505,462
Net asset value per share:
Class III	$	10.03

See accompanying notes to the financial statements.

13

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	3,261,564
Interest		204,990
Securities lending income		10,870
Total investment income		3,477,424
Expenses:
Management fee (Note 3)		569,374
Shareholder service fee – Class III (Note 3)		191,691
Shareholder service fee – Class IV (Note 3)		46,558
Custodian, fund accounting agent and transfer agent fees		75,040
Audit and tax fees		47,271
Legal fees		5,573
Trustees fees and related expenses (Note 3)		1,845
Registration fees		674
Miscellaneous		1,613
Total expenses		939,639
Fees and expenses reimbursed by Manager (Note 3)		(129,843	)
Expense reductions (Note 2)		(91	)
Net expenses		809,705
Net investment income (loss)		2,667,719
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		26,798,875
Closed futures contracts		(129,908	)
Net realized gain (loss)		26,668,967
Change in net unrealized appreciation (depreciation) on:
Investments		(21,996,291	)
Open futures contracts		33,429
Net unrealized gain (loss)		(21,962,862	)
Net realized and unrealized gain (loss)		4,706,105
Net increase (decrease) in net assets resulting from operations	$	7,373,824

See accompanying notes to the financial statements.

14

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,667,719		$	5,036,433
Net realized gain (loss)		26,668,967			22,105,528
Change in net unrealized appreciation (depreciation)		(21,962,862	)		(8,455,438	)
Net increase (decrease) in net assets from operations		7,373,824			18,686,523
Distributions to shareholders from:
Net investment income
Class III		(2,382,432	)		(3,755,673	)
Class IV		(1,169,636	)		(2,760,919	)
Total distributions from net investment income		(3,552,068	)		(6,516,592	)
Net realized gains
Class III		(15,985,212	)		(912,017	)
Class IV		(5,014,664	)		(637,651	)
Total distributions from net realized gains		(20,999,876	)		(1,549,668	)
		(24,551,944	)		(8,066,260	)
Net share transactions (Note 7):
Class III		(122,744,412	)		(41,436,981	)
Class IV		(141,183,947	)		(16,601,430	)
Increase (decrease) in net assets resulting from net share transactions		(263,928,359	)		(58,038,411	)
Total increase (decrease) in net assets		(281,106,479	)		(47,418,148	)
Net assets:
Beginning of period		326,303,312			373,721,460
End of period (including accumulated undistributed net investment income of $66,409 and $950,757, respectively)	$	45,196,833		$	326,303,312

See accompanying notes to the financial statements.

15

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	12.88		$	12.45		$	12.24		$	11.76		$	8.69
Income (loss) from investment operations:
Net investment income (loss)†		0.19			0.18			0.20			0.17			0.13
Net realized and unrealized gain (loss)		(0.96	)(a)		0.54			0.44			0.54			3.07
Total from investment operations		(0.77	)		0.72			0.64			0.71			3.20
Less distributions to shareholders:
From net investment income		(0.22	)		(0.23	)		(0.15	)		(0.18	)		(0.13	)
From net realized gains		(1.86	)		(0.06	)		(0.28	)		(0.05	)		—
Total distributions		(2.08	)		(0.29	)		(0.43	)		(0.23	)		(0.13	)
Net asset value, end of period	$	10.03		$	12.88		$	12.45		$	12.24		$	11.76
Total Return(b)		(7.30	)%		5.87	%		5.40	%		6.16	%		37.06	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	45,197		$	188,133		$	224,097		$	221,661		$	188,370
Net expenses to average daily net assets		0.48	%(c)		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.52	%		1.46	%		1.68	%		1.43	%		1.26	%
Portfolio turnover rate		74	%		73	%		63	%		68	%		63	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.08	%		0.06	%		0.04	%		0.04	%		0.04	%

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

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

16

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

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

	Period from March 1, 2007 through			Year Ended February 28/29,
	June 21, 2007			2007			2006			2005			2004			2003
Net asset value, beginning of period	$	12.89		$	12.46		$	12.25		$	11.76		$	8.69		$	11.23
Income (loss) from investment operations:
Net investment income (loss)†		0.07			0.19			0.21			0.16			0.13			0.13
Net realized and unrealized gain (loss)		0.79			0.54			0.44			0.56			3.07			(2.55	)
Total from investment operations		0.86			0.73			0.65			0.72			3.20			(2.42	)
Less distributions to shareholders:
From net investment income		(0.11	)		(0.24	)		(0.16	)		(0.18	)		(0.13	)		(0.12	)
From net realized gains		(0.47	)		(0.06	)		(0.28	)		(0.05	)		—			—
Total distributions		(0.58	)		(0.30	)		(0.44	)		(0.23	)		(0.13	)		(0.12	)
Net asset value, end of period	$	13.17	(b)	$	12.89		$	12.46		$	12.25		$	11.76		$	8.69
Total Return(a)		6.65	%**		5.91	%		5.44	%		6.25	%		37.12	%		(21.65	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	147,368	(b)	$	138,170		$	149,624		$	141,900		$	394,454		$	308,001
Net expenses to average daily net assets		0.44	%*		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Net investment income to average daily net assets		1.65	%*		1.49	%		1.72	%		1.37	%		1.31	%		1.35	%
Portfolio turnover rate		34	%††**		73	%		63	%		68	%		63	%		62	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*		0.06	%		0.04	%		0.04	%		0.04	%		0.04	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  Represents the ending net asset value per share and net assets upon the liquidation of the class.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the period from March 1, 2007 through August 31, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

17

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Tobacco-Free 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P 500 Index. The Fund typically makes equity investments in companies that issue stocks included in the S&P 500 Index, and companies with similar market capitalizations, other than tobacco-producing companies.

As of February 29, 2008, the Fund had one class of shares outstanding: Class III. Class IV shares were liquidated on June 21, 2007.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

18

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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

19

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 agreements. 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 interest rates or the price of the index or security underlying these transactions.There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all

20

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions, derivative contract transactions, redemption in-kind transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	1	$	(14,701,225	)	$	14,701,224

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	8,717,495	$	6,516,592
Long-term capital gains		15,834,449		1,549,668
Total distributions	$	24,551,944	$	8,066,260

21

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income  $66,409

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $1,736,434.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	50,830,262	$	968,822	$	(6,662,424	)	$	(5,693,602	)

For the year ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $15,578,803.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

22

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.105% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO")

23

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

(excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.33% of the 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 29, 2008 was $1,509 and $323, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $119,396,819 and $394,383,231, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 73.72% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties, and 5.89% of the Fund's shares were held by accounts for which the Manager has investment discretion.

24

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		443,012		$	4,612,176			531,589		$	6,422,165
Shares issued to shareholders in reinvestment of distributions		1,466,326			17,114,056			341,736			4,275,315
Shares repurchased		(12,009,243	)		(144,470,644	)		(4,269,224	)		(52,134,461	)
Net increase (decrease)		(10,099,905	)	$	(122,744,412	)		(3,395,899	)	$	(41,436,981	)
	Period Ended June 21, 2007*						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		469,828			6,184,300			271,906			3,398,570
Shares repurchased		(11,190,045	)		(147,368,247	)		(1,563,722	)		(20,000,000	)
Net increase (decrease)		(10,720,217	)	$	(141,183,947	)		(1,291,816	)	$	(16,601,430	)

*  Effective June 21, 2007, all shareholders redeemed or exchanged out of Class IV.

8.  Subsequent Event

Subsequent to February 29, 2008, the Fund received redemption requests in the amount of $14,243,830.

25

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Tobacco-Free 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 Tobacco-Free Core Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

26

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.48	%	$	1,000.00	$	901.50	$	2.27
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.48	$	2.41

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

27

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $15,834,449 from long-term capital gains.

For taxable, non-corporate shareholders, 48.89% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 48.92% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $164,688 and $5,166,132, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

28

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 0.11% of distributions to shareholders declared from net realized gains during the Fund's fiscal year were reclassified to distributions from net investment income and are reflected as such in the Statement of Changes in Net Assets.

29

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

30

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

31

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

32

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

33

GMO U.S. Growth Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

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 -5.5% for the fiscal year ended February 29, 2008, as compared to +0.4% for the Russell 1000 Growth Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the Russell 1000 Growth Index. Selections in the Telecommunication Services sector added to relative returns while selections in Consumer Discretionary, Financials, and Energy detracted. In terms of individual stocks, overweight positions in Exxon Mobil, Chevron, and McDonald's were among the positions adding to relative returns. Overweight positions in Home Depot and Kohl's and an underweight in Google were among the positions detracting from relative returns.

Sector selection detracted from returns relative to the Russell 1000 Growth Index. Sector weightings positively impacting relative performance included an overweight position in Energy and underweight positions in Financials and Utilities. Sector weightings negatively impacting relative performance included an overweight in Consumer Discretionary and underweight positions in Industrials and Information Technology.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class M shares will vary due to different fees.

†   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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.4	%
Short-Term Investments		3.5
Futures		(0.1	)
Other		0.2
		100.0	%
Industry Sector Summary	% of Equity Investments
Information Technology		22.3	%
Health Care		19.3
Consumer Staples		16.9
Energy		14.7
Consumer Discretionary		10.5
Industrials		9.0
Materials		3.2
Financials		2.3
Telecommunication Services		1.0
Utilities		0.8
		100.0	%

1

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 96.4%
		Consumer Discretionary — 10.1%
	4,000	Abercrombie & Fitch Co.-Class A		310,120
	6,300	Advance Auto Parts, Inc.		211,302
	28,000	Amazon.com, Inc. *		1,805,160
	8,100	American Eagle Outfitters, Inc.		173,097
	13,900	Apollo Group, Inc.-Class A *		853,182
	9,400	AutoNation, Inc. *		136,958
	2,200	AutoZone, Inc. *		253,176
	10,900	Bed Bath & Beyond, Inc. *		308,906
	5,900	Best Buy Co., Inc.		253,759
	3,100	Big Lots, Inc. *		52,235
	400	BorgWarner, Inc.		17,244
	7,800	Career Education Corp. *		115,830
	2,400	CarMax, Inc. *		44,064
	14,300	Coach, Inc. *		433,576
	2,750	Comcast Corp.-Class A *		53,735
	3,800	D.R. Horton, Inc.		53,314
	900	DeVry, Inc.		39,546
	2,200	Direct TV Group (The) *		55,110
	13,000	Discovery Holding Co.-Class A *		293,410
	6,800	Dollar Tree Stores, Inc. *		182,444
	10,100	Expedia, Inc. *		231,593
	2,600	Family Dollar Stores, Inc.		49,790
	6,300	GameStop Corp.-Class A *		266,868
	1,300	Gannett Co., Inc.		39,195
	500	Garmin Ltd.		29,355
	1,100	Genuine Parts Co.		45,375
	9,500	Goodyear Tire & Rubber Co. (The) *		257,450
	10,700	Harley-Davidson, Inc.		397,612
	4,200	Hasbro, Inc.		108,234
	97,500	Home Depot, Inc.		2,588,625
	1,900	IAC/InterActive Corp. *		37,810
	6,600	Interpublic Group of Cos., Inc. *		56,892

See accompanying notes to the financial statements.

2

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	5,300	ITT Educational Services, Inc. *		292,666
	1,900	Jack in the Box, Inc. *		49,913
	19,900	Johnson Controls, Inc.		653,914
	13,600	Kohl's Corp. *		604,384
	5,100	Liberty Global, Inc.-Class A *		191,760
	700	Liberty Media Holding Corp. Capital-Class A *		81,277
	2,500	Liz Claiborne, Inc.		44,450
	88,968	Lowe's Cos., Inc.		2,132,563
	1,500	Marriott International, Inc.-Class A		51,150
	4,700	Mattel Co.		90,804
	10,700	McDonald's Corp.		578,977
	5,400	McGraw-Hill Cos., Inc.		221,022
	5,601	MGM Mirage *		344,966
	2,100	Mohawk Industries, Inc. *		149,961
	9,600	Nike, Inc.-Class B		577,920
	2,000	Nordstrom, Inc.		74,060
	4,200	Omnicom Group, Inc.		187,614
	6,600	O'Reilly Automotive, Inc. *		177,936
	2,800	Polo Ralph Lauren Corp.		174,132
	900	Priceline.com, Inc. *		102,618
	9,700	RadioShack Corp.		169,265
	900	Sherwin-Williams Co. (The)		46,602
	23,200	Staples, Inc.		516,200
	10,000	Starbucks Corp. *		179,700
	34,300	Target Corp.		1,804,523
	1,900	Tempur-Pedic International, Inc.		33,098
	4,700	Thor Industries, Inc.		143,256
	6,700	Tiffany & Co.		252,188
	3,000	Time Warner, Inc.		46,830
	5,260	TJX Cos., Inc.		168,320
	700	VF Corp.		53,228
	400	Wynn Resorts Ltd.		40,280
	1,300	Yum! Brands, Inc.		44,785
		Total Consumer Discretionary		20,035,329

See accompanying notes to the financial statements.

3

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — 16.3%
	63,084	Altria Group, Inc.		4,613,964
	21,300	Anheuser-Busch Cos., Inc.		1,003,017
	5,900	Avon Products, Inc.		224,554
	800	Church & Dwight Co., Inc.		42,768
	94,500	Coca-Cola Co. (The)		5,524,470
	14,000	Colgate-Palmolive Co.		1,065,260
	3,100	Costco Wholesale Corp.		191,952
	13,600	CVS Caremark Corp.		549,168
	4,300	Energizer Holdings, Inc. *		399,169
	4,100	General Mills, Inc.		229,559
	1,400	HJ Heinz Co.		61,754
	1,500	Kellogg Co.		76,080
	13,900	Kimberly-Clark Corp.		906,002
	10,744	Kraft Foods, Inc.		334,890
	8,600	Kroger Co.		208,550
	52,300	PepsiCo, Inc.		3,637,988
	64,800	Procter & Gamble Co. (The)		4,288,464
	1,500	Safeway, Inc.		43,110
	10,000	Sara Lee Corp.		126,300
	1,400	Supervalu, Inc.		36,750
	6,700	Sysco Corp.		188,002
	900	UST, Inc.		48,861
	42,900	Walgreen Co.		1,566,279
	137,000	Wal-Mart Stores, Inc.		6,793,830
	2,100	WM Wrigley Jr. Co.		125,706
		Total Consumer Staples		32,286,447
		Energy — 14.1%
	2,600	Anadarko Petroleum Corp.		165,724
	4,300	Apache Corp.		493,253
	700	Baker Hughes, Inc.		47,103
	12,000	Cameron International Corp. *		509,760
	38,200	Chevron Corp.		3,310,412
	16,129	ConocoPhillips		1,334,030

See accompanying notes to the financial statements.

4

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — continued
	2,100	Denbury Resources, Inc. *		66,969
	200	Devon Energy Corp.		20,544
	4,400	Diamond Offshore Drilling, Inc.		531,652
	3,000	Dresser-Rand Group, Inc. *		102,210
	112,900	Exxon Mobil Corp.		9,823,429
	3,800	FMC Technologies, Inc. *		215,308
	3,100	Halliburton Co.		118,730
	900	Hess Corp.		83,862
	300	Murphy Oil Corp.		24,114
	6,400	Noble Corp.		314,560
	16,400	Occidental Petroleum Corp.		1,268,868
	54,700	Schlumberger Ltd.		4,728,815
	10,200	Smith International, Inc.		642,906
	5,000	Sunoco, Inc.		305,400
	2,900	Tidewater, Inc.		162,835
	15,103	Transocean, Inc. *		2,122,123
	20,300	Valero Energy Corp.		1,172,731
	6,300	Weatherford International Ltd. *		434,196
	1,600	XTO Energy, Inc.		98,736
		Total Energy		28,098,270
		Financials — 2.2%
	10,100	Aflac, Inc.		630,341
	1,000	Allstate Corp. (The)		47,730
	1,900	AMBAC Financial Group, Inc.		21,166
	11,000	American International Group, Inc.		515,460
	400	Bank of America Corp.		15,896
	7,900	Brown & Brown, Inc.		140,857
	2,100	Charles Schwab Corp. (The)		41,181
	26,800	Citigroup, Inc.		635,428
	6,500	Eaton Vance Corp.		207,025
	3,200	First Marblehead Corp. (The)		38,496
	2,500	Franklin Resources, Inc.		235,925
	2,000	General Growth Properties, Inc. REIT		70,620

See accompanying notes to the financial statements.

5

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	2,100	Goldman Sachs Group, Inc.		356,223
	600	Hartford Financial Services Group, Inc.		41,940
	1,500	Janus Capital Group, Inc.		36,330
	100	Markel Corp. *		46,475
	2,600	MBIA, Inc.		33,722
	1,500	Merrill Lynch & Co., Inc.		74,340
	4,300	Moody's Corp.		163,314
	1,500	Morgan Stanley		63,180
	2,300	Philadelphia Consolidated Holding Corp. *		78,016
	3,200	Prudential Financial, Inc.		233,504
	1,100	Reinsurance Group of America, Inc.		60,181
	6,700	SEI Investment Co.		167,567
	900	SLM Corp.		17,649
	2,500	T. Rowe Price Group, Inc.		126,325
	7,200	Travelers Cos. (The), Inc.		334,152
		Total Financials		4,433,043
		Health Care — 18.6%
	40,500	Abbott Laboratories		2,168,775
	9,900	Aetna, Inc.		491,040
	1,700	Allergan, Inc.		100,691
	7,600	Amgen, Inc. *		345,952
	10,000	Baxter International, Inc.		590,200
	1,900	Becton Dickinson & Co.		171,798
	5,200	Biogen Idec, Inc. *		303,472
	19,300	Bristol-Myers Squibb Co.		436,373
	10,500	Cardinal Health, Inc.		620,970
	7,600	Cigna Corp.		338,808
	1,100	Covance, Inc. *		92,851
	7,600	Coventry Health Care, Inc. *		394,212
	500	DENTSPLY International, Inc.		19,520
	18,700	Eli Lilly & Co.		935,374
	30,600	Express Scripts, Inc. *		1,808,460
	15,900	Forest Laboratories, Inc. *		632,343

See accompanying notes to the financial statements.

6

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	2,600	Genentech, Inc. *		196,950
	300	Gen-Probe, Inc. *		14,343
	13,400	Gilead Sciences, Inc. *		634,088
	2,900	Idexx Laboratories, Inc. *		160,863
	2,700	Immucor, Inc. *		80,460
	2,500	Intuitive Surgical, Inc. *		704,800
	400	Invitrogen Corp. *		33,796
	62,064	Johnson & Johnson		3,845,485
	4,500	Kinetic Concepts, Inc. *		231,255
	2,000	Lincare Holdings, Inc. *		65,000
	5,100	McKesson Corp.		299,676
	30,800	Medco Health Solutions, Inc. *		1,364,748
	35,700	Medtronic, Inc.		1,762,152
	76,300	Merck & Co., Inc.		3,380,090
	5,700	Patterson Cos., Inc. *		200,640
	137,776	Pfizer, Inc.		3,069,649
	1,100	Pharmaceutical Product Development, Inc.		49,577
	5,500	Quest Diagnostics, Inc.		262,185
	3,100	Respironics, Inc. *		203,608
	27,700	Schering-Plough Corp.		601,090
	7,000	St. Jude Medical, Inc. *		300,860
	20,800	Stryker Corp.		1,354,288
	1,300	Techne Corp. *		88,907
	108,200	UnitedHealth Group, Inc.		5,029,136
	2,800	Waters Corp. *		166,908
	1,500	WellCare Health Plans, Inc. *		71,610
	10,600	WellPoint, Inc. *		742,848
	12,400	Wyeth		540,888
	26,500	Zimmer Holdings, Inc. *		1,995,185
		Total Health Care		36,901,924
		Industrials — 8.7%
	28,600	3M Co.		2,242,241
	500	Alliant Techsystems, Inc. *		52,470

See accompanying notes to the financial statements.

7

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	14,100	Caterpillar, Inc.		1,019,853
	2,600	CH Robinson Worldwide, Inc.		132,002
	500	Copart, Inc. *		20,830
	8,500	Cummins, Inc.		428,230
	8,100	Danaher Corp.		600,615
	18,300	Deere & Co.		1,559,343
	10,700	Emerson Electric Co.		545,272
	500	Fastenal Co.		20,330
	3,200	FedEx Corp.		282,016
	2,000	Flowserve Corp.		217,800
	5,900	Fluor Corp.		821,575
	3,000	General Dynamics Corp.		245,550
	7,600	Goodrich Corp.		450,148
	700	Harsco Corp.		39,543
	24,800	Honeywell International, Inc.		1,426,992
	2,200	Illinois Tool Works, Inc.		107,954
	5,700	ITT Industries, Inc.		320,568
	8,000	Jacobs Engineering Group, Inc. *		642,320
	1,700	L-3 Communications Holdings, Inc.		180,693
	500	Lockheed Martin Corp.		51,600
	2,300	Masco Corp.		42,987
	400	McDermott International, Inc. *		20,888
	600	Northrop Grumman Corp.		47,166
	15,275	Paccar, Inc.		662,629
	6,900	Pall Corp.		271,653
	2,200	Parker-Hannifin Corp.		142,186
	1,300	Pitney Bowes, Inc.		46,514
	6,400	Precision Castparts Corp.		706,496
	9,900	Quanta Services, Inc. *		236,412
	2,400	Rockwell Collins, Inc.		141,360
	1,300	RR Donnelley & Sons Co.		41,379
	800	Stericycle, Inc. *		43,112
	3,900	TeleTech Holdings, Inc. *		88,023
	4,700	Textron, Inc.		254,599

See accompanying notes to the financial statements.

8

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	5,500	Trane, Inc.		247,775
	1,200	Tyco International Ltd.		48,072
	500	Union Pacific Corp.		62,380
	16,400	United Parcel Service, Inc.-Class B		1,151,936
	21,700	United Technologies Corp.		1,530,067
	2,100	W.W. Grainger, Inc.		154,686
		Total Industrials		17,348,265
		Information Technology — 21.5%
	5,000	Accenture Ltd.		176,250
	3,000	Activision, Inc. *		81,750
	7,300	Adobe Systems, Inc. *		245,645
	700	Affiliated Computer Services, Inc.-Class A *		35,525
	38,600	Apple, Inc. *		4,825,772
	2,500	Arrow Electronics, Inc. *		81,525
	4,700	Autodesk, Inc. *		146,123
	6,200	Automatic Data Processing, Inc.		247,690
	7,800	Avnet, Inc. *		262,938
	1,800	BMC Software, Inc. *		58,104
	4,200	CA, Inc.		96,096
	190,800	Cisco Systems, Inc. *		4,649,796
	4,300	Citrix Systems, Inc. *		141,599
	6,000	Cognizant Technologies Solutions Corp.-Class A *		181,260
	500	CommScope, Inc. *		20,940
	12,700	Compuware Corp. *		101,092
	14,500	Corning, Inc.		336,835
	600	Cypress Semiconductor Corp. *		13,044
	109,400	Dell, Inc. *		2,171,590
	69,700	eBay, Inc. *		1,837,292
	132,300	EMC Corp. *		2,055,942
	2,400	Factset Research Systems, Inc.		126,336
	9,100	Fiserv, Inc. *		478,842
	8,300	FLIR Systems, Inc. *		236,218
	6,700	Google, Inc.-Class A *		3,156,906

See accompanying notes to the financial statements.

9

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	19,800	Hewlett-Packard Co.		945,846
	4,300	Ingram Micro, Inc.-Class A *		65,661
	42,608	Intel Corp.		850,030
	35,900	International Business Machines Corp.		4,087,574
	8,000	Intersil Corp.-Class A		186,160
	5,400	Intuit, Inc. *		143,424
	12,100	Juniper Networks, Inc. *		324,522
	4,000	KLA-Tencor Corp.		168,040
	3,900	Lexmark International, Inc. *		128,817
	100	Mastercard, Inc.-Class A		19,000
	5,700	McAfee, Inc. *		189,639
	2,000	Mettler-Toledo International, Inc. *		195,400
	228,100	Microsoft Corp.		6,208,882
	4,700	National Semiconductor Corp.		77,409
	2,100	NAVTEQ Corp. *		157,395
	5,700	NCR Corp. *		126,312
	127,900	Oracle Corp. *		2,404,520
	85,600	Qualcomm, Inc.		3,626,872
	3,200	Synopsys, Inc. *		74,272
	1,400	Texas Instruments, Inc.		41,944
	8,800	Total System Services, Inc.		195,624
	7,900	VeriSign, Inc. *		274,920
	5,800	Western Digital Corp. *		179,046
	7,800	Xilinx, Inc.		174,408
		Total Information Technology		42,610,827
		Materials — 3.1%
	2,200	Air Products & Chemicals, Inc.		200,926
	2,100	Albemarle Corp.		79,674
	5,200	Alcoa, Inc.		193,128
	9,900	Celanese Corp.-Class A		385,110
	200	Cleveland-Cliffs, Inc.		23,892
	4,000	Crown Holdings, Inc. *		99,640
	2,600	Hercules, Inc.		47,632

See accompanying notes to the financial statements.

10

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Materials — continued
	1,000	International Flavors & Fragrances, Inc.		43,130
	2,300	Martin Marietta Materials, Inc.		247,480
	30,300	Monsanto Co.		3,505,104
	5,200	Nalco Holding Co.		112,320
	9,500	Owens-IIlinois, Inc. *		536,275
	4,600	Praxair, Inc.		369,288
	500	Southern Copper Corp.		57,055
	2,600	Vulcan Materials Co.		182,260
		Total Materials		6,082,914
		Telecommunication Services — 1.0%
	13,945	AT&T, Inc.		485,704
	800	Telephone & Data Systems, Inc.		37,520
	39,000	Verizon Communications, Inc.		1,416,480
		Total Telecommunication Services		1,939,704
		Utilities — 0.8%
	1,100	American Electric Power Co., Inc.		45,012
	3,600	Centerpoint Energy, Inc.		52,848
	3,100	Constellation Energy Group, Inc.		273,885
	6,600	Dynegy, Inc.-Class A *		48,840
	700	Entergy Corp.		71,918
	1,200	FPL Group, Inc.		72,348
	5,400	Mirant Corp. *		199,800
	8,200	NRG Energy, Inc. *		338,414
	2,200	PPL Corp.		99,836
	6,000	Public Service Enterprise Group, Inc.		264,600
	4,700	Reliant Energy, Inc. *		107,160
	800	Sempra Energy		42,504
		Total Utilities		1,617,165
		TOTAL COMMON STOCKS (COST $205,725,408)		191,353,888

See accompanying notes to the financial statements.

11

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.5%
	3,284,729	Citigroup Global Markets Repurchase Agreement, dated 02/29/2008, due 03/03/2008, with a maturity value of $3,284,934 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 8.13%, maturity date of 08/15/19 and a market value, including accrued interest, of $3,316,437.		3,284,729
	3,670,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		3,644,049
		TOTAL SHORT-TERM INVESTMENTS (COST $6,922,060)		6,928,778
		TOTAL INVESTMENTS — 99.9% (Cost $212,647,468)		198,282,666
		Other Assets and Liabilities (net) — 0.1%		114,878
		TOTAL NET ASSETS — 100.0%	$	198,397,544

See accompanying notes to the financial statements.

12

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	66	S&P 500 E-Mini	March 2008	$	4,393,290	$	(132,821	)

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

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

See accompanying notes to the financial statements.

13

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $212,647,468) (Note 2)	$	198,282,666
Receivable for Fund shares sold		5,033
Dividends and interest receivable		317,957
Receivable for collateral on open futures contracts (Note 2)		237,600
Receivable for expenses reimbursed by Manager (Note 3)		15,312
Total assets		198,858,568
Liabilities:
Payable for Fund shares repurchased		151,198
Payable to affiliate for (Note 3):
Management fee		49,153
Shareholder service fee – Class III		15,432
Administration fee – Class M		11,135
Trustees and Chief Compliance Officer of GMO Trust fees		225
Payable for 12b-1 fee – Class M		29,795
Payable for variation margin on open futures contracts (Note 2)		113,850
Accrued expenses		90,236
Total liabilities		461,024
Net assets	$	198,397,544
Net assets consist of:
Paid-in capital	$	217,217,568
Accumulated undistributed net investment income		244,055
Distributions in excess of net realized gain		(4,566,456	)
Net unrealized depreciation		(14,497,623	)
	$	198,397,544
Net assets attributable to:
Class III shares	$	129,665,986
Class M shares	$	68,731,558
Shares outstanding:
Class III		8,197,221
Class M		4,360,434
Net asset value per share:
Class III	$	15.82
Class M	$	15.76

See accompanying notes to the financial statements.

14

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	3,458,646
Interest		337,117
Securities lending income		7,062
Total investment income		3,802,825
Expenses:
Management fee (Note 3)		839,865
Shareholder service fee – Class III (Note 3)		286,199
12b-1 fee – Class M (Note 3)		200,312
Administration fee – Class M (Note 3)		160,250
Custodian, fund accounting agent and transfer agent fees		114,606
Audit and tax fees		48,359
Legal fees		9,223
Trustees fees and related expenses (Note 3)		2,623
Registration fees		9,752
Miscellaneous		2,896
Total expenses		1,674,085
Fees and expenses reimbursed by Manager (Note 3)		(184,081	)
Expense reductions (Note 2)		(228	)
Net expenses		1,489,776
Net investment income (loss)		2,313,049
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		16,276,421
Closed futures contracts		(371,994	)
Net realized gain (loss)		15,904,427
Change in net unrealized appreciation (depreciation) on:
Investments		(25,840,734	)
Open futures contracts		(42,027	)
Net unrealized gain (loss)		(25,882,761	)
Net realized and unrealized gain (loss)		(9,978,334	)
Net increase (decrease) in net assets resulting from operations	$	(7,665,285	)

See accompanying notes to the financial statements.

15

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,313,049		$	3,817,594
Net realized gain (loss)		15,904,427			35,381,461
Change in net unrealized appreciation (depreciation)		(25,882,761	)		(29,476,407	)
Net increase (decrease) in net assets from operations		(7,665,285	)		9,722,648
Distributions to shareholders from:
Net investment income
Class III		(1,963,020	)		(2,359,398	)
Class M		(451,426	)		(1,415,597	)
Total distributions from net investment income		(2,414,446	)		(3,774,995	)
Net realized gains
Class III		(3,938,829	)		(13,846,929	)
Class M		(1,625,736	)		(15,063,597	)
Total distributions from net realized gains		(5,564,565	)		(28,910,526	)
		(7,979,011	)		(32,685,521	)
Net share transactions (Note 7):
Class III		(85,518,384	)		(101,707,215	)
Class M		(10,707,607	)		(160,597,536	)
Increase (decrease) in net assets resulting from net share transactions		(96,225,991	)		(262,304,751	)
Total increase (decrease) in net assets		(111,870,287	)		(285,267,624	)
Net assets:
Beginning of period		310,267,831			595,535,455
End of period (including accumulated undistributed net investment income of $244,055 and $358,671, respectively)	$	198,397,544		$	310,267,831

See accompanying notes to the financial statements.

16

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	17.24		$	18.17		$	18.26		$	19.03		$	14.29
Income (loss) from investment operations:
Net investment income (loss)		0.17	†		0.15	†		0.15	†		0.16	†		0.10
Net realized and unrealized gain (loss)		(1.06	)		0.07			0.86			(0.02	)(a)		5.14
Total from investment operations		(0.89	)		0.22			1.01			0.14			5.24
Less distributions to shareholders:
From net investment income		(0.17	)		(0.15	)		(0.16	)		(0.14	)		(0.14	)
From net realized gains		(0.36	)		(1.00	)		(0.94	)		(0.77	)		(0.36	)
Total distributions		(0.53	)		(1.15	)		(1.10	)		(0.91	)		(0.50	)
Net asset value, end of period	$	15.82		$	17.24		$	18.17		$	18.26		$	19.03
Total Return(b)		(5.49	)%		1.24	%		5.64	%		0.94	%		36.93	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	129,666		$	224,554		$	342,203		$	357,499		$	437,200
Net expenses to average daily net assets		0.46	%(c)		0.46	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		0.94	%		0.85	%		0.84	%		0.89	%		0.62	%
Portfolio turnover rate		97	%		111	%		94	%		136	%		97	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.07	%		0.05	%		0.04	%		0.04	%		0.05	%

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

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

17

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	17.16		$	18.10		$	18.19		$	18.97		$	14.25
Income (loss) from investment operations:
Net investment income (loss)		0.11	†		0.10	†		0.10	†		0.11	†		0.09
Net realized and unrealized gain (loss)		(1.05	)		0.06			0.85			(0.02	)(a)		5.09
Total from investment operations		(0.94	)		0.16			0.95			0.09			5.18
Less distributions to shareholders:
From net investment income		(0.10	)		(0.10	)		(0.10	)		(0.10	)		(0.10	)
From net realized gains		(0.36	)		(1.00	)		(0.94	)		(0.77	)		(0.36	)
Total distributions		(0.46	)		(1.10	)		(1.04	)		(0.87	)		(0.46	)
Net asset value, end of period	$	15.76		$	17.16		$	18.10		$	18.19		$	18.97
Total Return(b)		(5.79	)%		0.91	%		5.33	%		0.65	%		36.58	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	68,732		$	85,714		$	253,332		$	269,227		$	199,865
Net expenses to average daily net assets		0.76	%(c)		0.76	%		0.77	%		0.78	%		0.78	%
Net investment income to average daily net assets		0.64	%		0.56	%		0.54	%		0.61	%		0.29	%
Portfolio turnover rate		97	%		111	%		94	%		136	%		97	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.07	%		0.05	%		0.04	%		0.04	%		0.05	%

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

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

18

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks long-term capital growth. The Fund seeks to achieve its objective by outperforming the Russell 1000 Growth Index. The Fund typically makes equity investments in U.S. companies that issue stocks included in the Russell 1000 Index, and companies with similar market capitalizations.

Throughout the year ended February 29, 2008, 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

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

19

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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.

20

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Gains or losses are realized upon early termination of the swap agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving

21

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions, post-October capital losses and derivative contract transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess Of Net Realized Gain		Paid-in Capital
$	(13,219	)	$	13,219	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	2,427,666	$	7,693,260
Long-term capital gains		5,551,345		24,992,261
Total distributions	$	7,979,011	$	32,685,521

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

22

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 242,636

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $215,010.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2011	$	(2,843,668	)
2/29/2012		(782,016	)
Total	$	(3,625,684	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	213,504,631	$	5,855,927	$	(21,077,892	)	$	(15,221,965	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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

23

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

24

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

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 Class M net assets. This fee may be spent on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.31% of the 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 29, 2008 was $2,163 and $750, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $252,287,441 and $351,299,126, 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.

25

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 86.74% of the outstanding shares of the Fund were held by four shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by one related party comprised of a certain GMO employee account, and 0.02% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		302,944		$	5,156,583			581,512		$	10,177,303
Shares issued to shareholders in reinvestment of distributions		327,572			5,900,873			931,773			16,163,150
Shares repurchased		(5,457,694	)		(96,575,840	)		(7,324,024	)		(128,047,668	)
Net increase (decrease)		(4,827,178	)	$	(85,518,384	)		(5,810,739	)	$	(101,707,215	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class M:	Shares			Amount			Shares			Amount
Shares sold		290,213		$	5,119,051			4,457,973		$	77,513,557
Shares issued to shareholders in reinvestment of distributions		115,575			2,077,162			949,423			16,479,194
Shares repurchased		(1,039,952	)		(17,903,820	)		(14,412,085	)		(254,590,287	)
Net increase (decrease)		(634,164	)	$	(10,707,607	)		(9,004,689	)	$	(160,597,536	)

26

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

27

GMO U.S. Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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		0.46	%	$	1,000.00	$	909.20	$	2.18
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.58	$	2.31
Class M
1) Actual		0.76	%	$	1,000.00	$	907.60	$	3.60
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.08	$	3.82

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

28

GMO U.S. Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $5,551,345 from long-term capital gains.

For taxable, non-corporate shareholders, 99.91% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 99.91% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $202,769 or if determined to be different, the qualified interest income of such year.

29

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

30

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

31

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

32

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

33

GMO Real Estate Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Real Estate 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 Real Estate Fund returned -24.0% for the fiscal year ended February 29, 2008, as compared to -24.8% for the MSCI U.S. REIT Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection added to returns relative to the MSCI U.S. REIT Index. Selections in the Specialized and Retail GICS Sub-Industries added to relative returns while selections in the Diversified GICS Sub-Industry detracted. In terms of individual names, overweight positions in Public Storage and ProLogis and an underweight in General Growth Properties added to relative returns. An overweight position in Vornado Realty Trust, an underweight in Equity Residential and not owning Crescent Real Estate Equity detracted.

Sector selection detracted from returns relative to the MSCI U.S. REIT Index. GICS Sub-Industry sectors detracting from returns versus the benchmark included an overweight in Retail and an underweight in Residential while an overweight in Specialized added to relative returns.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Real Estate Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Real Estate Investments		96.1	%
Short-Term Investments		4.1
Other		(0.2	)
		100.0	%
Industry Sector Summary	% of REIT Investments
Shopping Centers		13.5	%
Regional Malls		12.9
Apartments		11.1
Industrial		10.6
Health Care		10.2
Office Suburban		8.3
Diversified		7.6
Office Central Business District		7.4
Storage		6.9
Hotels		6.3
Triple Net		3.1
Manufactured Housing		1.7
Outlets		0.4
		100.0	%

1

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 96.1%
		REAL ESTATE INVESTMENT TRUSTS — 96.1%
		Apartments — 10.6%
	5,900	American Campus Communities, Inc.		153,990
	5,207	Apartment Investment & Management Co.-Class A		179,381
	3,800	Avalonbay Communities, Inc.		351,234
	3,300	BRE Properties, Inc.-Class A		142,098
	4,000	Camden Property Trust		189,960
	7,500	Education Realty Trust, Inc.		95,550
	6,200	Equity Residential Properties Trust		236,716
	1,600	Essex Property Trust, Inc.		168,064
	2,900	Home Properties of NY, Inc.		133,458
	2,000	Investors Real Estate Trust		18,740
	2,300	Mid-America Apartment Communities, Inc.		111,527
	4,300	Post Properties, Inc.		180,858
	4,700	UDR, Inc.		105,045
		Total Apartments		2,066,621
		Diversified — 7.3%
	3,200	Colonial Properties Trust		77,952
	300	Cousins Properties, Inc.		7,278
	8,500	Franklin Street Properties Corp.		107,270
	1,000	Pennslyvania Real Estate Investment Trust		24,730
	14,100	Vornado Realty Trust		1,178,196
	1,000	Washington Real Estate Investment Trust		31,920
		Total Diversified		1,427,346
		Health Care — 9.8%
	14,300	HCP, Inc.		417,274
	7,100	Health Care, Inc.		292,236
	2,000	LTC Properties, Inc.		48,280
	5,000	Medical Properties Trust, Inc.		59,900
	3,000	National Health Investors, Inc.		90,390

See accompanying notes to the financial statements.

2

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	7,800	Nationwide Health Properties		236,574
	5,900	Omega Healthcare Investors, Inc.		100,064
	7,600	Senior Housing Properties Trust		161,652
	800	Universal Health Realty Income Trust		26,936
	11,500	Ventas, Inc.		480,930
		Total Health Care		1,914,236
		Hotels — 6.1%
	7,200	DiamondRock Hospitality Co.		89,928
	9,000	Hospitality Properties Trust		326,970
	43,900	Host Marriott Corp.		710,741
	1,100	Lasalle Hotel Properties		31,790
	1,200	Sunstone Hotel Investors, Inc.		18,792
		Total Hotels		1,178,221
		Industrial — 10.2%
	8,800	AMB Property Corp.		441,584
	4,800	Digital Realty Trust, Inc.		172,320
	600	Eastgroup Properties, Inc.		25,458
	1,100	First Industrial Realty Trust, Inc.		33,418
	24,438	ProLogis		1,316,719
		Total Industrial		1,989,499
		Manufactured Housing — 1.6%
	4,800	Equity Lifestyle Properties, Inc.		219,264
	4,600	Sun Communities, Inc.		93,748
		Total Manufactured Housing		313,012
		Office Central Business District — 7.1%
	7,500	American Financial Realty Trust		57,975
	5,300	BioMed Realty Trust, Inc.		116,176
	9,600	Boston Properties, Inc.		827,232
	3,700	Douglas Emmett, Inc.		78,403

See accompanying notes to the financial statements.

3

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Office Central Business District — continued
	700	Maguire Properties, Inc.		15,904
	3,223	SL Green Realty Corp.		294,905
		Total Office Central Business District		1,390,595
		Office Suburban — 8.0%
	3,100	Alexandria Real Estate Equity, Inc.		284,580
	2,889	Brandywine Realty Trust		48,362
	800	Corporate Office Properties		24,512
	15,300	Duke Realty Investments		350,676
	4,800	Highwoods Properties, Inc.		141,504
	26,600	HRPT Properties Trust		183,008
	1,800	Kilroy Realty Corp.		85,374
	8,100	Liberty Property Trust		240,651
	4,400	Mack-Cali Realty Corp.		151,756
	500	Parkway Properties, Inc.		17,875
	400	PS Business Parks, Inc.		19,420
		Total Office Suburban		1,547,718
		Outlets — 0.4%
	1,900	Tanger Factory Outlet Centers, Inc.		67,450
		Regional Malls — 12.4%
	5,400	CBL & Associates Properties, Inc.		126,090
	14,400	General Growth Properties		508,464
	4,700	Macerich Co.		300,800
	15,700	Simon Property Group, Inc.		1,315,660
	3,300	Taubman Centers, Inc.		160,875
		Total Regional Malls		2,411,889
		Shopping Centers — 13.0%
	300	Alexander's, Inc. *		90,735
	10,900	Developers Diversified Realty Corp.		420,304
	5,900	Equity One, Inc.		126,260
	5,100	Federal Realty Investment Trust		365,568

See accompanying notes to the financial statements.

4

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Shopping Centers — continued
	4,400	Inland Real Estate Corp.		61,336
	22,758	Kimco Realty Corp.		768,538
	6,300	Regency Centers Corp.		373,905
	1,000	Saul Centers, Inc.		46,400
	1,600	Urstadt Biddle Properties, Inc.		23,504
	7,900	Weingarten Realty Investors		253,669
		Total Shopping Centers		2,530,219
		Storage — 6.6%
	5,000	Extra Space Storage, Inc.		75,350
	14,014	Public Storage, Inc.		1,140,179
	2,000	Sovran Self Storage		77,100
		Total Storage		1,292,629
		Triple Net — 3.0%
	2,400	Entertainment Properties Trust		112,488
	3,000	Getty Realty Corp.		80,580
	5,500	Lexington Corporate Properties Trust		79,585
	5,800	National Retail Properties, Inc.		120,060
	8,300	Realty Income Corp.		190,983
		Total Triple Net		583,696
		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $22,194,803)		18,713,131
		TOTAL REAL ESTATE INVESTMENTS (COST $22,194,803)		18,713,131

See accompanying notes to the financial statements.

5

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.1%
	402,845	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $402,870 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 11.25%, maturity date of 02/15/15 and a market value, including accrued interest, of $416,599.		402,845
	400,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		397,171
		TOTAL SHORT-TERM INVESTMENTS (COST $799,542)		800,016
		TOTAL INVESTMENTS — 100.2% (Cost $22,994,345)		19,513,147
		Other Assets and Liabilities (net) — (0.2%)		(47,862	)
		TOTAL NET ASSETS — 100.0%	$	19,465,285

Notes to Schedule of Investments:

*  Non-income producing security.

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

See accompanying notes to the financial statements.

6

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $22,994,345) (Note 2)	$	19,513,147
Dividends and interest receivable		16,812
Receivable for expenses reimbursed by Manager (Note 3)		4,234
Total assets		19,534,193
Liabilities:
Payable for Fund shares repurchased		10,000
Payable to affiliate for (Note 3):
Management fee		5,509
Shareholder service fee		2,504
Trustees and Chief Compliance Officer of GMO Trust fees		36
Accrued expenses		50,859
Total liabilities		68,908
Net assets	$	19,465,285
Net assets consist of:
Paid-in capital	$	22,558,084
Accumulated undistributed net investment income		319,064
Accumulated net realized gain		69,335
Net unrealized depreciation		(3,481,198	)
	$	19,465,285
Net assets attributable to:
Class III shares	$	19,465,285
Shares outstanding:
Class III		2,480,396
Net asset value per share:
Class III	$	7.85

See accompanying notes to the financial statements.

7

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	1,179,711
Interest		38,242
Securities lending income		5,635
Total investment income		1,223,588
Expenses:
Management fee (Note 3)		94,838
Shareholder service fee – Class III (Note 3)		43,108
Custodian, fund accounting agent and transfer agent fees		12,951
Audit and tax fees		48,025
Legal fees		833
Trustees fees and related expenses (Note 3)		253
Registration fees		552
Miscellaneous		988
Total expenses		201,548
Fees and expenses reimbursed by Manager (Note 3)		(63,305	)
Net expenses		138,243
Net investment income (loss)		1,085,345
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		2,263,639
Change in net unrealized appreciation (depreciation) on investments		(11,549,632	)
Net realized and unrealized gain (loss)		(9,285,993	)
Net increase (decrease) in net assets resulting from operations	$	(8,200,648	)

See accompanying notes to the financial statements.

8

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,085,345		$	1,167,931
Net realized gain (loss)		2,263,639			4,112,753
Change in net unrealized appreciation (depreciation)		(11,549,632	)		4,229,092
Net increase (decrease) in net assets from operations		(8,200,648	)		9,509,776
Distributions to shareholders from:
Net investment income
Class III		(360,012	)		(888,285	)
Net realized gains
Class III		(5,263,497	)		(7,162,158	)
		(5,623,509	)		(8,050,443	)
Net share transactions (Note 7):
Class III		(4,360,814	)		(5,200,133	)
Total increase (decrease) in net assets		(18,184,971	)		(3,740,800	)
Net assets:
Beginning of period		37,650,256			41,391,056
End of period (including accumulated undistributed net investment income of $319,064 and $0, respectively)	$	19,465,285		$	37,650,256

See accompanying notes to the financial statements.

9

GMO Real Estate Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	12.87		$	12.27		$	14.54		$	14.65		$	10.49
Income (loss) from investment operations:
Net investment income (loss)†		0.40			0.38			0.61			0.59			0.58
Net realized and unrealized gain (loss)		(3.29	)		2.72			3.24			1.55			4.01
Total from investment operations		(2.89	)		3.10			3.85			2.14			4.59
Less distributions to shareholders:
From net investment income		(0.14	)		(0.31	)		(0.40	)		(0.87	)		(0.43	)
From net realized gains		(1.99	)		(2.19	)		(5.72	)		(1.38	)		—
Total distributions		(2.13	)		(2.50	)		(6.12	)		(2.25	)		(0.43	)
Net asset value, end of period	$	7.85		$	12.87		$	12.27		$	14.54		$	14.65
Total Return(a)		(24.04	)%		29.76	%		28.89	%		16.01	%		44.56	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	19,465		$	37,650		$	41,391		$	235,837		$	191,458
Net expenses to average daily net assets		0.48	%		0.48	%		0.48	%		0.48	%		0.52	%
Net investment income to average daily net assets		3.78	%		3.24	%		3.91	%		4.13	%		4.61	%
Portfolio turnover rate		49	%		43	%		52	%		134	%		56	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.22	%		0.28	%		0.25	%		0.25	%		0.24	%

†  Calculated using average shares outstanding throughout the period.

(a)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

See accompanying notes to the financial statements.

10

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Real Estate 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the MSCIU.S. REIT Index. The Fund typically makes equity investments in U.S. companies that issue stocks included in the MSCI U.S. REIT Index, and companies with similar characteristics.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Futures contracts

The Fund may purchase and sell futures contracts. 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

11

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

12

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to adjustments related to real estate investment trust holdings, losses on wash sales transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Gain		Paid-in Capital
$	(406,269	)	$	406,269	$	—

13

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	725,652	$	6,640,595
Long-term capital gains		4,897,857		1,409,848
Total distributions	$	5,623,509	$	8,050,443

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	339,820
Undistributed long-term capital gain	$	291,656

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $98,433.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	23,138,989	$	205,304	$	(3,831,146	)	$	(3,625,842	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Distributions paid by real estate investment trusts ("REITs") in excess of their income are recorded as reductions of the cost of the related investments which increases/decreases the realized gains/losses as applicable. If the Fund no longer owns the applicable securities, any distributions received in excess of income are recorded as realized gains. Dividends representing a return of capital are reflected as a reduction of cost, when the amount of the

14

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in REITs rather than a more diversified portfolio of investments. Since the Fund's investments are concentrated in real-estate related securities, the value of its shares can be expected to change in light of factors affecting the real estate industry, including local or regional economic conditions, changes in zoning laws, changes in real estate value and property taxes, and changes in interest rates. The value of the Fund's shares may fluctuate more widely than the value of shares of a portfolio that invests in a broader range of industries.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value

15

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.33% of the Funds' 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 29, 2008 was $253 and $43, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $13,776,123 and $21,956,147, 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;

16

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 shareholders and related parties

As of February 29, 2008, 86.25% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.51% of the Fund's shares were held by six related parties comprised of certain GMO employee accounts, and 71.94% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		12,826		$	100,698			84,697		$	914,263
Shares issued to shareholders in reinvestment of distributions		514,775			4,830,216			644,533			7,044,489
Shares repurchased		(973,250	)		(9,291,728	)		(1,176,570	)		(13,158,885	)
Net increase (decrease)		(445,649	)	$	(4,360,814	)		(447,340	)	$	(5,200,133	)

17

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Real Estate 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 Real Estate Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

18

GMO Real Estate Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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	$	879.50	$	2.24
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.48	$	2.41

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

19

GMO Real Estate Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $4,897,857 from long-term capital gains.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $365,640 or if determined to be different, the qualified short-term capital gains of such year.

20

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

21

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

22

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

23

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

24

GMO Taiwan Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Taiwan Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Taiwan Fund returned +7.0% for the fiscal year ended February 29, 2008, as compared to +12.5% for the MSCI Taiwan Index. The Fund was invested substantially in emerging markets equities tied economically to Taiwan.

Performance was helped by an overweight in the Materials sector and by an underweight in the Information Technology sector. Stock selection in the Consumer Discretionary sector added to performance while stock selection in the Information Technology and Materials sectors detracted from 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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .15% on the purchase and .45% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO Taiwan Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.0	%
Short-Term Investments		2.1
Other		0.9
		100.0	%
Industry Sector Summary	% of Equity Investments
Information Technology		47.6	%
Materials		21.8
Financials		13.8
Telecommunication Services		9.0
Industrials		5.0
Consumer Discretionary		1.7
Consumer Staples		0.6
Energy		0.5
		100.0	%

1

GMO Taiwan Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 97.0%
		Taiwan — 97.0%
	6,337	Altek Corp		8,570
	9,000	Arima Computer Corp *		1,598
	1,886,452	Asustek Computer Inc		5,208,017
	4,862,000	AU Optronics Corp		9,273,720
	1,862,000	Cathay Financial Holding Co Ltd		4,665,311
	4,978,280	Chi Mei Optoelectronics Corp		6,548,012
	5,710,000	China Bills Finance Corp *		1,349,492
	8,094,153	China Development Financial Holding Corp		3,314,401
	4,530	China Motor Corp		3,391
	5,481,290	China Steel Corp		8,098,515
	6,409,000	Chinatrust Financial Holding Co Ltd *		5,729,706
	7,000	Chunghwa Picture Tubes Ltd *		2,343
	5,104,620	Chunghwa Telecom Co Ltd		12,691,755
	5,405	Chungwa Telecom Co Ltd ADR		132,639
	2,702,375	Compal Electronics Inc		2,435,599
	5,700	Continental Engineering Corp		3,877
	378,000	Delta Electronics Inc		1,075,129
	270,302	DFI Inc		631,527
	1,149,173	Dimerco Express Taiwan Corp		1,462,016
	824,728	D-Link Corp		1,310,257
	6,570	Elite Semiconductor Memory Technology Inc		10,678
	1,182,840	Far Eastern Department Stores Ltd		2,163,149
	3,673,025	Far Eastern Textile Co Ltd		5,984,233
	1,799,000	Far Eastone Telecommunications Co Ltd		2,512,106
	2,422,000	First Financial Holding Co Ltd		2,162,235
	3,334,169	Formosa Chemicals & Fibre Co		8,102,586
	366,077	Formosa Petrochemical Corp		1,012,942
	2,884,424	Formosa Plastics Corp		7,775,498
	444,000	Foxconn Technology Co Ltd		2,896,581
	3,442,000	Fubon Financial Holding Co Ltd		3,745,996
	2,000	Gigabyte Technology Co Ltd		1,248
	667,700	Gloria Material Technology Corp		1,000,097

See accompanying notes to the financial statements.

2

GMO Taiwan Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	2,262,000	Hannstar Display Corp *		972,993
	424,965	High Tech Computer Corp		8,772,856
	3,349,553	Hon Hai Precision Industry Co Ltd		19,983,835
	147,000	Hotai Motor Company Ltd		415,182
	379,620	Innolux Display Corp		1,047,506
	25,093	Kinpo Electronics		8,328
	1,300,555	Les Enphants Co Ltd		937,237
	1,550,052	Lite-On Technology Corp		2,117,422
	771,789	MediaTek Inc		8,656,010
	2,345,000	Mega Financial Holdings Co Ltd		1,674,489
	5,000	Mercuries & Associates Ltd		3,481
	1,038	Micro-Star International Co Ltd		826
	810	Mosel Vitelic Inc		614
	4,481,000	Nan Ya Plastics Corp		10,552,983
	1,000	Nien Hsing Textile Co Ltd		644
	559,000	Novatek Microelectronics Corp Ltd		1,967,018
	8,931	Oriental Union Chemical		8,686
	17,000	Prodisc Technology Inc *		2,795
	170	Promos Technologies Inc		44
	10,000	Qisda Corp *		9,319
	2,631	Quanta Computer Inc		3,449
	218,150	Richtek Technology Corp		1,924,936
	14,802	Sampo Corp *		3,174
	2,521	Shinkong Synthetic Fibers *		966
	2,088,738	Siliconware Precision Industries Co		3,403,815
	197	Sino American Silicon Products Inc		1,293
	2,670	Systex Corp		2,727
	5,689,889	Taiwan Cement Corp		10,122,720
	265,000	Taiwan Fertilizer Co Ltd		1,033,599
	2,250,539	Taiwan Mobile Co Ltd		3,812,718
	9,021,471	Taiwan Semiconductor Manufacturing Co Ltd		17,623,837
	85,118	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		829,049
	3,108	Transcend Information Inc		8,590
	7,607	Tsann Kuen Enterprises Co Ltd *		10,101

See accompanying notes to the financial statements.

3

GMO Taiwan Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Taiwan — continued
	2,192	TXC Corp		3,227
	766,000	U-Ming Marine Transport Co		2,106,097
	748,900	Unimicron Technology Corp		1,130,031
	985,000	Uni-President Enterprises Corp		1,414,035
	16,000	USI Corp		9,836
	1,320,209	Wan Hai Lines Ltd		1,121,121
	4,209,620	Waterland Financial Holdings		1,608,752
	1,193,000	Wintek Corp		1,164,637
	1,677,000	Wistron Corp		2,769,342
	2,968,195	Ya Hsin Industrial Co Ltd * (a) (b)		960
	13,379	Yang Ming Marine Transport		8,824
	2,938	Yieh Phui Enterprise		1,341
	5,898,000	Yuanta Financial Holding Co Ltd *		5,170,761
	2,000	Yungtay Engineering Co Ltd		1,593
		Total Taiwan		213,737,023
		TOTAL COMMON STOCKS (COST $203,515,061)		213,737,023
		SHORT-TERM INVESTMENTS — 2.1%
	4,700,000	HSBC Bank USA Time Deposit, 2.94%, due 03/03/08		4,700,000
		TOTAL SHORT-TERM INVESTMENTS (COST $4,700,000)		4,700,000
		TOTAL INVESTMENTS — 99.1% (Cost $208,215,061)		218,437,023
		Other Assets and Liabilities (net) — 0.9%		1,922,107
		TOTAL NET ASSETS — 100.0%	$	220,359,130

See accompanying notes to the financial statements.

4

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

ADR - American Depositary Receipt

*  Non-income producing security.

(a)  Bankrupt issuer.

(b)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

As of February 29, 2008, 91.01% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

5

GMO Taiwan Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $208,215,061) (Note 2)	$	218,437,023
Cash		248
Foreign currency, at value (cost $2,298,253) (Note 2)		2,326,164
Receivable for investments sold		104,056
Interest receivable		384
Total assets		220,867,875
Liabilities:
Payable to affiliate for (Note 3):
Management fee		132,415
Shareholder service fee		24,522
Trustees and Chief Compliance Officer of GMO Trust fees		210
Accrued expenses		351,598
Total liabilities		508,745
Net assets	$	220,359,130
Net assets consist of:
Paid-in capital	$	203,790,228
Distributions in excess of net investment income		(134,693	)
Accumulated net realized gain		6,453,722
Net unrealized appreciation		10,249,873
	$	220,359,130
Net assets attributable to:
Class III shares	$	220,359,130
Shares outstanding:
Class III		9,828,062
Net asset value per share:
Class III	$	22.42

See accompanying notes to the financial statements.

6

GMO Taiwan Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $2,259,275)	$	9,326,615
Interest		333,620
Total investment income		9,660,235
Expenses:
Management fee (Note 3)		2,395,136
Shareholder service fee – Class III (Note 3)		443,544
Custodian and fund accounting agent fees		840,211
Transfer agent fees		27,392
Audit and tax fees		77,416
Legal fees		6,405
Trustees fees and related expenses (Note 3)		8,940
Miscellaneous		4,147
Total expenses		3,803,191
Expense reductions (Note 2)		(2,835	)
Net expenses		3,800,356
Net investment income (loss)		5,859,879
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		59,378,007
Net increase from payments by affiliates (Note 3)		56,687
Foreign currency, forward contracts and foreign currency related transactions		85,844
Net realized gain (loss)		59,520,538
Change in net unrealized appreciation (depreciation) on:
Investments		(38,964,287	)
Foreign currency, forward contracts and foreign currency related transactions		27,906
Net unrealized gain (loss)		(38,936,381	)
Net realized and unrealized gain (loss)		20,584,157
Net increase (decrease) in net assets resulting from operations	$	26,444,036

See accompanying notes to the financial statements.

7

GMO Taiwan Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,859,879		$	4,701,705
Net realized gain (loss)		59,520,538			34,885,028
Change in net unrealized appreciation (depreciation)		(38,936,381	)		9,642,412
Net increase (decrease) in net assets from operations		26,444,036			49,229,145
Distributions to shareholders from:
Net investment income
Class III		(6,074,310	)		(4,289,930	)
Net realized gains
Class III		(75,886,885	)		(18,170,015	)
		(81,961,195	)		(22,459,945	)
Net share transactions (Note 7):
Class III		(41,624,038	)		(1,464,219	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		613,631			331,242
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(41,010,407	)		(1,132,977	)
Total increase (decrease) in net assets		(96,527,566	)		25,636,223
Net assets:
Beginning of period		316,886,696			291,250,473
End of period (including distributions in excess of net investment income of $134,693 and $6,677, respectively)	$	220,359,130		$	316,886,696

See accompanying notes to the financial statements.

8

GMO Taiwan Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	30.98		$	28.34		$	26.79		$	29.67		$	20.28
Income (loss) from investment operations:
Net investment income (loss)†		0.61			0.46			0.52			0.13			(0.10	)
Net realized and unrealized gain (loss)		1.50			4.32			1.91			(1.45	)		10.03
Total from investment operations		2.11			4.78			2.43			(1.32	)		9.93
Less distributions to shareholders:
From net investment income		(0.85	)		(0.39	)		(0.59	)		—			(0.02	)
From net realized gains		(9.82	)		(1.75	)		(0.29	)		(1.56	)		(0.52	)
Total distributions		(10.67	)		(2.14	)		(0.88	)		(1.56	)		(0.54	)
Net asset value, end of period	$	22.42		$	30.98		$	28.34		$	26.79		$	29.67
Total Return(a)		6.97	%(b)		17.12	%		9.13	%		(3.82	)%		49.53	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	220,359		$	316,887		$	291,250		$	224,466		$	181,313
Net expenses to average daily net assets		1.29	%(c)		1.26	%		1.28	%		1.34	%		1.36	%
Net investment income to average daily net assets		1.98	%		1.56	%		1.95	%		0.53	%		(0.40	)%
Portfolio turnover rate		94	%		41	%		31	%		88	%		86	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.06		$	0.03		$	0.04		$	0.05		$	0.04

(a)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholders and assumes the effect of reinvested distributions.

(b)  The effect of losses in the amount of $56,687, resulting from compliance violations and the Manager's reimbursement of such losses, had no effect on the total return.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

9

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Taiwan 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the MSCI Taiwan Index. The Fund typically makes equity investments in companies doing business in, or otherwise tied economically to, Taiwan.

Shares of the Fund are not publicly offered and are principally available to other GMO funds and certain accredited investors.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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

10

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

before the close of the NYSE. As a result, foreign equity securities are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. 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

11

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

12

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

13

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 is currently subject to a Taiwanese security transaction tax of 0.3% of the transaction amount on equities, which must be paid by the Fund upon the sale or transfer of any portfolio securities subject to such tax.

14

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, losses on wash sale transactions and foreign currency transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	86,415	$	(86,415	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	16,985,992	$	6,696,114
Long-term capital gains		64,975,203		15,763,831
Total distributions	$	81,961,195	$	22,459,945

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 7,921,022

15

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	209,817,054	$	24,439,181	$	(15,819,212	)	$	8,619,969

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Taiwanese companies typically declare dividends in the Fund's third calendar quarter of each year. As a result, the Fund receives substantially more dividend income in the first half of its fiscal year.

Dividend and interest income generated in Taiwan is subject to a 20% withholding tax. Stock dividends received (except those which have resulted from capitalization of capital surplus) are taxable at 20% of the par value of the stock dividends received.

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases of Fund shares was 0.15% of the amount invested. In the case of cash redemptions, the fee was 0.45% of the amount redeemed. If the Manager

16

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

Investments in emerging countries, such as Taiwan, present certain risks that are not inherent in many other securities. Many emerging countries present elements of political and/or economic instability. The securities markets of emerging countries are generally smaller and less developed than the securities markets of the U.S. and developed foreign markets. Further, countries may impose various types of foreign currency regulations or controls which may impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities in anticipation of improving conditions in the related countries. These factors may result in significant volatility in the values of its holdings. The Taiwanese markets are relatively illiquid. Accordingly, the Fund may not be able to realize in an actual sale amounts approximating those used to value its holdings. The Fund may concentrate investments in the securities of a small number of issuers. As a result, the value of the Fund's shares can be expected to change in light of factors affecting those issuers and may fluctuate more widely than the value of shares of a portfolio that invests in a broader range of securities.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain subject to examination by

17

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.81% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for class III shares.

The Fund's portion of the fees paid by the Trust to the independent Trustees and the Chief Compliance Officer ("CCO") during the year ended February 29, 2008 was $8,480 and $1,114, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

The Manager compensated the Fund $56,687 in connection with a purchase of securities in excess of amounts permitted under the Fund's investment restrictions.

4.  Purchases and sales of securities

Cost of purchase and proceeds from sales of securities, excluding short-term investments, for the year ended February 29, 2008 aggregated $267,938,877 and $381,850,473, 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.

18

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 98.32% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties, and all of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		294,310		$	9,579,509			1,278,137		$	38,531,217
Shares issued to shareholders in reinvestment of distributions		3,387,026			81,961,194			735,687			22,459,945
Shares repurchased		(4,083,581	)		(133,164,741	)		(2,060,006	)		(62,455,381	)
Purchase premiums		—			14,390			—			55,783
Redemption fees		—			599,241			—			275,459
Net increase (decrease)		(402,245	)	$	(41,010,407	)		(46,182	)	$	(1,132,977	)

19

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Taiwan 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 Taiwan Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

20

GMO Taiwan Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		1.32	%	$	1,000.00	$	916.10	$	6.29
2) Hypothetical		1.32	%	$	1,000.00	$	1,018.30	$	6.62

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

21

GMO Taiwan Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $64,975,203 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $2,259,103 and recognized foreign source income of $11,585,890.

The Fund hereby designates as qualified short-term capital gain with respect to its taxable year ended February 29, 2008, $11,002,380 or if determined to be different, the qualified short-term gain of such year.

22

GMO Taiwan Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 12% of distributions to shareholders declared from net investment income during the Fund's fiscal year were reclassified to distributions from net realized gains and are reflected as such in the Statement of Changes in Net Assets.

23

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 Office1 and 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/oGMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/26/1944	Chairman of theBoard of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business2; Vice Chair (since2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

24

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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/oGMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/oGMO 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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

25

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

26

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

27

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Emerging Markets Opportunities Fund (formerly GMO Emerging Markets Quality Fund) returned +26.7% for the fiscal year ended February 29, 2008, as compared to +32.9% for the S&P/IFC Investable Composite Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in emerging markets equities.

Country selection detracted 1.0% from performance during the period. The Fund did not invest in the smallest countries in the index like Egypt, Morocco, and Peru. Consequently, the Fund slightly overweighted the largest countries in the index. Peru and Egypt outperformed the benchmark. Overweights in Korea and Taiwan detracted from performance, while an overweight in Brazil contributed to performance.

Stock selection detracted 5.2% from performance. Quality was the only driver of stock selection. Stock selection added to performance in Brazil where quality fared well, while it detracted from performance in India, Indonesia, South Korea, Mexico, and South Africa, where quality underperformed.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and 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. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect oftaxes on distributions and redemptions. All information is unaudited. Performance for Class VI will vary due to different fees.

†  The S&P/IFC Investable Composite Index + represents the GMO Asia 7 Index prior to 9/22/04 and the S&P/IFC Investable Composite Index thereafter.

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		87.9	%
Preferred Stocks		9.9
Rights and Warrants		0.0
Short-Term Investments		1.9
Other		0.3
		100.0	%
Country Summary	% of Equity Investments
China		15.4	%
Brazil		15.2
South Korea		14.1
Taiwan		11.7
Russia		11.0
India		9.0
South Africa		6.2
Mexico		5.1
Malaysia		2.6
Israel		2.6
Poland		1.7
Indonesia		1.4
Chile		1.3
Thailand		1.0
Philippines		0.5
Argentina		0.5
Hungary		0.5
Czech Republic		0.2
		100.0	%

1

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Information Technology		19.7	%
Energy		18.4
Financials		16.3
Telecommunication Services		15.8
Materials		12.7
Consumer Staples		5.6
Industrials		4.2
Consumer Discretionary		4.0
Health Care		2.3
Utilities		1.0
		100.0	%

2

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 87.9%
		Argentina — 0.5%
	125,000	Tenaris SA ADR		5,556,250
		Brazil — 5.1%
	401,700	Companhia Vale do Rio Doce		13,933,961
	93,420	Companhia Vale do Rio Doce ADR		3,254,753
	657,900	Petroleo Brasileiro SA (Petrobras)		38,008,888
		Total Brazil		55,197,602
		Chile — 1.3%
	43,235	Banco de Chile ADR		2,445,804
	82,906	Banco Santander Chile SA ADR		4,291,215
	82,300	Compania Cervecerias Unidas ADR		2,734,006
	336,000	Lan Airlines SA Sponsored ADR		4,495,680
		Total Chile		13,966,705
		China — 15.1%
	806,420	Angang Steel Co Ltd Class H		2,109,607
	21,078,000	China Construction Bank Class H		15,970,012
	430,000	China Mengniu Dairy Co Ltd		1,159,850
	1,334,171	China Merchants Holdings International Co Ltd		7,161,364
	3,450,200	China Mobile Ltd		51,660,330
	2,708,000	China Petroleum & Chemical Corp Class H		2,959,579
	746,000	China Resources Enterprise Ltd		2,648,423
	944,000	China Shenhua Energy Co Ltd Class H		4,808,367
	2,906,000	China Shipping Container Lines Co Ltd Class H		1,288,659
	1,022,000	China Shipping Development Co Ltd Class H		3,161,012
	3,514,000	China Telecom Corp Ltd Class H		2,587,958
	4,196,000	CNOOC Ltd		6,968,510
	1,606,000	Cosco Pacific Ltd		3,463,964
	2,800,000	Datang International Power Generation Co Ltd		1,878,493
	9,268,592	Denway Motors Ltd		4,684,979

See accompanying notes to the financial statements.

3

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — continued
	2,778,000	Dongfeng Motor Group Co Ltd		1,693,940
	404,000	Guangzhou R&F Properties Co Ltd Class H		1,224,253
	3,644,000	Huaneng Power International Inc Class H		2,977,465
	12,828,000	Industrial and Commercial Bank of China Ltd Class H		8,899,463
	108,000	Netease.Com Inc ADR * (a)		2,316,600
	12,322,842	PetroChina Co Ltd Class H		18,037,912
	399,000	Ping An Insurance (Group) Co of China Ltd Class H		3,022,018
	98,470	Sina.com *		4,077,643
	56,000	Sohu.Com, Inc. *		2,524,480
	80,200	Suntech Power Holdings Co Ltd ADR *		2,981,034
	1,357,600	Yanzhou Coal Mining Co Ltd Class H		2,214,752
	1,670,000	Zhejiang Expressway Co Ltd Class H		1,639,653
		Total China		164,120,320
		Czech Republic — 0.1%
	22,300	CEZ AS		1,643,200
		Hungary — 0.4%
	120,760	OTP Bank Nyrt		4,879,595
		India — 8.8%
	229,350	Bharti Airtel Ltd *		4,674,747
	285,500	Cipla Ltd		1,461,044
	105,000	GAIL India Ltd		1,093,031
	10,400	GAIL India Ltd GDR		655,200
	78,140	HDFC Bank Ltd		2,798,972
	86,850	Hero Honda Motors Ltd		1,631,090
	1,164,770	Hindustan Lever		6,544,078
	189,906	Housing Development Finance Corp Ltd		13,059,923
	99,700	ICICI Bank Ltd		2,657,213
	633,800	Infosys Technologies Ltd		24,194,672
	1,322,390	ITC Ltd		6,601,487
	23,700	Larsen & Toubro Ltd		2,056,653
	191,970	Oil & Natural Gas Corp Ltd		4,800,668

See accompanying notes to the financial statements.

4

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		India — continued
	61,500	Reliance Industries Ltd		3,749,454
	474,400	Satyam Computer Services Ltd		5,103,785
	389,660	Steel Authority of India Ltd		2,434,557
	244,000	Suzlon Energy Ltd		1,693,556
	267,780	Tata Consultancy Services Ltd		5,807,835
	81,758	Tata Motors Ltd		1,409,357
	345,300	Wipro Ltd		3,721,615
		Total India		96,148,937
		Indonesia — 1.3%
	1,316,585	Astra International Tbk PT		3,950,421
	2,043,500	Bank Rakyat Indonesia		1,586,345
	7,312,000	Telekomunikasi Indonesia Tbk PT		7,740,171
	25,200	Telekomunikasi Indonesia Tbk PT ADR		1,075,032
		Total Indonesia		14,351,969
		Israel — 2.5%
	190,100	Check Point Software Technologies Ltd *		4,166,992
	56,900	Teva Pharmaceutical Industries Ltd		2,778,640
	415,600	Teva Pharmaceutical Industries Ltd Sponsored ADR		20,393,492
		Total Israel		27,339,124
		Malaysia — 2.6%
	103,000	British American Tobacco Berhad		1,379,504
	370,100	Digi.com Berhad		2,750,499
	1,915,000	Genting Berhad		4,050,904
	1,942,750	IOI Corp Berhad		4,832,032
	1,590,500	Malayan Banking Berhad		4,489,596
	917,400	MISC Berhad (Foreign Registered)		2,510,652
	555,500	Public Bank Berhad		1,814,726
	2,928,000	Resorts World Berhad		3,386,471
	281,400	Tanjong Plc		1,398,033
	1,821,024	YTL Power International Berhad		1,434,131
		Total Malaysia		28,046,548

See accompanying notes to the financial statements.

5

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Mexico — 5.0%
	106,600	America Movil SA de CV Class L ADR		6,445,036
	1,005,705	America Movil SAB de CV Class L		3,040,591
	1,820,273	Cemex SA de CV CPO *		4,996,828
	507,900	Corporacion GEO SA de CV Series B *		1,621,866
	924,000	Fomento Economico Mexicano SA de CV		3,701,176
	1,157,000	Grupo Financiero Banorte SA de CV		4,807,330
	487,400	Grupo Mexico SA Class B		3,390,411
	356,000	Grupo Modelo SA de CV Class C		1,628,426
	282,100	Grupo Televisa SA-Series CPO		1,246,929
	372,900	Telefonos de Mexico SA de CV Sponsored ADR Class L		12,380,280
	3,036,379	Wal-Mart de Mexico SA de CV Class V		11,068,183
		Total Mexico		54,327,056
		Philippines — 0.5%
	79,500	Philippine Long Distance Telephone Co		5,609,392
		Poland — 1.6%
	57,300	Bank Pekao SA		4,298,332
	332,650	Powszechna Kasa Oszczednosci Bank Polski SA		5,963,319
	27,460	Prokom Software SA		1,456,811
	635,800	Telekomunikacja Polska SA		5,922,978
		Total Poland		17,641,440
		Russia — 10.7%
	227,000	JSC Mining & Smelting Co ADR		6,628,400
	461,503	Lukoil Sponsored ADR		34,151,222
	262,330	Mobile Telesystems Sponsored ADR		21,526,800
	304,950	OAO Gazprom Sponsored GDR		15,491,460
	553,000	OAO Rosneft Oil Co GDR		4,523,540
	5,910,000	Sberbank RF		19,680,300
	58,300	Sistema JSFC Sponsored GDR		2,081,473
	375,500	Vimpel-Communications Sponsored ADR		13,041,115
		Total Russia		117,124,310

See accompanying notes to the financial statements.

6

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Africa — 6.1%
	197,300	Absa Group Ltd		2,792,722
	289,000	African Bank Investments Ltd		1,138,512
	18,000	Anglo American Platinum Corp		2,821,515
	99,800	Barloworld Ltd		1,201,722
	192,100	Bidvest Group Ltd		2,832,785
	3,381,504	FirstRand Ltd		8,002,653
	445,600	Impala Platinum Holdings Ltd		18,439,264
	116,367	Imperial Holdings Ltd		1,177,174
	247,300	JD Group Ltd		1,333,099
	238,600	MTN Group Ltd		3,736,306
	58,500	Naspers Ltd Class N		1,107,206
	250,379	Pretoria Portland Cement Co Ltd		1,359,501
	68,300	Sasol Ltd		3,492,998
	867,668	Standard Bank Group Ltd		10,828,811
	754,500	Steinhoff International Holdings Ltd		1,732,895
	82,200	Telkom South Africa Ltd		1,465,755
	102,176	Tiger Brands Ltd		1,818,662
	703,700	Woolworths Holdings		1,113,020
		Total South Africa		66,394,600
		South Korea — 13.8%
	59,900	Doosan Infracore Co Ltd		1,864,330
	83,700	Hana Financial Group Inc		3,714,019
	54,300	Hynix Semiconductor Inc *		1,396,344
	36,300	Hyundai Engineering & Construction		3,264,792
	74,800	Hyundai Mobis		5,741,573
	48,660	Hyundai Motor Co		3,411,900
	97,600	KIA Motors Corp *		998,077
	28,490	Kookmin Bank		1,755,827
	116,100	KT Corp ADR *		2,820,069
	84,700	KT Freetel Co Ltd *		2,209,023
	130,600	KT&G Corp		10,775,338
	47,300	LG Chemicals Ltd		3,953,368

See accompanying notes to the financial statements.

7

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	19,560	LG Electronics Inc		2,106,681
	34,300	NCSoft Corp *		1,637,247
	35,400	NHN Corp *		7,856,567
	45,350	POSCO		24,943,543
	85,833	Samsung Electronics Co Ltd		50,312,923
	45,600	Samsung Techwin Co Ltd		2,328,425
	82,460	Shinhan Financial Group Co Ltd		4,442,022
	12,500	Shinsegae Co Ltd		7,761,534
	6,800	SK Telecom Co Ltd		1,382,217
	240,010	SK Telecom Co Ltd ADR		5,376,224
		Total South Korea		150,052,043
		Taiwan — 11.5%
	1,181,711	Acer Inc		2,143,994
	2,187,238	Asustek Computer Inc		6,038,411
	1,516,000	Cathay Financial Holding Co Ltd		3,798,395
	3,239,189	China Steel Corp		4,785,848
	1,627,000	Chinatrust Financial Holding Co Ltd *		1,454,553
	3,308,400	Chunghwa Telecom Co Ltd		8,225,764
	5,610	Chungwa Telecom Co Ltd ADR		137,669
	2,088,500	Compal Electronics Inc		1,882,325
	728,417	Delta Electronics Inc		2,071,805
	1,657,167	Formosa Chemicals & Fibre Co		4,027,192
	504,582	Formosa Petrochemical Corp		1,396,188
	1,242,869	Formosa Plastics Corp		3,350,383
	261,855	Foxconn Technology Co Ltd		1,708,297
	244,200	High Tech Computer Corp		5,041,195
	4,229,685	Hon Hai Precision Industry Co Ltd		25,234,808
	814,578	Lite-On Technology Corp		1,112,740
	922,593	MediaTek Inc		10,347,354
	1,616,444	Nan Ya Plastics Corp		3,806,808
	422,636	Novatek Microelectronics Corp Ltd		1,487,178
	2,146,547	Quanta Computer Inc		2,814,014

See accompanying notes to the financial statements.

8

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	870,250	Taiwan Mobile Co Ltd		1,474,321
	16,716,625	Taiwan Semiconductor Manufacturing Co Ltd		32,656,656
		Total Taiwan		124,995,898
		Thailand — 1.0%
	959,000	Advanced Info Service Pcl (Foreign Registered) (b)		3,158,152
	290,400	PTT Exploration & Production Pcl (Foreign Registered) (b)		1,461,697
	431,611	PTT Pcl (Foreign Registered) (b)		4,615,756
	48,000	Siam Cement Pcl (Foreign Registered) (b)		326,229
	149,000	Siam Cement Pcl NVDR (b)		1,012,669
		Total Thailand		10,574,503
		TOTAL COMMON STOCKS (COST $667,651,290)		957,969,492
		PREFERRED STOCKS — 9.9%
		Brazil — 9.7%
	202,248	Banco Bradesco SA 0.32%		6,314,644
	808,100	Banco Itau Holding Financeira SA 2.81%		20,356,608
	846,248	Companhia Vale do Rio Doce Class A 0.05%		24,950,580
	158,400	Gerdau SA 2.11%		5,176,030
	746,708	Itausa-Investimentos Itau SA 0.11%		4,746,680
	918,000	Petroleo Brasileiro SA (Petrobras) 0.43%		44,214,476
		Total Brazil		105,759,018
		South Korea — 0.2%
	6,200	Samsung Electronics Co Ltd (Non Voting) 3.69%		2,661,539
		TOTAL PREFERRED STOCKS (COST $52,230,638)		108,420,557

See accompanying notes to the financial statements.

9

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	2,795	Banco Bradesco SA Rights, Expires 02/22/08 * (c)		7,355
		Thailand — 0.0%
	480,663	True Corp Pcl Warrants, Expires 04/03/08 * (b)		—
		TOTAL RIGHTS AND WARRANTS (COST $8,704)		7,355
		SHORT-TERM INVESTMENTS — 1.9%
	2,000,000	ABN Amro Bank Time Deposit, 3.10%, due 03/03/08		2,000,000
	2,000,000	Bank of America Time Deposit, 3.05%, due 03/03/08		2,000,000
	2,193,000	Bank of New York Mellon Institutional Cash Reserves Fund (d)		2,193,000
	2,000,000	Barclays Plc Time Deposit, 3.12%, due 03/03/08		2,000,000
	8,500,000	HSBC Bank USA Time Deposit, 2.94%, due 03/03/08		8,500,000
	2,000,000	Rabobank Time Deposit, 3.00%, due 03/03/08		2,000,000
	2,000,000	Royal Bank of Scotland Time Deposit, 3.10%, due 03/03/08		2,000,000
		TOTAL SHORT-TERM INVESTMENTS (COST $20,693,000)		20,693,000
		TOTAL INVESTMENTS — 99.7% (Cost $740,583,632)		1,087,090,404
		Other Assets and Liabilities (net) — 0.3%		3,181,426
		TOTAL NET ASSETS — 100.0%	$	1,090,271,830

See accompanying notes to the financial statements.

10

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

ADR - American Depositary Receipt

CPO - Ordinary Participation Certificate (Certificado de Participacion Ordinares), representing a bundle of shares of the multiple series of one issuer that trade together as a unit.

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

(a)  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).

(c)  As of February 29, 2008, these rights have been exercised but shares have not yet been credited to the Fund.

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

As of February 29, 2008, 62.73% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

11

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)

Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $2,187,900 (cost $740,583,632) (Note 2)	$	1,087,090,404
Cash		65,764
Foreign currency, at value (cost $1,372,479) (Note 2)		1,375,952
Receivable for investments sold		2,267,516
Receivable for Fund shares sold		1,799
Dividends and interest receivable		3,130,418
Receivable for expenses reimbursed by Manager (Note 3)		17,574
Total assets		1,093,949,427
Liabilities:
Collateral on securities loaned, at value (Note 2)		2,193,000
Payable for investments purchased		390,373
Payable for Fund shares repurchased		17,594
Payable to affiliate for (Note 3):
Management fee		342,936
Shareholder service fee		73,718
Trustees and Chief Compliance Officer of GMO Trust fees		1,331
Accrued expenses		658,645
Total liabilities		3,677,597
Net assets	$	1,090,271,830
Net assets consist of:
Paid-in capital	$	723,501,169
Distributions in excess of net investment income		(5,213,113	)
Accumulated net realized gain		25,423,921
Net unrealized appreciation		346,559,853
	$	1,090,271,830
Net assets attributable to:
Class III shares	$	353,477,530
Class VI shares	$	736,794,300
Shares outstanding:
Class III		26,617,368
Class VI		55,344,281
Net asset value per share:
Class III	$	13.28
Class VI	$	13.31

See accompanying notes to the financial statements.

12

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)

Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $2,269,127)	$	20,727,736
Interest		1,172,978
Securities lending income		12,365
Total investment income		21,913,079
Expenses:
Management fee (Note 3)		4,107,482
Shareholder service fee – Class III (Note 3)		524,043
Shareholder service fee – Class VI (Note 3)		372,630
Custodian and fund accounting agent fees		1,580,264
Transfer agent fees		41,970
Audit and tax fees		80,235
Legal fees		28,830
Trustees fees and related expenses (Note 3)		9,893
Registration fees		4,310
Miscellaneous		16,127
Total expenses		6,765,784
Fees and expenses reimbursed by Manager (Note 3)		(149,229	)
Net expenses		6,616,555
Net investment income (loss)		15,296,524
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $17,811) (Note 2)		70,821,732
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $6,711) (Note 2)		146,647
Net realized gain (loss)		70,968,379
Change in net unrealized appreciation (depreciation) on:
Investments (net of change in foreign capital gains tax accrual of $2,039,078) (Note 2)		138,085,305
Foreign currency, forward contracts and foreign currency related transactions		56,076
Net unrealized gain (loss)		138,141,381
Net realized and unrealized gain (loss)		209,109,760
Net increase (decrease) in net assets resulting from operations	$	224,406,284

See accompanying notes to the financial statements.

13

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,296,524		$	12,620,530
Net realized gain (loss)		70,968,379			45,066,930
Change in net unrealized appreciation (depreciation)		138,141,381			60,935,011
Net increase (decrease) in net assets from operations		224,406,284			118,622,471
Distributions to shareholders from:
Net investment income
Class III		(6,966,010	)		(4,399,199	)
Class VI		(14,556,021	)		(8,242,433	)
Total distributions from net investment income		(21,522,031	)		(12,641,632	)
Net realized gains
Class III		(23,553,007	)		(13,817,514	)
Class VI		(44,940,537	)		(24,802,423	)
Total distributions from net realized gains		(68,493,544	)		(38,619,937	)
		(90,015,575	)		(51,261,569	)
Net share transactions (Note 7):
Class III		11,905,376			70,136,125
Class VI		111,032,810			104,030,228
Increase (decrease) in net assets resulting from net share transactions		122,938,186			174,166,353
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		758,901			434,472
Class VI		416,207			409,974
Increase in net assets resulting from purchase premiums and redemption fees		1,175,108			844,446
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		124,113,294			175,010,799
Total increase (decrease) in net assets		258,504,003			242,371,701
Net assets:
Beginning of period		831,767,827			589,396,126
End of period (including distributions in excess of net investment income of $5,213,113 and accumulated undistributed   net investment income of $1,046,001, respectively)	$	1,090,271,830		$	831,767,827

See accompanying notes to the financial statements.

14

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Financial Highlights
(For a Class III share outstanding throughout each period)

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	11.36		$	10.38		$	7.71		$	13.77		$	7.25
Income (loss) from investment operations:
Net investment income (loss)		0.20	†		0.18	†		0.15	†		0.17	†		0.23
Net realized and unrealized gain (loss)		2.89			1.57			2.67			0.19			6.35
Total from investment operations		3.09			1.75			2.82			0.36			6.58
Less distributions to shareholders:
From net investment income		(0.27	)		(0.18	)		(0.11	)		(0.52	)		(0.06	)
From net realized gains		(0.90	)		(0.59	)		(0.04	)		(5.90	)		—
Total distributions		(1.17	)		(0.77	)		(0.15	)		(6.42	)		(0.06	)
Net asset value, end of period	$	13.28		$	11.36		$	10.38		$	7.71		$	13.77
Total Return(a)		26.68	%		17.27	%		36.86	%		16.19	%		91.04	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	353,478		$	292,123		$	197,026		$	82,153		$	141,614
Net expenses to average daily net assets		0.71	%		0.70	%		0.73	%		1.22	%		1.25	%
Net investment income to average daily net assets		1.46	%		1.70	%		1.71	%		1.84	%		1.76	%
Portfolio turnover rate		17	%		17	%		18	%		141	%		39	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.04	%		0.11	%		0.07	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.03		$	0.02		$	0.04		$	0.06		$	0.02

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

15

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Financial Highlights
(For a Class VI share outstanding throughout each period)

	Year Ended February 28/29,
	2008			2007			2006			2005(a)
Net asset value, beginning of period	$	11.38		$	10.39		$	7.72		$	6.52
Income (loss) from investment operations:
Net investment income (loss)†		0.20			0.20			0.15			0.03
Net realized and unrealized gain (loss)		2.91			1.57			2.67			1.44
Total from investment operations		3.11			1.77			2.82			1.47
Less distributions to shareholders:
From net investment income		(0.28	)		(0.19	)		(0.11	)		(0.01	)
From net realized gains		(0.90	)		(0.59	)		(0.04	)		(0.26	)
Total distributions		(1.18	)		(0.78	)		(0.15	)		(0.27	)
Net asset value, end of period	$	13.31		$	11.38		$	10.39		$	7.72
Total Return(b)		26.83	%		17.45	%		36.92	%		23.05	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	736,794		$	539,645		$	392,370		$	103,152
Net expenses to average daily net assets		0.61	%		0.61	%		0.64	%		0.71	%*
Net investment income to average daily net assets		1.50	%		1.82	%		1.66	%		0.99	%*
Portfolio turnover rate		17	%		17	%		18	%		141	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.04	%		0.16	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.01		$	0.03		$	0.04

(a)  Period from September 23, 2004 (commencement of operations) through February 28, 2005.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2005.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

16

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Emerging Markets Opportunities Fund (formerly GMO Emerging Markets Quality 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming its benchmark, the S&P/IFCI (Investable) Composite Index. The Fund typically makes equity investments in companies whose stocks are traded in the securities markets of the world's non-developed markets, which excludes countries that are included in the MSCI EAFE Index.

For the year ended February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different level of shareholder service fees.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. Because many foreign equity securities markets and

17

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. There were no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. 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

18

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

19

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

20

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $2,187,900, collateralized by cash in the amount of $2,193,000, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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. The Fund did not have a deferred tax liability in respect of unrealized appreciation on foreign securities for potential capital gains and repatriation taxes as of February 29, 2008. The accrual for capital gains and repatriation taxes is included in net unrealized gain (loss) in the Statement of Operations.

21

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

For the year ended February 29, 2008, the Fund incurred $17,811 in capital gain taxes which is included in net realized gain (loss) in the Statement of Operations.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. For the year ended February 29, 2008, the Fund incurred $6,711 in CPMF tax which is included in the net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

The Fund is currently subject to a Taiwanese security transaction tax of 0.30% of the transaction amount on equities and 0.10% of the transaction amount on mutual fund shares, which must be paid by the Fund upon the sale or transfer of any portfolio securities subject to such tax.

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

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income			Accumulated Net Realized Gain			Paid-in Capital
$	(33,607	)	$	(23,671	)	$	57,278

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	31,121,979	$	16,533,932
Long-term capital gains		58,893,596		34,727,637
Total distributions	$	90,015,575	$	51,261,569

22

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	999,240
Undistributed long-term capital gain	$	25,461,490

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	746,833,554	$	354,189,961	$	(13,933,111	)	$	340,256,850

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

23

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash 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. These fees are allocated relative to each class's net assets on the share transaction date. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

Investments in securities of issuers in emerging countries present certain risks that are not inherent in many other investments. Many emerging countries present elements of political and/or economic instability. The securities markets of emerging countries are generally smaller and less developed than the securities markets of the U.S. and developed foreign markets. Further, countries may impose various types of foreign currency regulations or controls which may impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities in anticipation of improving conditions in the related countries. These factors may result in significant volatility in the values of its holdings. The markets in emerging countries are typically less liquid than those of developed markets. Accordingly, the Fund may not be able to realize in an actual sale amounts approximating those used to value its holdings.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

24

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, custodial fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.40% of the 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 29, 2008 was $8,605 and $4,537, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $219,074,542 and $166,010,304, 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

25

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Notes to Financial Statements — (Continued)
February 29, 2008

no assurance that material liabilities related to such obligations will not arise in the future that could adversely impact the Fund.

6.  Principal shareholders and related parties

As of February 29, 2008, 45.76% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.09% of the Fund's shares were held by six related parties comprised of certain GMO employee accounts, and 97.85% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		5,544,644		$	72,929,163			6,699,064		$	70,948,543
Shares issued to shareholders in reinvestment of distributions		2,089,807			29,583,608			1,632,202			17,790,965
Shares repurchased		(6,737,464	)		(90,607,395	)		(1,601,291	)		(18,603,383	)
Purchase premiums		—			355,991			—			355,893
Redemption fees		—			402,910			—			78,579
Net increase (decrease)		896,987		$	12,664,277			6,729,975		$	70,570,597
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		5,543,984		$	74,667,359			7,184,647		$	76,812,535
Shares issued to shareholders in reinvestment of distributions		4,182,085			59,496,558			3,025,802			33,044,856
Shares repurchased		(1,790,190	)		(23,131,107	)		(551,552	)		(5,827,163	)
Purchase premiums		—			317,281			—			381,811
Redemption fees		—			98,926			—			28,163
Net increase (decrease)		7,935,879		$	111,449,017			9,658,897		$	104,440,202

26

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Emerging Markets Opportunities Fund
(formerly GMO Emerging Markets Quality 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 Emerging Markets Opportunities Fund (formerly GMO Emerging Markets Quality Fund) (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

27

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)
Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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		0.73	%	$	1,000.00	$	1,048.80	$	3.72
2) Hypothetical		0.73	%	$	1,000.00	$	1,021.23	$	3.67
Class VI
1) Actual		0.63	%	$	1,000.00	$	1,049.50	$	3.21
2) Hypothetical		0.63	%	$	1,000.00	$	1,021.73	$	3.17

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

28

GMO Emerging Markets Opportunities Fund

(formerly GMO Emerging Markets Quality Fund)
(A Series of GMO Trust)

Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $58,893,596 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $2,269,127 and recognized foreign source income of $22,996,863.

For taxable, non-corporate shareholders, 32.28% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $101,807 and $9,599,947, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

29

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

30

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

31

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

32

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

33

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Intrinsic Value 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 Intrinsic Value Fund returned -1.1% for the fiscal year ended February 29, 2008, as compared to +0.8% for the MSCI EAFE Index and +1.1% for the S&P/Citigroup PMI EPAC Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Stock selection had the biggest negative impact on relative performance. Holdings in British bank Royal Bank of Scotland, British pharmaceutical GlaxoSmithKline, and Japanese auto maker Honda Motor were the most significant detractors. On the positive side were holdings in Australian mining company Rio Tinto, Dutch bank ABN AMRO, and French steel maker ArcelorMittal, all of which outperformed strongly.

Country allocation had minimal impact on relative performance. Overweights to Germany and the Netherlands helped, while an overweight to Belgium hurt. In addition, not holding Korea, which GMO classifies as an emerging market but S&P/Citigroup considers developed, reduced returns against the value index.

Currency allocation had a positive impact as our underweight to the British pound and overweight to the Canadian dollar added value. The U.S. dollar weakened relative to most foreign currencies which boosted returns for U.S. investors. The MSCI EAFE Index returned 10% more in U.S. dollar terms than in local currency.

Sector exposures had a positive impact. Our underweight to Financials and overweight to Energy helped while our underweight to Consumer Staples hurt.

Among GMO's international quantitative stock selection disciplines, momentum did better than valuation, but all underperformed. Stocks favored for their strong momentum characteristics missed slightly relative to EAFE, while those highly ranked by intrinsic value or by quality-adjusted value lagged by a wider margin.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Classes II, IV and M will vary due to different fees.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.8	%
Short-Term Investments		3.8
Preferred Stocks		0.4
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Futures		(0.8	)
Other		1.5
		100.0	%
Country Summary	% of Equity Investments
Japan		22.4	%
United Kingdom		22.4
France		12.7
Germany		7.5
Australia		5.1
Switzerland		4.3
Finland		4.3
Italy		4.1
Netherlands		3.6
Canada		2.5
Spain		2.4
Hong Kong		2.0
Singapore		1.9
Belgium		1.5
Sweden		1.4
Norway		0.8
Ireland		0.6
Austria		0.2
Denmark		0.2
Greece		0.1
		100.0	%

1

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		20.9	%
Energy		15.7
Health Care		11.9
Consumer Discretionary		10.8
Materials		9.3
Telecommunication Services		9.2
Industrials		7.9
Information Technology		5.5
Utilities		4.5
Consumer Staples		4.3
		100.0	%

2

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 94.8%
		Australia — 4.9%
	1,127,380	Australia and New Zealand Banking Group Ltd		22,749,877
	1,856,798	BHP Billiton Ltd		67,184,149
	1,690,912	BlueScope Steel Ltd		16,914,481
	315,009	Commonwealth Bank of Australia		12,198,371
	162,800	Macquarie Group Ltd		8,130,296
	4,232,474	Mirvac Group Ltd		15,002,995
	2,414,840	Qantas Airways Ltd		9,391,847
	297,833	QBE Insurance Group Ltd		6,160,307
	368,880	Santos Ltd		4,372,453
	5,732,648	Stockland		37,099,239
	2,571,958	Suncorp-Metway Ltd		32,993,563
	242,694	TABCORP Holdings Ltd		3,421,315
	6,732,990	Telstra Corp Ltd		30,267,354
	1,352,222	Westpac Banking Corp		28,922,227
	847,188	Woodside Petroleum Ltd		44,300,761
	254,630	Woolworths Ltd		6,800,446
	788,833	Zinifex Ltd		7,936,685
		Total Australia		353,846,366
		Austria — 0.2%
	204,281	OMV AG		14,760,320
		Belgium — 1.4%
	60,387	Belgacom SA		2,892,055
	23,323	Colruyt SA		5,698,923
	40,503	Delhaize Group		3,067,392
	1,798,600	Dexia		42,285,214
	2,132,999	Fortis		47,123,115
	28,241	Solvay SA		3,549,077
		Total Belgium		104,615,776

See accompanying notes to the financial statements.

3

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Canada — 2.4%
	131,200	Bank of Montreal		6,624,984
	322,611	BCE Inc		11,691,678
	402,800	Canadian Imperial Bank of Commerce		27,333,515
	229,300	Canadian Natural Resources		17,183,813
	56,700	Canadian Pacific Railway Ltd		4,121,227
	447,000	EnCana Corp		34,075,093
	147,600	Magna International Inc Class A		10,824,250
	530,300	National Bank of Canada		26,174,218
	344,000	Sun Life Financial Inc		16,479,147
	190,500	Suncor Energy Inc		19,645,161
		Total Canada		174,153,086
		Denmark — 0.2%
	332,800	Danske Bank A/S (a)		12,712,361
		Finland — 4.1%
	329,570	Neste Oil Oyj		11,531,360
	5,936,592	Nokia Oyj		213,287,663
	348,479	Outokumpu Oyj		13,217,461
	510,317	Rautaruukki Oyj		22,250,003
	1,110,219	Sampo Oyj Class A		30,131,645
	38,955	Stockmann Oyj AB Class A		1,830,144
	21,113	Wartsila Oyj Class A		1,633,816
	66,708	Wartsila Oyj Class B		4,559,927
		Total Finland		298,442,019
		France — 12.0%
	999,657	Arcelor Mittal (a)		75,902,407
	826,470	BNP Paribas		73,886,341
	17,258	Bongrain SA		1,902,158
	100,462	Bouygues		6,861,575
	118,326	Casino Guichard-Perrachon SA		13,383,521
	189,857	Cie de Saint-Gobain		14,841,957
	301,329	Credit Agricole SA		8,173,485
	90,739	Essilor International SA		5,387,876

See accompanying notes to the financial statements.

4

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — continued
	1,103,013	France Telecom SA		37,027,076
	3,655	Fromageries Bel		957,724
	51,142	Hermes International		5,985,347
	82,853	L'Oreal SA		9,832,316
	56,145	Michelin SA Class B		5,529,737
	703,581	Peugeot SA		53,485,690
	289,154	Renault SA		30,895,089
	2,682,871	Sanofi-Aventis		198,298,108
	266,693	Societe Generale		28,535,941
	66,673	Societe Generale NV (New Shares) *		7,326,276
	3,957,451	Total SA		298,012,030
		Total France		876,224,654
		Germany — 6.8%
	758	Aareal Bank AG		25,780
	271,462	Adidas AG		17,229,956
	107,805	Allianz SE (Registered)		18,584,851
	518,023	BASF AG		66,242,500
	163,521	Bayer AG		12,584,482
	522,346	Bayerische Motoren Werke AG		28,781,920
	697,207	Daimler AG (Registered)		58,059,017
	150,896	Deutsche Bank AG (Registered)		16,740,681
	325,823	E.ON AG		61,344,586
	58,487	Linde AG		7,774,569
	106,469	MAN AG		14,043,397
	196,304	Muenchener Rueckversicherungs AG (Registered)		34,539,558
	181,683	RWE AG		21,995,512
	171,703	Salzgitter AG		30,096,438
	617,306	SAP AG		29,152,145
	574,649	ThyssenKrupp AG		33,046,553
	186,022	Volkswagen AG		42,356,227
		Total Germany		492,598,172
		Greece — 0.1%
	148,497	Alpha Bank A.E.		4,504,621

See accompanying notes to the financial statements.

5

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Hong Kong — 1.9%
	290,000	Cheung Kong Holdings Ltd		4,331,843
	5,688,098	CLP Holdings Ltd		44,464,577
	535,200	Esprit Holdings Ltd		6,725,872
	171,000	Guoco Group		1,940,789
	542,700	Hang Seng Bank Ltd		10,272,320
	1,094,000	Henderson Land Development Co Ltd		8,493,589
	1,636,000	Hong Kong & China Gas		4,764,107
	290,700	Hong Kong Aircraft Engineering Co Ltd		6,424,390
	4,471,969	Hong Kong Electric Holdings Ltd		25,325,794
	564,700	Hong Kong Ferry Co Ltd		543,146
	1,302,000	Sino Land		3,253,335
	947,000	Sun Hung Kai Properties Ltd		16,502,856
	2,664,400	Yue Yuen Industrial Holdings		7,885,204
		Total Hong Kong		140,927,822
		Ireland — 0.6%
	580,741	Bank of Ireland		8,169,387
	906,394	CRH Plc		33,686,610
		Total Ireland		41,855,997
		Italy — 3.9%
	1,152,750	AEM SPA		4,663,351
	275,283	Banco Popolare Scarl *		5,205,330
	1,142,358	Enel SPA		12,326,503
	6,766,600	ENI SPA		233,659,039
	141,901	Fiat SPA - Di RISP		2,371,464
	174,411	Fondiaria - Sai SPA - Di RISP		5,308,298
	291,136	Italcementi SPA - Di RISP		4,427,704
	197,819	Luxottica Group SPA		5,449,677
	690,888	Mediaset SPA		6,239,318
	97,300	Natuzzi SPA ADR *		374,605
	779,886	Snam Rete Gas SPA		5,423,238
		Total Italy		285,448,527

See accompanying notes to the financial statements.

6

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — 21.3%
	437,470	Acom Co Ltd		12,653,727
	310,800	Aiful Corp		5,530,682
	371,000	Aisin Seiki Co Ltd		14,777,812
	478,900	Asahi Breweries		8,951,598
	1,144,000	Asahi Kasei Corp		6,295,823
	2,015,000	Cosmo Oil Co Ltd		6,658,498
	397,780	Daiichi Sankyo Co Ltd		12,344,505
	503,000	Dainippon Ink and Chemicals Inc		1,829,861
	320,500	Denso Corp		11,964,759
	314,000	Eisai Co Ltd		11,324,228
	71,700	FamilyMart Co Ltd		2,112,813
	118,800	Fanuc Ltd		11,075,586
	81,100	Fast Retailing Co Ltd		5,991,053
	3,223,000	Fuji Heavy Industries Ltd		14,060,262
	873,000	Fujitsu Ltd		6,211,498
	1,779,000	Hitachi Ltd		12,890,318
	453,000	Hokkaido Electric Power		10,144,161
	3,944,000	Honda Motor Co Ltd		120,391,900
	580,600	Hoya Corp		14,731,527
	2,074,000	Isuzu Motors Ltd		9,444,456
	5,760,000	Itochu Corp		60,654,857
	532,600	JFE Holdings Inc		23,731,473
	1,069,000	Kao Corp		32,912,181
	3,525,000	Kawasaki Kisen Kaisha Ltd		35,757,652
	24,700	Keyence Corp		5,763,275
	280,000	Konami Corp		9,271,587
	642,000	Konica Minolta Holdings Inc		9,095,311
	529,000	Kurray Co Ltd		6,310,319
	804,800	Kyushu Electric Power Co Inc		20,277,589
	5,062,000	Marubeni Corp		38,324,924
	527,000	Matsushita Electric Industrial Co Ltd		11,099,358
	1,408,000	Mazda Motor Corp		5,737,059
	965,500	Mitsubishi Chemical Holdings		6,530,590
	2,550,900	Mitsubishi Corp		77,829,189

See accompanying notes to the financial statements.

7

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	1,837,000	Mitsubishi Electric Corp		16,825,919
	389,000	Mitsubishi Gas Chemical Co Inc		2,884,740
	2,589,000	Mitsui & Co		56,304,106
	2,032,000	Mitsui OSK Lines Ltd		26,391,379
	3,486,000	Mitsui Trust Holding Inc		24,030,512
	108,200	Murata Manufacturing Co Ltd		5,870,709
	27,400	Nintendo Co Ltd		13,642,342
	2,671,500	Nippon Mining Holdings Inc		15,822,897
	5,246,000	Nippon Oil Corp		35,786,496
	926,000	Nippon Sheet Glass		4,329,575
	2,702,000	Nippon Steel Corp		14,215,763
	10,823	Nippon Telegraph & Telephone Corp		47,196,220
	3,433,000	Nippon Yusen KK		31,722,397
	8,056,100	Nissan Motor Co		72,448,285
	87,700	Nitto Denko Corp		4,269,949
	34,830	NTT Docomo Inc		51,028,390
	177,000	Olympus Corp		5,182,846
	163,700	Ono Pharmaceutical Co Ltd		8,264,602
	8,812,000	Osaka Gas Co Ltd		35,356,816
	361,050	Promise Co Ltd		12,071,161
	25,578	Resona Holdings Inc		41,372,778
	1,454,000	Ricoh Company Ltd		23,351,430
	59,500	Rohm Co Ltd		4,339,665
	68,500	Sankyo Co Ltd Gunma		3,660,515
	41,048	SBI Holdings Inc		10,053,004
	941,900	Sega Sammy Holdings Inc		10,392,114
	1,829,500	Seven & I Holdings Co Ltd		45,491,010
	610,200	Shin-Etsu Chemical Co Ltd		32,930,286
	1,070,000	Shinko Securities Co Ltd		3,672,221
	1,054,000	Showa Shell Sekiyu KK		10,693,078
	5,790,200	Sojitz Corp		21,704,728
	204,400	Sony Corp		9,656,513
	457,100	SUMCO Corp		10,108,131
	920,000	Sumitomo Chemical Co Ltd		6,368,542

See accompanying notes to the financial statements.

8

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	1,916,100	Sumitomo Corp		27,555,814
	598,400	Sumitomo Electric Industries Ltd		8,855,132
	197,800	Suzuki Motor Corp		5,342,552
	504,000	Taisho Pharmaceutical Co Ltd		10,270,697
	837,200	Takeda Pharmaceutical Co Ltd		46,714,947
	913,510	Takefuji Corp		23,073,480
	159,500	TDK Corp		11,337,701
	80,700	Terumo Corp		4,381,795
	172,900	Tokyo Electric Power Co Inc		4,442,159
	2,833,000	Tokyo Gas Co Ltd		12,708,204
	896,000	TonenGeneral Sekiyu KK		8,506,147
	848,000	Tosoh Corp		3,032,857
	200	Toyota Industries Corp		7,570
	137,400	Toyota Tsusho Kaisha		3,488,093
	1,263,000	Ube Industries Ltd		3,881,807
	894	West Japan Railway Co		4,090,033
	15,344	Yahoo Japan Corp		6,821,998
	89,000	Yamato Kogyo Co		3,745,288
		Total Japan		1,548,375,824
		Netherlands — 3.4%
	4,238,988	Aegon NV		63,307,154
	11,644	Gamma Holdings NV		775,480
	442,871	Heineken NV		24,978,140
	4,080,278	ING Groep NV		135,594,559
	256,990	Koninklijke DSM		11,309,221
	429,906	Reed Elsevier NV		7,986,818
	150,599	TNT NV		5,930,962
		Total Netherlands		249,882,334
		Norway — 0.8%
	938,100	DnB NOR ASA		13,722,142
	1,202,600	StatoilHydro ASA		36,644,792
	121,400	Yara International ASA		6,778,535
		Total Norway		57,145,469

See accompanying notes to the financial statements.

9

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Singapore — 1.8%
	2,384,000	Neptune Orient Lines Ltd		5,209,798
	3,387,000	Oversea-Chinese Banking Corp		18,271,201
	3,258,100	Sembcorp Industries Ltd		10,954,774
	4,795,000	SembCorp Marine Ltd		12,280,205
	848,000	Singapore Exchange Ltd		4,934,194
	4,145,000	Singapore Press Holdings Ltd		12,916,092
	17,953,000	Singapore Telecommunications		48,575,678
	893,201	Straits Trading Co Ltd		4,302,912
	1,133,000	United Overseas Bank Ltd		14,365,764
		Total Singapore		131,810,618
		Spain — 2.3%
	118,893	Gas Natural SDG SA		7,204,157
	1,039,192	Iberdrola SA		15,008,809
	245,536	Inditex SA		12,658,275
	1,669,334	Repsol YPF SA		57,586,379
	2,496,488	Telefonica SA		72,239,741
		Total Spain		164,697,361
		Sweden — 1.3%
	387,125	Hennes & Mauritz AB Class B		21,713,116
	1,404,200	Investor AB		29,702,243
	572,600	SKF AB Class B		10,531,110
	493,800	Svenska Handelsbanken AB Class A		13,756,696
	237,300	Swedbank AB		6,413,712
	291,500	Tele2 AB Class B		5,123,627
	716,500	TeliaSonera AB		5,708,156
	408,700	Volvo AB Class A		6,039,866
		Total Sweden		98,988,526
		Switzerland — 4.1%
	255,426	CIE Financiere Richemont SA Class A		14,786,288
	127,868	Nestle SA (Registered)		61,029,906
	2,830,947	Novartis AG (Registered)		139,828,372

See accompanying notes to the financial statements.

10

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Switzerland — continued
	28,365	Swatch Group AG		8,325,836
	358,963	Swiss Reinsurance Co (Registered)		28,772,143
	33,591	Synthes Inc		4,707,493
	136,229	Zurich Financial Services AG		42,586,704
		Total Switzerland		300,036,742
		United Kingdom — 21.3%
	1,932,712	3i Group Plc		31,236,240
	835,467	Alliance & Leicester Plc		9,265,931
	571,310	Antofagasta Plc		9,105,726
	1,644,004	AstraZeneca Plc		61,448,602
	1,934,426	Aviva Plc		23,316,498
	3,692,702	Barclays Plc		34,609,180
	2,134,998	BG Group Plc		50,324,002
	474,654	BHP Billiton Plc		15,184,236
	452,836	British American Tobacco Plc		16,979,913
	692,866	Cadbury Schweppes Plc		7,712,468
	249,251	Capita Group Plc		3,229,634
	857,388	Diageo Plc		17,520,571
	401,044	FirstGroup Plc		4,578,637
	14,306,808	GlaxoSmithKline Plc		312,296,718
	3,943,691	HBOS Plc		46,862,708
	2,998,337	Home Retail Group		15,315,834
	400,379	International Power Plc		3,007,982
	4,451,832	Kingfisher Plc		11,491,855
	137,170	London Stock Exchange		3,678,437
	504,514	Next Plc		12,795,439
	6,401,411	Old Mutual Plc		15,812,137
	196,978	Reckitt Benckiser Group Plc		10,625,240
	581,886	Reed Elsevier Plc		7,323,603
	723,713	Rio Tinto Plc		81,423,188
	19,768,853	Royal Bank of Scotland Group		149,462,938
	1,344,333	Royal Dutch Shell Group Class A (Amsterdam)		48,072,767
	3,163,617	Royal Dutch Shell Plc A Shares (London)		113,119,456

See accompanying notes to the financial statements.

11

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	719,788	Royal Dutch Shell Plc B Shares (London)		25,251,577
	814,502	Sage Group Plc		3,175,249
	343,931	Scottish & Southern Energy Plc		10,056,760
	463,122	Smith & Nephew Plc		6,017,400
	2,881,273	Taylor Woodrow Plc		9,749,500
	1,418,284	Tesco Plc		11,207,704
	706,644	Unilever Plc		22,263,715
	764,160	United Utilities Plc		10,463,764
	98,343,721	Vodafone Group Inc		316,609,586
	591,770	Wolseley Plc		7,241,518
	127,799	Xstrata Plc		9,969,650
		Total United Kingdom		1,547,806,363
		TOTAL COMMON STOCKS (COST $6,493,177,392)		6,898,832,958
		PREFERRED STOCKS — 0.4%
		Germany — 0.4%
	9,049	Villeroy & Boch AG (Non Voting) 4.37%		130,262
	200,958	Volkswagen AG 2.02%		28,001,103
		Total Germany		28,131,365
		Italy — 0.0%
	67,260	Fiat SPA 3.57%		1,135,788
		TOTAL PREFERRED STOCKS (COST $7,676,890)		29,267,153
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	1	Societe Generale Rights, Expires 02/29/08 * (b)		9
		TOTAL RIGHTS AND WARRANTS (COST $7)		9

See accompanying notes to the financial statements.

12

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.8%
	21,714,791	Bank of New York Mellon Institutional Cash Reserves Fund (c)		21,714,791
	251,100,000	ING Bank Time Deposit, 3.13%, due 03/03/08		251,100,000
		TOTAL SHORT-TERM INVESTMENTS (COST $272,814,791)		272,814,791
		TOTAL INVESTMENTS — 99.0% (Cost $6,773,669,080)		7,200,914,911
		Other Assets and Liabilities (net) — 1.0%		75,048,280
		TOTAL NET ASSETS — 100.0%	$	7,275,963,191

See accompanying notes to the financial statements.

13

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

	Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
	5/23/08	CAD		13,782,806	$	13,980,951	$	349,657
	5/23/08	CAD		14,200,467		14,404,616		384,628
	5/23/08	CAD		13,782,806		13,980,951		370,320
	5/23/08	CHF		92,224,989		88,588,717		4,228,620
	5/23/08	CHF		92,224,989		88,588,717		4,265,567
	5/23/08	CHF		92,224,989		88,588,717		4,237,879
	5/23/08	CHF		92,224,989		88,588,717		4,310,029
	5/23/08	CHF		92,224,989		88,588,717		4,204,305
	5/23/08	CHF		92,224,989		88,588,717		4,111,165
	5/23/08	CHF		92,224,989		88,588,717		4,078,652
	5/23/08	JPY		9,056,555,018		87,584,411		2,673,270
	5/23/08	JPY		5,279,470,018		51,056,861		1,650,452
	5/23/08	JPY		5,279,470,018		51,056,861		1,764,391
	5/23/08	JPY		5,279,470,018		51,056,861		1,792,265
	5/23/08	JPY		5,279,470,018		51,056,861		1,752,284
	5/23/08	JPY		5,279,470,018		51,056,861		1,621,769
	5/23/08	JPY		5,279,470,018		51,056,861		1,640,741
	5/23/08	NZD		24,638,081		19,440,883		(28,128	)
	5/23/08	NZD		26,177,961		20,655,938		13,045
	5/23/08	NZD		26,177,961		20,655,938		12,784
	5/23/08	NZD		26,177,961		20,655,938		15,401
	5/23/08	NZD		24,638,081		19,440,883		58,351
	5/23/08	NZD		26,177,961		20,655,938		(19,572	)
	5/23/08	SEK		327,172,145		52,860,430		1,341,315
	5/23/08	SEK		327,172,145		52,860,430		1,299,907
	5/23/08	SEK		327,172,145		52,860,430		1,250,228
	5/23/08	SEK		327,172,145		52,860,430		1,272,371
	5/23/08	SEK		327,172,145		52,860,430		1,294,217
	5/23/08	SEK		327,172,145		52,860,430		1,249,560
	5/23/08	SEK		327,172,145		52,860,430		1,261,167
	5/23/08	SGD		34,468,502		24,793,767		262,772
	5/23/08	SGD		34,468,502		24,793,767		295,724

See accompanying notes to the financial statements.

14

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

	Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
	5/23/08	SGD		34,468,502	$	24,793,767	$	281,089
	5/23/08	SGD		34,468,502		24,793,767		299,363
	5/23/08	SGD		34,468,502		24,793,767		295,028
	5/23/08	SGD		34,468,502		24,793,767		270,224
	5/23/08	SGD		34,468,502		24,793,767		279,346
					$	1,721,498,011	$	54,440,186
Sales
	5/23/08	AUD		43,633,814	$	40,211,323	$	(501,498	)
	5/23/08	AUD		43,633,814		40,211,323		(452,192	)
	5/23/08	AUD		43,633,814		40,211,323		(440,454	)
	5/23/08	AUD		43,633,814		40,211,323		(478,023	)
	5/23/08	AUD		43,633,814		40,211,323		(501,672	)
	5/23/08	AUD		43,633,814		40,211,323		(483,172	)
	5/23/08	AUD		43,633,814		40,211,323		(525,060	)
	5/23/08	DKK		19,375,920		3,936,275		(115,974	)
	5/23/08	DKK		18,806,040		3,820,502		(115,463	)
	5/23/08	DKK		18,806,040		3,820,502		(113,491	)
	5/23/08	EUR		75,444,309		114,207,092		(3,743,585	)
	5/23/08	EUR		34,008,309		51,481,551		(1,512,123	)
	5/23/08	EUR		34,008,309		51,481,551		(1,519,979	)
	5/23/08	EUR		34,008,309		51,481,551		(1,513,822	)
	5/23/08	EUR		34,008,309		51,481,551		(1,509,062	)
	5/23/08	EUR		34,008,309		51,481,551		(1,505,457	)
	5/23/08	EUR		34,008,309		51,481,551		(1,525,896	)
	5/23/08	GBP		35,839,041		70,798,950		(1,263,326	)
	5/23/08	GBP		35,839,041		70,798,950		(1,335,363	)
	5/23/08	GBP		35,839,041		70,798,950		(1,331,779	)
	5/23/08	GBP		35,839,041		70,798,950		(1,334,252	)
	5/23/08	GBP		35,839,041		70,798,950		(1,289,955	)
	5/23/08	GBP		35,839,041		70,798,950		(1,280,887	)
	5/23/08	GBP		35,839,041		70,798,950		(1,315,472	)
	5/23/08	HKD		147,045,302		18,924,213		(37,112	)
	5/23/08	HKD		147,045,302		18,924,213		(39,082	)
	5/23/08	HKD		151,501,221		19,497,675		(39,516	)

See accompanying notes to the financial statements.

15

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
5/23/08	NOK		83,516,503	$	15,914,979	$	(372,612	)
5/23/08	NOK		86,047,306		16,397,251		(393,517	)
5/23/08	NOK		83,516,503		15,914,979		(382,226	)
5/23/08	NZD		21,106,667		16,654,391		(377,035	)
5/23/08	NZD		21,106,667		16,654,391		(375,875	)
5/23/08	NZD		21,106,667		16,654,391		(372,920	)
5/23/08	SEK		340,041,000		54,939,621		(2,347,814	)
				$	1,422,221,692	$	(30,445,666	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	1,344	DAX	March 2008	$	344,239,905	$	(55,798,208	)
	250	Hang Seng	March 2008		38,891,316		1,083,199
	1,374	MSCI Singapore	March 2008		73,383,755		(2,077,881	)
	46	S&P/MIB	March 2008		11,755,658		(272,029	)
				$	468,270,634	$	(57,064,919	)
Sales
	11	AEX	March 2008	$	1,494,619	$	20,970
	79	CAC 40	March 2008		5,753,826		96,750
	134	FTSE 100	March 2008		15,528,557		328,363
	670	IBEX 35	March 2008		134,316,044		217,168
	60	OMXS 30	March 2008		941,924		5,732
	295	S&P Toronto 60	March 2008		47,721,514		(496,181	)
	130	SPI 200	March 2008		16,845,219		1,691,550
	64	TOPIX Index	March 2008		8,134,758		15,400
				$	230,736,461	$	1,879,752

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

16

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

ADR - American Depositary Receipt

*  Non-income producing security.

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

(b)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

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

As of February 29, 2008, 90.71% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

17

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $20,047,211 (cost $6,773,669,080) (Note 2)	$	7,200,914,911
Foreign currency, at value (cost $5,106,940) (Note 2)		5,150,896
Receivable for investments sold		4,807,932
Receivable for Fund shares sold		30,251,029
Dividends and interest receivable		13,354,813
Foreign taxes receivable		1,783,113
Unrealized appreciation on open forward currency contracts (Note 2)		54,487,886
Receivable for collateral on open futures contracts (Note 2)		67,130,000
Receivable for expenses reimbursed by Manager (Note 3)		355,395
Total assets		7,378,235,975
Liabilities:
Due to custodian		539,869
Collateral on securities loaned, at value (Note 2)		21,714,791
Payable for investments purchased		9,618,556
Payable for Fund shares repurchased		29,323,698
Payable to affiliate for (Note 3):
Management fee		3,092,258
Shareholder service fee		686,993
Administration fee – Class M		2,929
Trustees and Chief Compliance Officer of GMO Trust fees		8,600
Payable for 12b-1 fee – Class M		7,864
Unrealized depreciation on open forward currency contracts (Note 2)		30,493,366
Payable for variation margin on open futures contracts (Note 2)		5,510,928
Accrued expenses		1,272,932
Total liabilities		102,272,784
Net assets	$	7,275,963,191

See accompanying notes to the financial statements.

18

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	6,397,543,740
Accumulated undistributed net investment income		84,019,314
Accumulated net realized gain		397,961,965
Net unrealized appreciation		396,438,172
	$	7,275,963,191
Net assets attributable to:
Class II shares	$	510,005,986
Class III shares	$	2,615,878,046
Class IV shares	$	4,131,392,501
Class M shares	$	18,686,658
Shares outstanding:
Class II		17,178,662
Class III		87,274,536
Class IV		137,900,530
Class M		631,255
Net asset value per share:
Class II	$	29.69
Class III	$	29.97
Class IV	$	29.96
Class M	$	29.60

See accompanying notes to the financial statements.

19

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $25,382,372)	$	250,679,585
Interest		14,763,179
Securities lending income		7,300,041
Total investment income		272,742,805
Expenses:
Management fee (Note 3)		44,567,395
Shareholder service fee – Class II (Note 3)		1,257,314
Shareholder service fee – Class III (Note 3)		4,290,994
Shareholder service fee – Class IV (Note 3)		4,320,913
12b-1 fee – Class M (Note 3)		50,094
Administration fee – Class M (Note 3)		40,075
Custodian and fund accounting agent fees		3,279,718
Transfer agent fees		76,623
Audit and tax fees		135,819
Legal fees		179,880
Trustees fees and related expenses (Note 3)		90,076
Registration fees		46,775
Miscellaneous		105,870
Total expenses		58,441,546
Fees and expenses reimbursed by Manager (Note 3)		(3,737,235	)
Net expenses		54,704,311
Net investment income (loss)		218,038,494
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		1,144,366,689
Closed futures contracts		69,258,238
Foreign currency, forward contracts and foreign currency related transactions		60,896,192
Net realized gain (loss)		1,274,521,119
Change in net unrealized appreciation (depreciation) on:
Investments		(1,484,624,256	)
Open futures contracts		(53,985,887	)
Foreign currency, forward contracts and foreign currency related transactions		16,186,155
Net unrealized gain (loss)		(1,522,423,988	)
Net realized and unrealized gain (loss)		(247,902,869	)
Net increase (decrease) in net assets resulting from operations	$	(29,864,375	)

See accompanying notes to the financial statements.

20

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	218,038,494		$	165,472,351
Net realized gain (loss)		1,274,521,119			597,081,731
Change in net unrealized appreciation (depreciation)		(1,522,423,988	)		585,852,751
Net increase (decrease) in net assets from operations		(29,864,375	)		1,348,406,833
Distributions to shareholders from:
Net investment income
Class II		(12,407,304	)		(8,365,929	)
Class III		(65,215,261	)		(39,875,988	)
Class IV		(109,936,051	)		(70,325,262	)
Class M		(443,458	)		(208,724	)
Total distributions from net investment income		(188,002,074	)		(118,775,903	)
Net realized gains
Class II		(69,248,911	)		(48,849,679	)
Class III		(349,607,893	)		(226,473,274	)
Class IV		(574,842,698	)		(379,033,945	)
Class M		(2,604,560	)		(1,509,855	)
Total distributions from net realized gains		(996,304,062	)		(655,866,753	)
		(1,184,306,136	)		(774,642,656	)
Net share transactions (Note 7):
Class II		29,246,584			(56,916,409	)
Class III		350,165,933			(325,585,440	)
Class IV		254,901,122			1,130,419,119
Class M		4,852,998			(14,361,930	)
Increase (decrease) in net assets resulting from net share transactions		639,166,637			733,555,340
Total increase (decrease) in net assets		(575,003,874	)		1,307,319,517
Net assets:
Beginning of period		7,850,967,065			6,543,647,548
End of period (including accumulated undistributed net investment income of $84,019,314 and distributions in excess of net investment income of $23,501,366, respectively)	$	7,275,963,191		$	7,850,967,065

See accompanying notes to the financial statements.

21

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	34.99		$	32.35		$	29.04		$	24.18		$	16.04
Income (loss) from investment operations:
Net investment income (loss)†		0.93			0.79			0.65			0.49			0.44
Net realized and unrealized gain (loss)		(0.86	)		5.60			4.45			5.07			8.31
Total from investment operations		0.07			6.39			5.10			5.56			8.75
Less distributions to shareholders:
From net investment income		(0.83	)		(0.54	)		(0.36	)		(0.66	)		(0.61	)
From net realized gains		(4.54	)		(3.21	)		(1.43	)		(0.04	)		—
Total distributions		(5.37	)		(3.75	)		(1.79	)		(0.70	)		(0.61	)
Net asset value, end of period	$	29.69		$	34.99		$	32.35		$	29.04		$	24.18
Total Return(a)		(1.11	)%		20.46	%		18.16	%		23.17	%		54.99	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	510,006		$	564,440		$	567,313		$	231,695		$	85,625
Net expenses to average daily net assets		0.76	%		0.76	%		0.76	%		0.76	%		0.76	%
Net investment income to average daily net assets		2.59	%		2.32	%		2.16	%		1.88	%		2.15	%
Portfolio turnover rate		47	%		36	%		38	%		46	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.04	%		0.06	%		0.07	%		0.09	%

†  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 and assumes the effect of reinvested distributions.

See accompanying notes to the financial statements.

22

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	35.28		$	32.59		$	29.23		$	24.32		$	16.13
Income (loss) from investment operations:
Net investment income (loss)†		0.94			0.81			0.72			0.59			0.45
Net realized and unrealized gain (loss)		(0.86	)		5.66			4.44			5.02			8.36
Total from investment operations		0.08			6.47			5.16			5.61			8.81
Less distributions to shareholders:
From net investment income		(0.85	)		(0.57	)		(0.37	)		(0.66	)		(0.62	)
From net realized gains		(4.54	)		(3.21	)		(1.43	)		(0.04	)		—
Total distributions		(5.39	)		(3.78	)		(1.80	)		(0.70	)		(0.62	)
Net asset value, end of period	$	29.97		$	35.28		$	32.59		$	29.23		$	24.32
Total Return(a)		(1.06	)%		20.54	%		18.26	%		23.28	%		55.05	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,615,878		$	2,703,050		$	2,795,610		$	1,804,485		$	1,350,850
Net expenses to average daily net assets		0.69	%		0.69	%		0.69	%		0.69	%		0.69	%
Net investment income to average daily net assets		2.61	%		2.36	%		2.39	%		2.30	%		2.22	%
Portfolio turnover rate		47	%		36	%		38	%		46	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.04	%		0.06	%		0.07	%		0.09	%

†  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 and assumes the effect of reinvested distributions.

See accompanying notes to the financial statements.

23

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	35.26		$	32.58		$	29.22		$	24.31		$	16.12
Income (loss) from investment operations:
Net investment income (loss)†		0.96			0.80			0.74			0.54			0.43
Net realized and unrealized gain (loss)		(0.85	)		5.68			4.43			5.09			8.39
Total from investment operations		0.11			6.48			5.17			5.63			8.82
Less distributions to shareholders:
From net investment income		(0.87	)		(0.59	)		(0.38	)		(0.68	)		(0.63	)
From net realized gains		(4.54	)		(3.21	)		(1.43	)		(0.04	)		—
Total distributions		(5.41	)		(3.80	)		(1.81	)		(0.72	)		(0.63	)
Net asset value, end of period	$	29.96		$	35.26		$	32.58		$	29.22		$	24.31
Total Return(a)		(0.98	)%		20.61	%		18.32	%		23.37	%		55.15	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	4,131,392		$	4,566,106		$	3,150,741		$	2,193,988		$	863,612
Net expenses to average daily net assets		0.63	%		0.63	%		0.63	%		0.63	%		0.63	%
Net investment income to average daily net assets		2.67	%		2.32	%		2.45	%		2.06	%		2.08	%
Portfolio turnover rate		47	%		36	%		38	%		46	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.04	%		0.06	%		0.07	%		0.09	%

†  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 and assumes the effect of reinvested distributions.

See accompanying notes to the financial statements.

24

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	34.93		$	32.28		$	28.98		$	24.15		$	20.92
Income (loss) from investment operations:
Net investment income (loss)†		0.79			0.68			0.61			0.44			0.01
Net realized and unrealized gain (loss)		(0.81	)		5.62			4.41			5.04			3.73
Total from investment operations		(0.02	)		6.30			5.02			5.48			3.74
Less distributions to shareholders:
From net investment income		(0.77	)		(0.44	)		(0.29	)		(0.61	)		(0.51	)
From net realized gains		(4.54	)		(3.21	)		(1.43	)		(0.04	)		—
Total distributions		(5.31	)		(3.65	)		(1.72	)		(0.65	)		(0.51	)
Net asset value, end of period	$	29.60		$	34.93		$	32.28		$	28.98		$	24.15
Total Return(b)		(1.36	)%		20.18	%		17.92	%		22.88	%		18.06	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	18,687		$	17,371		$	29,984		$	18,347		$	7,408
Net expenses to average daily net assets		0.99	%		0.99	%		0.99	%		0.99	%		0.99	%*
Net investment income to average daily net assets		2.22	%		2.00	%		2.07	%		1.72	%		0.12	%*
Portfolio turnover rate		47	%		36	%		38	%		46	%		44	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.04	%		0.06	%		0.07	%		0.09	%*

(a)  Period from October 2, 2003 (commencement of operations) to February 29, 2004.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

†  Calculated using average shares outstanding throughout the period.

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

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

25

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO International 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, 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P/Citigroup Primary Market Index ("PMI") Europe, Pacific, Asia Composite ("EPAC") Value Index. The Fund typically makes equity investments in companies from developed countries, other than the U.S.

Throughout the year ended February 29, 2008, the Fund had four classes of shares outstanding: Class II, Class III, Class IV and Class M. Class M shares bear an administration fee and a 12b-1 fee while classes II, III, and IV bear a shareholder service fee (See Note 3). The principal economic difference among the classes of shares is the type and level of fees borne by the classes.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. Because many foreign equity securities markets and exchanges close

26

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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.

27

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

28

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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

29

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $20,047,211, collateralized by cash in the amount of $21,714,791, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions, losses on wash sale transactions and passive foreign investment company transactions.

30

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	77,484,260	$	(77,430,827	)	$	(53,433	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	329,444,076	$	270,198,860
Long-term capital gains		854,862,060		504,443,796
Total distributions	$	1,184,306,136	$	774,642,656

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	115,287,672
Undistributed long-term capital gain	$	401,581,471

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	6,785,124,535	$	889,869,963	$	(474,079,587	)	$	415,790,376

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. Interest income on inflation indexed securities, if

31

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

32

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

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 average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, and 0.09% for Class IV shares.

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

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 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 Class M net assets. This fee may be spent on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding administration and distribution (12b-1) fees (Class M only), shareholder service fees (Class II, III and IV only), fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.54% of the 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 29, 2008 was $78,576 and $33,892, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

33

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 29, 2008 aggregated $3,727,509,363 and $4,033,587,834, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, there were no shareholders individually holding in excess of 10% of the Fund's outstanding shares.

As of February 29, 2008, 0.25% of the Fund's shares were held by twelve related parties comprised of certain GMO employee accounts, and 55.66% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class II:	Shares			Amount			Shares			Amount
Shares sold		2,870,488		$	104,261,777			5,095,447		$	178,165,420
Shares issued to shareholders in reinvestment of distributions		2,225,434			73,788,974			1,546,695			52,194,974
Shares repurchased		(4,046,894	)		(148,804,167	)		(8,046,545	)		(287,276,803	)
Net increase (decrease)		1,049,028		$	29,246,584			(1,404,403	)	$	(56,916,409	)

34

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		11,261,644		$	401,290,984			14,491,808		$	507,451,764
Shares issued to shareholders in reinvestment of distributions		12,081,961			403,817,120			7,640,858			259,775,124
Shares repurchased		(12,684,964	)		(454,942,171	)		(31,298,044	)		(1,092,812,328	)
Net increase (decrease)		10,658,641		$	350,165,933			(9,165,378	)	$	(325,585,440	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		25,699,917		$	891,693,160			40,351,070		$	1,405,437,963
Shares issued to shareholders in reinvestment of distributions		19,888,170			664,131,421			12,864,438			437,301,495
Shares repurchased		(37,173,406	)		(1,300,923,459	)		(20,437,344	)		(712,320,339	)
Net increase (decrease)		8,414,681		$	254,901,122			32,778,164		$	1,130,419,119
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class M:	Shares			Amount			Shares			Amount
Shares sold		245,514		$	9,021,667			154,337		$	5,220,668
Shares issued to shareholders in reinvestment of distributions		92,415			3,048,018			50,922			1,714,741
Shares repurchased		(204,043	)		(7,216,687	)		(636,857	)		(21,297,339	)
Net increase (decrease)		133,886		$	4,852,998			(431,598	)	$	(14,361,930	)

35

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International 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 International Intrinsic Value Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

36

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $35,000,000 account value divided by $1,000 = 35,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

37

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class II
1) Actual		0.76	%	$	1,000.00	$	934.60	$	3.66
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.08	$	3.82
Class III
1) Actual		0.69	%	$	1,000.00	$	934.70	$	3.32
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.43	$	3.47
Class IV
1) Actual		0.63	%	$	1,000.00	$	935.10	$	3.03
2) Hypothetical		0.63	%	$	1,000.00	$	1,021.73	$	3.17
Class M
1) Actual		0.99	%	$	1,000.00	$	933.30	$	4.76
2) Hypothetical		0.99	%	$	1,000.00	$	1,019.94	$	4.97

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

38

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $854,862,060 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $25,115,924 and recognized foreign source income of $276,061,957.

For taxable, non-corporate shareholders, 59.90% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $141,442,002 or if determined to be different, the qualified short-term gains of such year.

39

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

40

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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

41

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

42

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

43

GMO Global Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Global Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Global Bond Fund returned +6.5% for the fiscal year ended February 29, 2008, compared with the +16.5% return for the JPMorgan Global Government Bond Index. The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, primarily in the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 10%. Cash management was the primary contributor to negative performance for the fiscal year, followed by interest-rate strategy, currency selection, and emerging debt exposure losses.

More than 60% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the Fund invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, seeking to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 basis points, directly contributing to the Global Bond Fund's underperformance given the Fund's 91% exposure to these two funds.

Further Fund underperformance was attributable to interest-rate and currency strategies. For much of the fiscal year, the Fund was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Similar results came out of two other cross-sectional models implemented in swaps. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

GMO Global Bond Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight. In addition, a drastic change in the relative volatilities of the currencies in August resulted in a shifting of risk positions into less advantageous, and ultimately unprofitable, intra-European trades.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

This page has been left blank intentionally.

GMO Global Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.4	%
Short-Term Investments		8.7
Forward Currency Contracts		3.3
Futures		1.0
Swaps		0.5
Options Purchased		0.3
Loan Participations		0.1
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Written Options		(0.1	)
Reverse Repurchase Agreements		(0.6	)
Other		(0.7	)
		100.0	%
Country / Region Summary**	% of Investments
Euro Region***		32.7	%
Japan		31.6
United States		21.4
Australia		6.0
Canada		5.1
Emerging		2.5
Switzerland		2.5
Denmark		0.1
Sweden		0.1
United Kingdom		(2.0	)
		100.0	%

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

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO Global Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 1.2%
		Australia — 0.2%
		Asset-Backed Securities
USD	857,273	Medallion Trust, Series 03-1G, Class A, Variable Rate, 3 mo. LIBOR + .19%, 5.10%, due 12/21/33		830,149
		United Kingdom — 0.1%
		Asset-Backed Securities
GBP	87,102	RMAC, Series 03-NS2A Class A2A, 144A, AMBAC, Variable Rate, 3 mo. LIBOR + .40%, 7.03%, due 09/12/35		173,042
		United States — 0.9%
		U.S. Government
USD	3,000,000	U.S. Treasury Note, 2.63%, due 05/15/08 (a)		3,004,218
		TOTAL DEBT OBLIGATIONS (COST $3,995,850)		4,007,409
		MUTUAL FUNDS — 93.8%
		United States — 93.8%
		Affiliated Issuers
	982,617	GMO Emerging Country Debt Fund, Class III		9,885,128
	10,060,308	GMO Short-Duration Collateral Fund		241,749,211
	45,838	GMO Special Purpose Holding Fund (b) (c)		57,756
	2,572,687	GMO World Opportunity Overlay Fund		66,066,597
		Total United States		317,758,692
		TOTAL MUTUAL FUNDS (COST $334,255,175)		317,758,692

See accompanying notes to the financial statements.

2

GMO Global Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 0.4%
	1,298,258	State Street Institutional Liquid Reserves Fund-Institutional Class		1,298,258
		Other Short-Term Investments — 0.6%
	2,000,000	U.S. Treasury Bill, 2.05%, due 04/17/08 (a) (d)		1,994,647
		TOTAL SHORT-TERM INVESTMENTS (COST $3,292,905)		3,292,905
		TOTAL INVESTMENTS — 96.0% (Cost $341,543,930)		325,059,006
		Other Assets and Liabilities (net) — 4.0%		13,555,485
		TOTAL NET ASSETS — 100.0%	$	338,614,491

See accompanying notes to the financial statements.

3

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/04/08	AUD		7,100,000	$	6,614,005	$	334,038
3/04/08	AUD		3,200,000		2,980,960		13,104
5/06/08	AUD		5,300,000		4,897,511		(84,489	)
5/06/08	AUD		5,000,000		4,620,293		(22,307	)
3/11/08	CAD		4,900,000		4,977,692		135,009
4/01/08	CHF		28,700,000		27,562,243		1,143,803
4/15/08	EUR		98,300,000		149,038,556		6,995,055
3/25/08	GBP		6,600,000		13,096,512		75,752
3/25/08	GBP		4,500,000		8,929,440		141,220
3/25/08	GBP		1,900,000		3,770,208		684
4/22/08	JPY		10,642,500,000		102,741,304		3,814,924
4/22/08	JPY		30,000,000		289,616		10,198
4/08/08	NZD		3,000,000		2,385,910		53,410
4/08/08	NZD		3,000,000		2,385,910		(34,370	)
4/08/08	NZD		5,500,000		4,374,168		(77,422	)
				$	338,664,328	$	12,498,609
Sales
3/04/08	AUD		5,000,000	$	4,657,750	$	(295,350	)
3/04/08	AUD		5,300,000		4,937,215		85,277
3/11/08	CAD		4,100,000		4,165,008		19,220
4/01/08	CHF		22,500,000		21,608,030		(729,955	)
4/15/08	EUR		2,600,000		3,942,016		(133,224	)
4/15/08	EUR		3,000,000		4,548,481		(14,041	)
4/08/08	NZD		1,500,000		1,192,955		(16,220	)
				$	45,051,455	$	(1,084,293	)

See accompanying notes to the financial statements.

4

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
3/18/08	EUR	11,400,000	SEK	107,168,160	$	70,604
3/18/08	SEK	64,940,620	EUR	6,900,000		(55,001	)
4/29/08	EUR	9,700,000	NOK	76,503,900		(89,028	)
4/29/08	NOK	23,668,500	EUR	3,000,000		26,102
					$	(47,323	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	79	Australian Government Bond 10 Yr.	March 2008	$	7,229,306	$	10,858
	166	Australian Government Bond 3 Yr.	March 2008		15,202,588		29,972
	176	Canadian Government Bond 10 Yr.	June 2008		21,082,449		424,921
	207	Euro BOBL	March 2008		34,990,951		587,622
	392	Euro Bund	March 2008		69,664,139		1,114,873
	79	Japanese Government Bond 10 Yr. (TSE)	March 2008		105,295,312		1,488,115
	88	U.S. Long Bond (CBT)	June 2008		10,439,000		236,299
	24	U.S. Treasury Note 10 Yr.	June 2008		2,814,750		51,445
	71	U.S. Treasury Note 5 Yr. (CBT)	June 2008		8,111,750		109,112
				$	274,830,245	$	4,053,217
Sales
	20	Euro Bund	March 2008	$	3,554,293	$	(30,091	)
	370	Federal Fund 30 day	March 2008		150,070,130		(23,184	)
	108	U.S. Treasury Note 2 Yr. (CBT)	June 2008		23,211,563		(148,746	)
	82	UK Gilt Long Bond	June 2008		17,973,702		(307,248	)
				$	194,809,688	$	(509,269	)

See accompanying notes to the financial statements.

5

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	13,300,000	CHF	3/19/2013	JP Morgan	Receive		3.00	%	6 month
					Chase Bank				CHF LIBOR		$	87,619
	3,100,000	AUD	3/19/2018	JP Morgan Chase Bank	Receive		7.07	%	6 month AUD BBSW			(39,185	)
	3,000,000	EUR	3/21/2030	UBS Warburg	Receive		5.90	%	3 Month Floating Rate EUR LIBOR			845,580
						Premiums to (Pay) Receive			$	45,389	$	894,014

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	75,000,000	USD	9/24/2008	JP Morgan Chase Bank	3 month	Return on
					LIBOR -0.03%	JP Morgan
						Hedged Traded
						Total Return
						Government
						Bond Index		$	1,604,125
					Premiums to (Pay) Receive	$	—	$	1,604,125

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

6

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

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

BBSW - Bank Bill Swap Reference Rate

LIBOR - London Interbank Offered Rate

RMAC - Residential Mortgage Acceptance Corp.

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

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

(b)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(c)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

7

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $7,288,755) (Note 2)	$	7,300,314
Investments in affiliated issuers, at value (cost $334,255,175) (Notes 2 and 8)		317,758,692
Interest receivable		39,710
Unrealized appreciation on open forward currency contracts (Note 2)		12,918,400
Receivable for variation margin on open futures contracts (Note 2)		1,681,038
Interest receivable for open swap contracts		140,889
Receivable for open swap contracts (Note 2)		2,537,324
Receivable for expenses reimbursed by Manager (Note 3)		12,715
Total assets		342,389,082
Liabilities:
Payable for investments purchased		2,000,000
Payable to broker for closed futures contracts		1,964
Payable to affiliate for (Note 3):
Management fee		49,678
Shareholder service fee		39,219
Trustees and Chief Compliance Officer of GMO Trust fees		363
Unrealized depreciation on open forward currency contracts (Note 2)		1,551,407
Payable for open swap contracts (Note 2)		39,185
Accrued expenses		92,775
Total liabilities		3,774,591
Net assets	$	338,614,491
Net assets consist of:
Paid-in capital	$	351,242,775
Accumulated undistributed net investment income		403,110
Accumulated net realized loss		(14,000,571	)
Net unrealized appreciation		969,177
	$	338,614,491
Net assets attributable to:
Class III shares	$	338,614,491
Shares outstanding:
Class III		38,934,674
Net asset value per share:
Class III	$	8.70

See accompanying notes to the financial statements.

8

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	12,565,241
Interest		1,110,784
Dividends		71,822
Total investment income		13,747,847
Expenses:
Management fee (Note 3)		498,264
Shareholder service fee – Class III (Note 3)		393,366
Custodian, fund accounting agent and transfer agent fees		118,794
Audit and tax fees		60,190
Legal fees		6,827
Trustees fees and related expenses (Note 3)		2,392
Registration fees		4,154
Miscellaneous		4,345
Total expenses		1,088,332
Fees and expenses reimbursed by Manager (Note 3)		(36,536	)
Expense reductions (Note 2)		(394	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(32,971	)
Shareholder service fee waived (Note 3)		(11,709	)
Net expenses		1,006,722
Net investment income (loss)		12,741,125
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		664,965
Investments in affiliated issuers		389,157
Realized gains distributions from affiliated issuers (Note 8)		595,307
Closed futures contracts		(1,108,056	)
Closed swap contracts		(145,542	)
Foreign currency, forward contracts and foreign currency related transactions		10,028,680
Net realized gain (loss)		10,424,511
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,251,362	)
Investments in affiliated issuers		(18,809,113	)
Open futures contracts		3,838,891
Open swap contracts		1,317,373
Foreign currency, forward contracts and foreign currency related transactions		11,550,391
Net unrealized gain (loss)		(3,353,820	)
Net realized and unrealized gain (loss)		7,070,691
Net increase (decrease) in net assets resulting from operations	$	19,811,816

See accompanying notes to the financial statements.

9

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	12,741,125		$	7,675,517
Net realized gain (loss)		10,424,511			7,986,161
Change in net unrealized appreciation (depreciation)		(3,353,820	)		(588,542	)
Net increase (decrease) in net assets from operations		19,811,816			15,073,136
Distributions to shareholders from:
Net investment income
Class III		(23,714,054	)		(7,434,973	)
Net share transactions (Note 7):
Class III		157,195,473			9,358,867
Total increase (decrease) in net assets		153,293,235			16,997,030
Net assets:
Beginning of period		185,321,256			168,324,226
End of period (including accumulated undistributed net investment income of $403,110 and $1,299,063, respectively)	$	338,614,491		$	185,321,256

See accompanying notes to the financial statements.

10

GMO Global Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	8.92		$	8.53		$	9.11		$	8.73		$	9.20
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.42			0.38			0.18			0.21			0.12
Net realized and unrealized gain (loss)		0.11			0.38			(0.57	)		0.63			1.42
Total from investment operations		0.53			0.76			(0.39	)		0.84			1.54
Less distributions to shareholders:
From net investment income		(0.75	)		(0.37	)		(0.19	)		(0.46	)		—
From net realized gains		—			—			—			—			(1.90	)
Return of capital		—			—			—			—			(0.11	)
Total distributions		(0.75	)		(0.37	)		(0.19	)		(0.46	)		(2.01	)
Net asset value, end of period	$	8.70		$	8.92		$	8.53		$	9.11		$	8.73
Total Return(b)		6.50	%		8.99	%		(4.33	)%		9.52	%		20.21	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	338,614		$	185,321		$	168,324		$	170,750		$	138,684
Net expenses to average daily net assets(c)		0.38	%(d)		0.39	%		0.37	%		0.33	%		0.32	%
Net investment income to average daily net assets(a)		4.86	%		4.33	%		2.12	%		2.40	%		1.44	%
Portfolio turnover rate		20	%		22	%		20	%		38	%		45	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%		0.06	%		0.07	%		0.12	%		0.12	%

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

11

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Global Bond 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 Funds into classes.

The Fund seeks total return in excess of that of the JPMorgan Global Government Bond Index. The Fund typically invests in bonds included in the JPMorgan Global Government Bond Index and in securities and instruments with similar characteristics. The Fund seeks additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its assets in shares of Short-Duration Collateral Fund; in futures contracts, currency options, currency forwards, swap contracts, and other types of derivatives; in investment-grade bonds denominated in various currencies, including foreign and U.S. government securities and asset-backed securities issued by foreign governments and U.S. government agencies (including securities neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; in shares of GMO World Opportunity Overlay Fund; and up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available without charge, upon request by calling (617) 346-7646 (collect). Shares of the GMO Short-Duration Collateral Fund, the GMO World Opportunity Overlay Fund and the GMO Special Purpose Holding Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

12

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 30.66% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $297,305 through SPHF in conjunction with settlement agreements related to the default of those securities.

Foreign currency translation

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

13

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

14

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

day by the board of trade or exchange on which they are traded. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their

15

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

16

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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

17

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States.

The 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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions and partnership interest tax allocations.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	10,076,976	$	(10,123,079	)	$	46,103

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	23,714,054	$	7,434,973
Total distributions	$	23,714,054	$	7,434,973

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

18

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 19,732,753

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/29/2012	$	(7,605,871	)
2/28/2014		(7,575,780	)
2/28/2015		(269,796	)
Total	$	(15,451,447	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	346,829,505	$	96,439	$	(21,866,938	)	$	(21,770,499	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

19

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.19% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee

20

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's fees and expenses of the independent trustees of the Trust, fees for legal services not procured or provided by the Manager for the Trust, compensation and expenses of the Trust's CCO (excluding any employee benefits), and investment-related expenses such as brokerage commissions, hedging transaction fees, securities lending fees and expenses, interest expense and transfer taxes), exceeds 0.25% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.014	%		0.004	%		0.037	%		0.055	%

21

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $2,116 and $1,230, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	7,488,854	$	9,882,626
Investments (non-U.S. Government securities)		201,993,431		41,636,033

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 65.90% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.01% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts, and 28.74% of the Fund's shares were held by accounts for which the Manager has investment discretion.

22

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		15,937,195		$	139,052,495			2,029,627		$	17,848,889
Shares issued to shareholders in reinvestment of distributions		2,820,633			23,399,087			824,308			7,278,642
Shares repurchased		(606,251	)		(5,256,109	)		(1,798,812	)		(15,768,664	)
Net increase (decrease)		18,151,577		$	157,195,473			1,055,123		$	9,358,867

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	6,061,685	$	4,378,538	$	—	$	580,536	$	298,002	$	9,885,128
GMO Short-Duration Collateral Fund		124,359,943		165,534,705		31,600,000		11,984,705		—		241,749,211
GMO Special Purpose Holding Fund		64,632		—		—		—		297,305		57,756
GMO World Opportunity Overlay Fund		37,179,145		32,000,000		1,800,000		—		—		66,066,597
Totals	$	167,665,405	$	201,913,243	$	33,400,000	$	12,565,241	$	595,307	$	317,758,692

23

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Global Bond 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 Global Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

24

GMO Global Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.43	%	$	1,000.00	$	1,062.00	$	2.20
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

25

GMO Global Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $7,662,202 or if determined to be different, the qualified interest income of such year.

26

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

27

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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

28

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Scott Eston c/oGMOTrust 40 Rowes Wharf Boston, MA 02110 DOB: 01/20/1956	President and Chief Executive Officer	President and Chief Executive Officer since October 2002; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston,MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

29

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

30

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Strategic Fixed Income Fund returned -2.4% for the fiscal year ended February 29, 2008, compared with the +5.8% return for the JPMorgan U.S. 3 Month Cash Index. The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, including the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 8.2%. Cash management was the primary contributor to negative performance for the fiscal year, followed by currency selection, interest-rate strategy, and emerging debt exposure losses.

About 77% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the strategy invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 basis points, directly contributing to the Strategic Fixed Income Fund's underperformance given the Fund's 95% exposure to these two funds.

Further strategy underperformance was attributable to currency and interest-rate strategies. In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight. In addition, a drastic change in the relative volatilities of the currencies in August resulted in a shifting of risk positions into less advantageous, and ultimately unprofitable, intra-European trades.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

For much of the fiscal year, the strategy was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Similar results came out of two other cross-sectional models implemented in swaps. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class VI will vary due to different fees.

*  Class III performance information represents Class VI performance from May 31, 2006 to July 13, 2006 and Class III performance thereafter.

**  JPMorgan U.S. 3 Month Cash Index + represents the Lehman Brothers U.S. Treasury 1-3 Year Index prior to 9/29/06 and the JPMorgan U.S. 3 Month Cash Index thereafter.

This page has been left blank intentionally.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.0	%
Short-Term Investments		8.3
Swaps		0.5
Options Purchased		0.2
Loan Participations		0.1
Loan Assignments		0.0
Rights and Warrants		0.0
Promissory Notes		0.0
Forward Currency Contracts		(0.0	)
Written Options		(0.0	)
Futures		(0.1	)
Reverse Repurchase Agreements		(0.3	)
Other		0.3
		100.0	%

*  The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMOTrust ("underlying funds").

1

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 2.6%
		Canada — 0.3%
		Corporate Debt
	15,000,000	TransAlta Corp., 5.75%, due 12/15/13		15,474,000
		Italy — 0.2%
		Corporate Debt
	10,000,000	Telecom Italia Capital, 4.95%, due 09/30/14		9,478,000
		Mexico — 0.2%
		Corporate Debt
	10,000,000	Telefonos de Mexico SA de CV, 5.50%, due 01/27/15		9,824,850
		United States — 1.9%
		Corporate Debt — 1.0%
	7,000,000	CVS Corp., 6.13%, due 08/15/16		7,444,150
	10,000,000	Eastman Chemical Co., 7.25%, due 01/15/24		10,614,000
	10,000,000	Kinder Morgan Energy Partners, L.P., 6.00%, due 02/01/17		10,064,000
	5,000,000	Ryder System, Inc., MTN, 5.85%, due 11/01/16		4,894,500
	10,000,000	Southwest Airlines Co., 5.75%, due 12/15/16		9,654,200
	5,000,000	Wyeth, 5.50%, due 02/01/14		5,208,000
	5,000,000	Spectra Energy Capital, Series B, 6.75%, due 07/15/18		5,120,000
				52,998,850
		Structured Notes — 0.4%
	20,000,000	Boston Scientific Corp., 6.25%, due 11/15/15		18,600,000
	5,000,000	RPM UK Group, 144A, 6.70%, due 11/01/15		5,269,000
				23,869,000
		U.S. Government — 0.5%
	20,000,000	U.S. Treasury Note, 4.88%, due 05/15/09 (a)		20,781,250
	6,000,000	U.S. Treasury Note, 3.13%, due 10/15/08 (a)		6,050,625
				26,831,875
		Total United States		103,699,725
		TOTAL DEBT OBLIGATIONS (COST $138,935,576)		138,476,575

See accompanying notes to the financial statements.

2

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		MUTUAL FUNDS — 96.6%
		United States — 96.6%
		Affiliated Issuers
	8,047,936	GMO Emerging Country Debt Fund, Class III		80,962,232
	179,527,686	GMO Short-Duration Collateral Fund		4,314,050,306
	31,983,649	GMO World Opportunity Overlay Fund		821,340,094
		Total United States		5,216,352,632
		TOTAL MUTUAL FUNDS (COST $5,383,127,075)		5,216,352,632
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	5,798,647	State Street Institutional Liquid Reserves Fund-Institutional Class		5,798,647
		TOTAL SHORT-TERM INVESTMENTS (COST $5,798,647)		5,798,647
		TOTAL INVESTMENTS — 99.3% (Cost $5,527,861,298)		5,360,627,854
		Other Assets and Liabilities (net) — 0.7%		38,948,625
		TOTAL NET ASSETS — 100.0%	$	5,399,576,479

See accompanying notes to the financial statements.

3

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Cross Currency Contracts

Settlement Date		Deliver/Units of Currency		Receive/In Exchange for		Net Unrealized Appreciation (Depreciation)
	03/18/08	EUR	600,000	SEK	5,641,800	$	3,400

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	71	U.S. Treasury Note 2 Yr. (CBT)	June 2008	$	15,259,453	$	99,682
Sales
	55	U.S. Long Bond (CBT)	June 2008	$	6,524,375	$	(147,938	)
	1,168	U.S. Treasury Note 10 Yr.	June 2008		136,984,500		(2,448,163	)
	452	U.S. Treasury Note 5 Yr. (CBT)	June 2008		51,641,000		(683,257	)
				$	195,149,875	$	(3,279,358	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	15,000,000	USD	12/15/2013	Goldman Sachs	(Pay)		0.42	%	TransAlta Corp.	$	1,036,847
	5,000,000	USD	3/20/2014	Morgan Stanley	(Pay)		0.15	%	Wyeth		101,460
	10,000,000	USD	9/30/2014	Goldman Sachs	(Pay)		0.74	%	Telecom Italia Capital		516,999
	10,000,000	USD	2/20/2015	JP Morgan Chase Bank	(Pay)		0.61	%	Telefonos de Mexico SA de CV		620,037
	5,000,000	USD	11/1/2015	Goldman Sachs	(Pay)		0.62	%	RPM UK		249,152
	15,000,000	USD	12/20/2015	Barclays Bank PLC	(Pay)		0.73	%	Boston Scientific Corp.		1,923,666
	5,000,000	USD	12/20/2015	Morgan Stanley	(Pay)		0.81	%	Boston Scientific Corp.		617,189
	7,000,000	USD	9/20/2016	Barclays Bank PLC	(Pay)		0.32	%	CVS Corp.		215,152

See accompanying notes to the financial statements.

4

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	5,000,000	USD	12/20/2016	Morgan Stanley	(Pay)		0.46	%	Ryder System, Inc., MTN	$	297,632
	10,000,000	USD	12/20/2016	Barclays Bank PLC	(Pay)		0.72	%	Southwest Airlines		396,478
	10,000,000	USD	2/1/2017	Goldman Sachs	(Pay)		0.49	%	Kinder Morgan Energy Partners LP		587,488
	5,000,000	USD	7/15/2018	Goldman Sachs	(Pay)		0.93	%	Spectra Energy Capital		66,262
	10,000,000	USD	1/20/2024	Goldman Sachs	(Pay)		1.11	%	Eastman Chemical Co.		3,209
						Premiums to (Pay) Receive			$—	$	6,631,571

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	333,000,000	USD	2/8/2010	Morgan Stanley	(Pay)		4.90	%	3 month LIBOR		$	(660,749	)
	1,388,000,000	USD	2/1/2012	Deutsche Bank AG	Receive		3.75	%	3 month LIBOR			3,000,418
	2,776,000,000	USD	2/4/2012	Citigroup	Receive		3.75	%	3 month LIBOR			5,629,127
	1,379,000,000	USD	2/4/2012	Merrill Lynch	Receive		3.75	%	3 month LIBOR			2,796,314
	1,380,000,000	USD	2/7/2012	JP Morgan Chase Bank	Receive		3.70	%	3 month LIBOR			1,359,667
	1,390,000,000	USD	2/8/2012	Morgan Stanley	Receive		3.80	%	3 month LIBOR			3,845,119
	2,755,000,000	USD	2/11/2012	Deutsche Bank AG	Receive		3.85	%	3 month LIBOR			9,764,689
	2,766,000,000	USD	2/16/2012	Merrill Lynch	Receive		3.90	%	3 month LIBOR			11,720,700
	1,398,000,000	USD	3/4/2012	Morgan Stanley	Receive		3.80	%	3 month LIBOR			2,234,131
	333,000,000	USD	2/1/2020	Deutsche Bank AG	(Pay)		4.75	%	3 month LIBOR			2,955,826
	660,000,000	USD	2/4/2020	Citigroup	(Pay)		4.80	%	3 month LIBOR			3,499,384
	332,000,000	USD	2/4/2020	Merrill Lynch	(Pay)		4.80	%	3 month LIBOR			1,760,296
	330,000,000	USD	2/7/2020	JP Morgan Chase Bank	(Pay)		4.80	%	3 month LIBOR			1,824,019
	666,000,000	USD	2/11/2020	Deutsche Bank AG	(Pay)		5.00	%	3 month LIBOR			(6,222,919	)
	668,000,000	USD	2/18/2020	Merrill Lynch	(Pay)		5.10	%	3 month LIBOR			(11,120,483	)
	333,000,000	USD	3/4/2020	Morgan Stanley	(Pay)		5.00	%	3 month LIBOR			(2,516,501	)
						Premiums to (Pay) Receive			$	4,933,100	$	29,869,038

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

5

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

LIBOR - London Interbank Offered Rate

MTN - Medium Term Note

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

Currency Abbreviations:

EUR - Euro

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $144,734,223) (Note 2)	$	144,275,222
Investments in affiliated issuers, at value (cost $5,383,127,075) (Notes 2 and 8)		5,216,352,632
Receivable for investments sold		10,000,000
Receivable for Fund shares sold		1,818,558
Interest receivable		1,769,076
Unrealized appreciation on open forward currency contracts (Note 2)		3,400
Receivable for open swap contracts (Note 2)		57,021,261
Receivable for closed swap contracts (Note 2)		5,960,000
Receivable for expenses reimbursed by Manager (Note 3)		154,487
Total assets		5,437,354,636
Liabilities:
Payable for Fund shares repurchased		13,580,892
Payable to affiliate for (Note 3):
Management fee		923,973
Shareholder service fee		221,738
Trustees and Chief Compliance Officer of GMO Trust fees		2,795
Payable for open swap contracts (Note 2)		20,520,652
Payable for variation margin on open futures contracts (Note 2)		2,290,609
Accrued expenses		237,498
Total liabilities		37,778,157
Net assets	$	5,399,576,479

See accompanying notes to the financial statements.

7

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	5,550,653,138
Distributions in excess of net investment income		(28,882,220	)
Accumulated net realized gain		6,781,572
Net unrealized depreciation		(128,976,011	)
	$	5,399,576,479
Net assets attributable to:
Class III shares	$	277,878,887
Class VI shares	$	5,121,697,592
Shares outstanding:
Class III		11,776,714
Class VI		217,264,327
Net asset value per share:
Class III	$	23.60
Class VI	$	23.57

See accompanying notes to the financial statements.

8

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	119,644,317
Interest		8,380,447
Dividends		559,421
Total investment income		128,584,185
Expenses:
Management fee (Note 3)		7,804,357
Shareholder service fee – Class III (Note 3)		322,786
Shareholder service fee – Class VI (Note 3)		1,598,604
Custodian, fund accounting agent and transfer agent fees		374,306
Audit and tax fees		60,539
Legal fees		81,307
Trustees fees and related expenses (Note 3)		28,877
Registration fees		81,682
Miscellaneous		26,285
Total expenses		10,378,743
Fees and expenses reimbursed by Manager (Note 3)		(599,578	)
Expense reductions (Note 2)		(337	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(385,570	)
Shareholder service fee waived (Note 3)		(137,448	)
Net expenses		9,255,810
Net investment income (loss)		119,328,375
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(4,520,416	)
Investments in affiliated issuers		18,881,405
Realized gains distributions from affiliated issuers (Note 8)		3,863,142
Closed futures contracts		(30,436,469	)
Closed swap contracts		(7,193,222	)
Foreign currency, forward contracts and foreign currency related transactions		(17,390,829	)
Net realized gain (loss)		(36,796,389	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(1,174,360	)
Investments in affiliated issuers		(171,930,439	)
Open futures contracts		5,813,757
Open swap contracts		38,300,870
Foreign currency, forward contracts and foreign currency related transactions		2,850,816
Net unrealized gain (loss)		(126,139,356	)
Net realized and unrealized gain (loss)		(162,935,745	)
Net increase (decrease) in net assets resulting from operations	$	(43,607,370	)

See accompanying notes to the financial statements.

9

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Period from May 31, 2006 (commencement of operations) through February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	119,328,375		$	30,368,989
Net realized gain (loss)		(36,796,389	)		12,612,912
Change in net unrealized appreciation (depreciation)		(126,139,356	)		(2,836,655	)
Net increase (decrease) in net assets from operations		(43,607,370	)		40,145,246
Distributions to shareholders from:
Net investment income
Class III		(5,772,752	)		(9,486,069	)
Class VI		(97,139,821	)		(28,962,149	)
Total distributions from net investment income		(102,912,573	)		(38,448,218	)
Net realized gains
Class III		(344,272	)		—
Class VI		(5,909,472	)		—
Total distributions from net realized gains		(6,253,744	)		—
		(109,166,317	)		(38,448,218	)
Net share transactions (Note 7):
Class III		59,121,073			227,768,727
Class VI		3,042,002,441			2,221,760,897
Increase (decrease) in net assets resulting from net share transactions		3,101,123,514			2,449,529,624
Total increase (decrease) in net assets		2,948,349,827			2,451,226,652
Net assets:
Beginning of period		2,451,226,652			—
End of period (including distributions in excess of net investment income of $28,882,220 and accumulated undistributed net investment income of $984,360, respectively)	$	5,399,576,479		$	2,451,226,652

See accompanying notes to the financial statements.

10

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from July 13, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.22		$	25.06
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.78			0.96
Net realized and unrealized gain (loss)		(1.37	)		0.34
Total from investment operations		(0.59	)		1.30
Less distributions to shareholders:
From net investment income		(0.97	)		(1.14	)
From net realized gains		(0.06	)		—
Total distributions		(1.03	)		(1.14	)
Net asset value, end of period	$	23.60		$	25.22
Total Return(b)		(2.39	)%		5.23	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	277,879		$	226,917
Net expenses to average daily net assets(c)		0.38	%(d)		0.39	%*
Net investment income to average daily net assets(a)		3.12	%		5.96	%*
Portfolio turnover rate		67	%		7	%**††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.04	%		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover rate of the Fund for the period May 31, 2006 through February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

11

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from May 31, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.22		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.97			0.76
Net realized and unrealized gain (loss)		(1.55	)		0.61
Total from investment operations		(0.58	)		1.37
Less distributions to shareholders:
From net investment income		(1.01	)		(1.15	)
From net realized gains		(0.06	)		—
Total distributions		(1.07	)		(1.15	)
Net asset value, end of period	$	23.57		$	25.22
Total Return(b)		(2.35	)%		5.52	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	5,121,698		$	2,224,310
Net expenses to average daily net assets(c)		0.29	%(d)		0.29	%*
Net investment income to average daily net assets(a)		3.87	%		4.01	%*
Portfolio turnover rate		67	%		7	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.04	%		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

12

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Strategic Fixed Income 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 Funds into classes.

The Fund seeks total return in excess of that of the JPMorgan U.S. 3 Month Cash Index. The Manager may, in the future, depending on the Manager's assessment of interest rate conditions, change the Fund's benchmark to another nationally recognized debt index with a duration between 90 days and 15 years.

The Fund typically invests in fixed income securities included in the Fund's benchmark and in securities and instruments with similar characteristics. The Fund may seek additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its total assets in shares of GMO Short-Duration Collateral Fund; in futures contracts, currency options, currency forwards, swap contracts and other types of derivatives; in U.S. and foreign investment-grade bonds, including U.S. and foreign government securities and asset-backed securities issued by U.S. government agencies (including securities neither guaranteed nor insured by the U.S. government), and foreign governments, corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; in shares of GMO World Opportunity Overlay Fund, and up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class VI. Each class of shares bears a different level of shareholder service fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). Shares of GMO Short-Duration Collateral Fund and GMO World Opportunity Overlay Fund are not publicly available for direct purchase.

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

13

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 31.47% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

Foreign currency translation

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

14

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

15

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

day by the board of trade or exchange on which they are traded. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all

16

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

17

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

18

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Delayed delivery commitments

The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Collateral consisting of liquid securities or cash and cash equivalents is maintained with the custodian in an amount at least equal to these commitments. There were no delayed delivery commitments outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States.

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.

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

19

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions, losses on wash sale transactions and partnership interest tax allocations.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income			Accumulated Net Realized Gain		Paid-in Capital
$	(46,282,382	)	$	46,282,382	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	105,777,934	$	38,448,218
Long-term capital gains		3,388,383		—
Total distributions	$	109,166,317	$	38,448,218

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 377,979

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $157,824.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	5,553,473,122	$	1,600,070	$	(194,445,338	)	$	(192,845,268	)

20

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

21

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class's shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is

22

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded Fund Fees and Expenses), exceeds 0.25% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.014	%		0.004	%		0.030	%		0.048	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $24,093 and $12,235, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	6,041,719	$	15,000,000
Investments (non-U.S. Government securities)		5,018,088,729		1,939,950,045

23

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 69.04% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. 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 29, 2008, there were no shares held by related parties, and 99.99% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Period from July 13, 2006 (commencement of operations) through February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		14,637,641		$	354,355,271			8,706,666		$	220,472,019
Shares issued to shareholders in reinvestment of distributions		210,515			5,059,119			295,257			7,384,377
Shares repurchased		(12,069,867	)		(300,293,317	)		(3,498	)		(87,669	)
Net increase (decrease)		2,778,289		$	59,121,073			8,998,425		$	227,768,727

24

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Period from May 31, 2006 (commencement of operations) through February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		188,277,166		$	4,555,951,605			87,191,248		$	2,196,531,526
Shares issued to shareholders in reinvestment of distributions		4,301,787			103,049,293			1,158,486			28,962,149
Shares repurchased		(63,520,875	)		(1,616,998,457	)		(143,485	)		(3,732,778	)
Net increase (decrease)		129,058,078		$	3,042,002,441			88,206,249		$	2,221,760,897

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the securities of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	75,423,462	$	52,269,222	$	41,900,000	$	5,906,079	$	3,863,142	$	80,962,232
GMO Short-Duration Collateral Fund		1,759,931,834		4,198,918,238		1,497,483,000		113,738,238		—		4,314,050,306
GMO World Opportunity Overlay Fund		472,286,910		736,055,000		386,100,000		—		—		821,340,094
Totals	$	2,307,642,206	$	4,987,242,460	$	1,925,483,000	$	119,644,317	$	3,863,142	$	5,216,352,632

25

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Strategic Fixed Income 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 Strategic Fixed Income Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the periods indicated and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

26

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.43	%	$	1,000.00	$	974.50	$	2.11
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16
Class VI
1) Actual		0.33	%	$	1,000.00	$	974.50	$	1.62
2) Hypothetical		0.33	%	$	1,000.00	$	1,023.22	$	1.66

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

27

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $3,388,383 from long-term capital gains.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $72,476,756 and $2,844,478, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

28

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

29

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004-present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

32

GMO Emerging Markets Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Emerging Markets Fund returned +28.4% for the fiscal year ended February 29, 2008, as compared to +32.9% for the S&P/IFC Investable Composite Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in emerging markets equities throughout the fiscal year.

Country selection detracted 4.5% from performance during the period. The Fund's underweights in Russia and South Africa and overweight in Brazil contributed to performance. The Fund's overweights in South Korea and Taiwan and underweights in India and China detracted from performance.

Stock selection was flat during the fiscal year. Stock selection was successful in India, South Korea, Taiwan, and Thailand, but selection detracted from performance in China, Malaysia, Philippines, and Russia.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .80% on the purchase and .80% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect oftaxes on distributions and redemptions. All information is unaudited. Performance for Class IV, V and VI shares will vary due to different fees.

*  For the period from 10/26/04 to 2/11/05, no Class V shares were outstanding. Performance for that period is that of Class IV shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class V shares had been outstanding.

GMO Emerging Markets Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		81.0	%
Preferred Stocks		13.5
Short-Term Investments		3.3
Private Equity Securities		0.7
Investment Funds		0.4
Debt Obligations		0.1
Rights and Warrants		0.1
Convertible Securities		0.0
Mutual Funds		0.0
Other		0.9
		100.0	%
Country Summary	% of Investments *
Brazil		21.0	%
South Korea		18.2
Taiwan		15.2
China		9.6
Russia		8.2
Thailand		6.7
India		5.4
Malaysia		4.8
Turkey		2.7
South Africa		1.9
Philippines		1.8
Indonesia		1.7
Israel		0.9
Hungary		0.9
Poland		0.8
Mexico		0.1
United States		0.1
Sri Lanka		0.0
Chile		0.0
Argentina		0.0
Pakistan		0.0
Lebanon		0.0
Ukraine		0.0
		100.0	%

*  The table excludes short-term investments.

1

GMO Emerging Markets Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Investments *
Financials		20.3	%
Energy		20.0
Materials		16.8
Information Technology		12.1
Industrials		9.6
Telecommunication Services		7.0
Consumer Discretionary		6.7
Consumer Staples		3.0
Utilities		2.2
Health Care		1.2
Miscellaneous		1.1
		100.0	%

*  The table excludes short-term investments.

2

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 81.0%
		Argentina — 0.0%
	12,440	Petrobras Energia Participaciones SA Sponsored ADR		148,160
	12,800	Tenaris SA ADR		568,960
		Total Argentina		717,120
		Brazil — 8.2%
	234,893,720	Aes Tiete SA		9,920,235
	746,100	B2W Companhia Global do Varejo		31,324,641
	3,707,260	Banco do Brasil SA		61,974,005
	1,946,500	Bolsa de Mercadorias e Futuros		20,752,998
	790,900	Bovespa Holding SA		12,393,620
	1,803,302	Companhia Saneamento Basico Sao Paulo		42,867,211
	1,788,316	Companhia Siderurgica Nacional SA		66,727,420
	3,859,500	Companhia Vale do Rio Doce		133,876,335
	3,340,790	Companhia Vale do Rio Doce ADR		116,393,124
	1,747,230	Companhia Vale do Rio Doce Sponsored ADR		51,228,784
	1,320,792	Electrobras (Centro)		19,424,101
	606,900	Iguatemi Empresa de Shopping		9,976,832
	315,800	OdontoPrev SA		8,401,539
	1,990,250	Petroleo Brasileiro SA (Petrobras)		114,982,807
	2,138,780	Petroleo Brasileiro SA (Petrobras) ADR		250,964,445
	1,106,204	Souza Cruz SA		32,202,958
	373,200	Tele Norte Leste Participacoes SA		14,101,756
	513,840	Unibanco-Uniao de Bancos Brasileiros SA GDR		69,686,981
	635,400	Usinas Siderurgicas de Minas Gerais SA		38,136,775
		Total Brazil		1,105,336,567
		Chile — 0.0%
	1,400	AFP Provida SA Sponsored ADR		51,170
	4,920	Empresa Nacional de Electricidad SA ADR		208,460
	15,040	Enersis SA Sponsored ADR		237,181
	5,150	Lan Airlines SA Sponsored ADR		68,907
	970	Sociedad Quimica y Minera de Chile SA Sponsored ADR		189,198
		Total Chile		754,916

See accompanying notes to the financial statements.

3

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — 9.1%
	18,629,990	Advanced Semiconductor Manufacturing Co Class H *		683,784
	14,112,000	Air China Ltd Class H		13,233,140
	3,486,000	Ajisen China Holdings Ltd *		4,962,016
	2,190,000	Anhui Conch Cement Co Ltd Class H		16,879,771
	74,810	Baidu.com Inc Sponsored ADR *		18,801,997
	82,856,000	Bank of China Ltd Class H		34,706,392
	5,797,000	Belle International Holdings Ltd		7,004,929
	18,134,000	BOC Hong Kong Holdings Ltd		44,439,288
	12,184,000	China Communication Services Corp Ltd Class H *		10,517,357
	6,726,000	China Communications Construction Co Ltd Class H		17,427,284
	31,717,000	China Construction Bank Class H		24,030,785
	3,140,000	China Life Insurance Co Ltd Class H		12,193,472
	15,083,000	China Merchants Bank Co Ltd Class H		52,357,566
	4,786,000	China Merchants Holdings International Co Ltd		25,689,576
	12,830,442	China Mobile Ltd		192,112,014
	375,649	China Mobile Ltd Sponsored ADR		28,030,928
	65,471,351	China Petroleum & Chemical Corp Class H		71,553,784
	6,871,400	China Resources Enterprise Ltd		24,394,605
	2,250,000	China Shenhua Energy Co Ltd Class H		11,460,620
	4,074,000	China Shipping Development Co Ltd Class H		12,600,745
	123,230	China Telecom Corp Ltd ADR (a)		9,046,314
	18,946,700	China Telecom Corp Ltd Class H		13,953,691
	15,474,000	China Ting Group Holding Ltd		2,506,250
	58,314,000	China Travel International Investment Hong Kong Ltd		31,407,859
	28,854,000	CNOOC Ltd		47,919,303
	27,146,416	Denway Motors Ltd		13,721,651
	2,025,000	Dongfang Electrical Machinery Co Ltd		12,150,911
	7,286,686	Fountain Set Holdings Ltd		1,467,488
	9,581,284	GOME Electrical Appliances Holdings Ltd		21,070,378
	12,136,700	Guangdong Investments Ltd		6,432,000
	13,504,000	Huaneng Power International Inc Class H		11,033,944
	68,758,000	Industrial and Commercial Bank of China Ltd Class H		47,701,067
	5,176,000	Jiangxi Copper Co Ltd Class H		11,977,711

See accompanying notes to the financial statements.

4

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — continued
	571,700	New Oriental Education & Technology Group Inc Sponsored ADR *		35,645,495
	4,516,100	Parkson Retail Group Ltd		47,012,118
	6,356,172	Peace Mark Holdings Ltd		7,089,379
	182,310	Perfect World Co Ltd ADR *		4,927,839
	85,267,101	PetroChina Co Ltd Class H		124,812,153
	8,574,000	PICC Property & Casualty Co Ltd Class H		8,990,508
	33,832,789	Pico Far East Holdings Ltd		4,891,021
	1,722,000	Ping An Insurance (Group) Co of China Ltd Class H		13,042,391
	9,513,000	Shandong Weigao Group Medical Polymer Co Ltd Class H		14,610,896
	12,984,344	Shanghai Industrial Holdings Ltd		52,948,751
	2,522,000	Shanghai Jin Jiang International Hotels Co Ltd Class H		964,714
	15,291,500	Sinofert Holdings Ltd		15,256,324
	14,906,000	Sinopec Shanghai Petrochemical Co Ltd Class H		6,978,789
	240,310	Suntech Power Holdings Co Ltd ADR *		8,932,323
	3,328,000	Tianjin Development Holdings Ltd		3,012,748
	10,962,000	Yanzhou Coal Mining Co Ltd Class H		17,883,107
	4,958,000	Zhuzhou CSR Times Electric Co Ltd Class H		6,056,542
		Total China		1,226,523,718
		Hungary — 0.8%
	63,480	Gedeon Richter Rt		13,702,733
	478,610	MOL Magyar Olaj es Gazipari Nyrt (New Shares)		65,199,588
	809,060	OTP Bank Nyrt		32,691,992
		Total Hungary		111,594,313
		India — 5.0%
	66,780	Aban Offshore Ltd		6,772,605
	504,970	Axis Bank Ltd		12,688,283
	1,392,921	Balrampur Chini Mills Ltd *		3,198,096
	51,800	BF Utilities Ltd *		1,533,199
	521,411	Bombay Dyeing & Manufacturing Co Ltd		8,909,137
	11,896,352	CBAY Systems Holdings Ltd * (b)		18,319,951
	5,948,177	CBAY Systems Ltd * (c) (d)		59,482

See accompanying notes to the financial statements.

5

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		India — continued
	21,797,849	Centurion Bank of Punjab Ltd *		26,289,464
	754,430	Century Textiles & Industries Ltd		14,923,298
	3,000	Cipla Ltd (Shares Under Objection) (c)		1
	488,639	Cummins India Ltd		4,070,902
	176,150	Emco Ltd		5,173,972
	1,063,900	GAIL India Ltd		11,075,004
	1,209,169	Gammon India Ltd		14,618,380
	321,462	Gitanjali Gems Ltd		2,287,745
	200	HCL Infosystems Ltd (Shares Under Objection) (c)		—
	431,539	HDFC Bank Ltd		15,457,712
	3,143,858	Hindalco Industries Ltd		15,660,341
	174,394	Housing Development Finance Corp Ltd		11,993,156
	1,624,350	ICICI Bank Ltd		43,292,315
	770,280	India Cements Ltd		3,938,467
	710,030	Indiabulls Financial Services Ltd		10,655,539
	743,410	Indiabulls Real Estate Ltd *		11,608,962
	484,076	Indiabulls Securities Ltd		4,549,214
	217,620	Infosys Technologies Ltd		8,307,423
	1,500	ITC Ltd (Shares Under Objection) (c)		—
	3,869,707	IVRCL Infrastructures & Projects Ltd		44,851,882
	1,522,424	Jaiprakash Associates Ltd		9,840,771
	1,766,780	Jindal Steel & Power Ltd		99,881,458
	194,927	JSW Steel Ltd		5,093,657
	425,780	Lanco Infratech Ltd *		4,957,522
	123,850	Madhucon Projects Ltd		2,131,036
	87	Mahindra Lifespace Developers Ltd		1,210
	185,010	Maruti Suzuki India Ltd		3,955,148
	1,672,410	Power Finance Corp		7,697,880
	1,708,767	PTC India Ltd		4,976,332
	297,853	Punj Lloyd Ltd		2,765,334
	527,749	Reliance Capital Ltd		23,657,792
	1,287,000	Reliance Communications Ltd		18,230,893
	250,900	Reliance Energy Ltd		9,684,378
	900	Reliance Energy Ltd (Shares Under Objection) (c)		—

See accompanying notes to the financial statements.

6

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		India — continued
	787,008	Reliance Industries Ltd		47,981,308
	7,133	Reliance Industries Ltd (Shares Under Objection) (c)		2
	528,912	Rolta India Ltd		3,946,578
	1,817,865	Satyam Computer Services Ltd		19,557,320
	28,949	SAW Ltd *		622,460
	368,485	Shree Precoated Steels Ltd		2,196,380
	1,878,500	Sintex Industries Ltd		21,525,652
	525,136	Tasc Pharmaceuticals Ltd *		3,304,035
	1,044,924	Tata Consultancy Services Ltd		22,663,178
	186,450	Tata Motors Ltd		3,214,053
	309,947	Tata Power Co Ltd		10,611,134
	190,622	Tata Steel Ltd		3,764,724
	592,429	United Phosphorus Ltd		4,885,754
	67,166	Welspun India Ltd *		102,790
	3,184,720	Wipro Ltd		34,324,652
	600	Wockhardt Ltd		4,971
		Total India		671,812,932
		Indonesia — 1.6%
	8,454,000	Astra International Tbk PT		25,366,274
	1,408,557,000	Bakrie & Brothers Tbk PT * (b)		52,163,380
	120,493,500	Bumi Resources Tbk PT		99,415,428
	59,543,100	Matahari Putra Prima Tbk PT		3,935,419
	23,513,000	Telekomunikasi Indonesia Tbk PT		24,889,858
	75,674,500	Truba Alam Manunggal Engineering Tbk PT *		9,649,776
		Total Indonesia		215,420,135
		Israel — 0.9%
	6,012,720	Bank Hapoalim BM		25,690,616
	7,424,000	Bank Leumi Le — Israel		34,110,298
	2,900	Teva Pharmaceutical Industries Ltd		141,618
	1,169,440	Teva Pharmaceutical Industries Ltd Sponsored ADR		57,384,421
		Total Israel		117,326,953

See accompanying notes to the financial statements.

7

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Lebanon — 0.0%
	8,700	Banque Libanaise pour le Commerce Sal * (c)		35,695
		Malaysia — 4.5%
	17,423,200	Berjaya Sports Toto Berhad		27,845,486
	10,411,100	Gamuda Berhad		12,658,229
	21,011,400	Genting Berhad		44,446,560
	4,613,000	Hong Leong Bank Berhad		8,008,526
	4,020,500	IGB Corp Berhad		2,381,339
	20,301,100	IOI Corp Berhad		50,493,148
	19,613,684	KNM Group Berhad		36,896,075
	16,708,825	Malayan Banking Berhad		47,164,967
	8,111,100	Public Bank Berhad		26,497,614
	61,892,700	Resorts World Berhad		71,583,960
	54,330,729	RHB Capital Berhad		83,345,668
	8,783,700	Shangri-La Hotels Berhad		6,716,801
	17,199,089	Sime Darby Berhad *		62,454,040
	14,890,400	Sunway City Berhad		13,676,141
	5,666,168	Tanjong Plc		28,150,275
	6,838,300	UEM World Berhad		7,338,355
	27,048,400	UMW Holdings Berhad		58,848,580
	18,444,532	WCT Engineering Berhad		23,246,057
		Total Malaysia		611,751,821
		Mexico — 0.1%
	3,077,311	Grupo Cementos de Chihuahua SA de CV		17,351,896
		Pakistan — 0.0%
	65,510	Attock Refinery Ltd		286,030
	29,040	MCB Bank Ltd		201,783
	106,720	Oil & Gas Development Co Ltd		219,640
		Total Pakistan		707,453

See accompanying notes to the financial statements.

8

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Philippines — 1.8%
	648,604	Ayala Corp		6,831,449
	64,457,483	Ayala Land Inc		18,317,458
	9,145,830	Bank of the Philippine Islands		12,344,576
	707,472,942	Filinvest Land Inc *		18,081,515
	4,914,000	First Gen Corp		4,852,358
	6,379,623	First Philippine Holdings		7,214,721
	827,704,087	Megaworld Corp		49,255,194
	1,032,446	Philippine Long Distance Telephone Co		72,847,731
	8,160	Philippine Long Distance Telephone Co Sponsored ADR (a)		578,952
	11,567,600	PNOC Energy Development Corp		1,802,190
	132,173,510	Robinsons Land Corp		36,937,049
	38,329,445	SM Prime Holdings Inc		8,645,793
		Total Philippines		237,708,986
		Poland — 0.1%
	842,890	Polski Koncern Naftowy Orlen SA *		14,298,604
		Russia — 7.5%
	327,920	AvtoVAZ		590,256
	618,700	Cherepovets MK Severstal GDR (Registered Shares)		15,776,850
	376,540	CTC Media Inc *		11,055,214
	4,165,493	Gazprom Neft		24,368,134
	403,900	Gazprom Neft Sponsored ADR		12,722,850
	725,000	JSC Mining & Smelting Co ADR		21,170,000
	21,350	KamAZ *		123,830
	685	Lukoil GDR		203,856
	611,350	Lukoil Sponsored ADR		45,239,900
	656,730	Mobile Telesystems Sponsored ADR		53,891,264
	293,100	Novolipetsk Steel GDR (Registered Shares)		13,429,842
	9,161,800	OAO Gazprom Sponsored GDR		465,419,440
	685,883	OAO Mechel ADR (a)		90,570,850
	1,728,900	OAO Rosneft Oil Co GDR		14,142,402
	162,300	OAO Tatneft Sponsored GDR (Registered Shares)		20,368,650
	452,500	PIK Group GDR (Registered Shares) *		12,896,250

See accompanying notes to the financial statements.

9

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Russia — continued
	135,000	Russia Petroleum * (c)		1,350,000
	38,088,550	Sberbank RF		126,834,871
	741,310	Vimpel-Communications Sponsored ADR		25,745,696
	424,790	Wimm-Bill-Dann Foods ADR		44,713,395
	490,900	X5 Retail Group NV GDR (Registered Shares) *		16,543,330
		Total Russia		1,017,156,880
		South Africa — 1.8%
	844,275	Absa Group Ltd		11,950,459
	2,003,660	African Bank Investments Ltd		7,893,393
	605,000	ArcelorMittal South Africa Ltd		14,347,329
	1,641,493	Aveng Ltd		12,902,859
	828,300	Barloworld Ltd		9,973,811
	7,072,300	FirstRand Ltd		16,737,274
	1,905,300	Freeworld Coatings Ltd *		2,381,716
	1,475,800	MTN Group Ltd		23,109,973
	4,136,780	Murray & Roberts Holdings Ltd		51,751,251
	1,129,700	Reunert Ltd		8,235,367
	8,300,471	Sanlam Ltd		19,725,914
	654,100	Sasol Ltd		33,451,979
	1,188,726	Standard Bank Group Ltd		14,835,732
	3,353,900	Steinhoff International Holdings Ltd		7,703,057
	497,948	Tiger Brands Ltd		8,863,128
		Total South Africa		243,863,242
		South Korea — 16.0%
	4,403,499	Biomass Korea Co Ltd * (b)		4,806,682
	188,185	Boryung Pharmaceutical Co Ltd (b)		9,623,938
	26,120	CJ CheilJedang Corp *		7,468,420
	577,880	Daehan Pulp Co Ltd * (b)		3,241,894
	318,260	Daelim Industrial Co Ltd		49,523,728
	12,315	Daesun Shipbuilding		1,663,793
	681,411	Daewoo Engineering & Construction Co Ltd		14,585,751
	497,250	Daewoo International Corp		18,771,979

See accompanying notes to the financial statements.

10

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	128,526	DC Chemical Co Ltd		45,993,921
	501,263	Dongbu Insurance Co Ltd		19,846,541
	274,450	Dongkuk Steel Mill Co Ltd		12,276,693
	1,413,948	EnE System Inc * (b)		9,225,369
	191,100	GS Holdings Corp		9,264,844
	243,319	Hana Financial Group Inc		10,796,792
	81,961	Hana Tour Service Inc		5,368,062
	545,175	Hanjin Heavy Industries & Construction Co Ltd		33,399,074
	441,644	Hanjin Heavy Industries & Construction Holdings Co Ltd *		15,637,248
	2,939,252	Hanwha Corp		178,781,231
	77,974	Honam Petrochemical Corp		7,583,225
	434,226	Hyundai Engineering & Construction		39,053,928
	153,860	Hyundai Heavy Industries		60,931,674
	1,004,360	Hyundai Marine & Fire Insurance Co Ltd		22,463,326
	35,611	Hyundai Mipo Dockyard Co Ltd		10,020,488
	525,410	Hyundai Mobis		40,329,946
	1,018,130	Hyundai Motor Co		71,388,353
	447,490	Hyundai Steel Co		34,621,626
	131,410	Hyunjin Materials Co Ltd		5,011,812
	448,416	In the F Co Ltd * (b)		11,011,120
	1,138,040	Industrial Bank of Korea		18,348,307
	169,736	JVM Co Ltd		9,250,619
	79,970	KCC Corp		47,147,975
	936,270	Kookmin Bank		57,701,931
	40,200	Kookmin Bank ADR *		2,461,446
	1,451,610	Korea Exchange Bank		20,299,146
	286,143	Korea Gas Corp		21,343,366
	93,346	Korea Iron & Steel Co Ltd		7,563,928
	11,353,300	Korea Real Estate *		19,779,239
	81,889	Korea Zinc Co Ltd		12,364,300
	534,254	Korean Air Lines Co Ltd		40,365,222
	283,370	KT Corp		13,932,745
	313,740	KT Corp ADR *		7,620,745
	1,349,288	KT&G Corp		111,324,919

See accompanying notes to the financial statements.

11

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	566,000	KT&G Corp GDR 144A *		23,211,660
	394,050	LG Corp		27,406,847
	301,850	LG Electronics Inc		32,510,306
	2,033,830	LG Philips LCD Co Ltd		96,626,427
	476,019	Maeil Dairy Industry		10,436,431
	142,680	MegaStudy Co Ltd		49,607,546
	456,780	NHN Corp *		101,376,345
	219,269	POSCO		120,602,993
	76,000	POSCO ADR		10,282,800
	794,190	Pumyang Construction Co Ltd (b)		13,435,930
	608,590	Samsung Corp		37,126,729
	236,691	Samsung Electronics Co Ltd		138,741,697
	337,326	Samsung Fire & Marine Insurance Co Ltd		66,680,047
	1,441,325	Shinhan Financial Group Co Ltd		77,642,460
	56,890	Shinsegae Co Ltd		35,324,293
	472,128	SK Energy Co Ltd		64,102,302
	400	SK Telecom Co Ltd		81,307
	616,500	SK Telecom Co Ltd ADR		13,809,600
	286,821	SSCP Co Ltd *		7,660,637
	492,492	Taewoong Co Ltd		43,205,235
	675,220	Taihan Electric Wire Co Ltd		32,899,499
	1,089,630	Woori Finance Holdings Co Ltd		19,512,494
		Total South Korea		2,164,478,931
		Sri Lanka — 0.0%
	208,500	Lanka Walltile Ltd		121,356
		Taiwan — 14.6%
	17,344,250	Asustek Computer Inc		47,883,090
	44,698,000	AU Optronics Corp		85,256,429
	17,118,000	Cathay Financial Holding Co Ltd		42,889,795
	45,781,000	Chi Mei Optoelectronics Corp		60,216,490
	52,437,000	China Bills Finance Corp *		12,392,874
	74,374,840	China Development Financial Holding Corp		30,455,072

See accompanying notes to the financial statements.

12

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	42,802,079	China Steel Corp		63,239,362
	383,778	China Steel Corp Sponsored GDR		11,563,231
	58,891,387	Chinatrust Financial Holding Co Ltd *		52,649,452
	38,904,610	Chunghwa Telecom Co Ltd		96,729,583
	847,231	Chungwa Telecom Co Ltd ADR		20,791,049
	24,812,548	Compal Electronics Inc		22,363,076
	3,487,855	Delta Electronics Inc		9,920,355
	2,487,596	DFI Inc		5,811,962
	10,569,806	Dimerco Express Taiwan Corp (b)		13,447,262
	7,663,776	D-Link Corp		12,175,550
	10,861,040	Far Eastern Department Stores Ltd		19,862,406
	33,753,162	Far Eastern Textile Co Ltd		54,991,942
	16,535,000	Far Eastone Telecommunications Co Ltd		23,089,310
	22,247,000	First Financial Holding Co Ltd		19,860,962
	30,631,208	Formosa Chemicals & Fibre Co		74,438,938
	3,054,044	Formosa Petrochemical Corp		8,450,599
	26,509,107	Formosa Plastics Corp		71,460,201
	4,085,250	Foxconn Technology Co Ltd		26,651,476
	31,652,000	Fubon Financial Holding Co Ltd		34,447,492
	6,132,670	Gloria Material Technology Corp		9,185,655
	28,278,000	Hannstar Display Corp *		12,163,702
	3,906,000	High Tech Computer Corp		80,634,345
	30,814,526	Hon Hai Precision Industry Co Ltd		183,843,160
	3,504,586	Innolux Display Corp		9,670,390
	11,942,883	Les Enphants Co Ltd (b)		8,606,563
	14,247,391	Lite-On Technology Corp		19,462,402
	7,102,365	MediaTek Inc		79,656,671
	21,596,000	Mega Financial Holdings Co Ltd		15,421,004
	41,155,405	Nan Ya Plastics Corp		96,923,075
	5,137,000	Novatek Microelectronics Corp Ltd		18,076,158
	199	Oriental Union Chemical		194
	2,007,850	Richtek Technology Corp		17,717,089
	19,222,903	Siliconware Precision Industries Co		31,325,715
	52,257,350	Taiwan Cement Corp		92,969,570

See accompanying notes to the financial statements.

13

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — continued
	2,440,000	Taiwan Fertilizer Co Ltd		9,516,908
	20,745,288	Taiwan Mobile Co Ltd		35,145,330
	82,773,965	Taiwan Semiconductor Manufacturing Co Ltd		161,702,549
	816,117	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		7,948,980
	438	Tsann Kuen Enterprises Co Ltd *		582
	7,051,000	U-Ming Marine Transport Co		19,386,544
	6,916,540	Unimicron Technology Corp		10,436,514
	9,079,100	Uni-President Enterprises Corp		13,033,670
	12,133,873	Wan Hai Lines Ltd		10,304,078
	38,672,020	Waterland Financial Holdings		14,778,929
	11,001,000	Wintek Corp		10,739,453
	15,408,000	Wistron Corp		25,444,257
	66,725,000	Yuanta Financial Holding Co Ltd *		58,497,634
		Total Taiwan		1,973,629,079
		Thailand — 6.4%
	14,364,590	Advanced Info Service Pcl (Foreign Registered) (c)		47,305,071
	7,983,540	Bangkok Bank Pcl NVDR (c)		32,596,356
	29,855,800	Bangkok Dusit Medical Service Pcl (Foreign Registered) (c)		31,563,201
	5,452,500	Bank of Ayudhya Pcl (Foreign Registered) (c)		4,362,381
	18,701,760	Bank of Ayudhya Pcl NVDR (c)		14,454,752
	5,134,940	Banpu Pcl (Foreign Registered) (c)		76,935,040
	573,790	Banpu Pcl NVDR (c)		8,596,898
	41,745,020	BEC World Pcl (Foreign Registered) (c)		36,089,714
	11,150,580	Home Product Center Pcl (Foreign Registered) (c)		1,756,389
	103,455,800	IRPC Pcl (Foreign Registered) (c)		19,477,301
	109,514,650	Italian Thai Development Pcl (Foreign Registered) * (c)		30,884,697
	18,442,760	Kasikornbank Pcl (Foreign Registered) (c)		51,699,524
	21,641,700	Kasikornbank Pcl NVDR (c)		59,650,163
	31,705,000	Krung Thai Bank Pcl (Foreign Registered) (c)		10,778,189
	48,301,630	Land & Houses Pcl NVDR (c)		12,741,195
	13,838,500	Major Cineplex Group (Foreign Registered) (c)		7,731,006
	22,331,771	PTT Aromatics & Refining Pcl (Foreign Registered) * (c)		29,976,722
	9,740,000	PTT Exploration & Production Pcl (Foreign Registered) (c)		49,025,234

See accompanying notes to the financial statements.

14

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Thailand — continued
	17,043,270	PTT Pcl (Foreign Registered) (c)		182,264,980
	8,938,690	Robinson Department Store Pcl (Foreign Registered) (c)		3,174,421
	3,499,793	Robinson Department Store Pcl NVDR (c)		1,242,891
	13,251,400	Saha Pathana International Holding Pcl (Foreign Registered) (c)		8,191,618
	3,564,838	Siam Cement Pcl NVDR (c)		24,228,202
	20,186,900	Siam Commercial Bank Pcl (Foreign Registered) (c)		55,330,128
	3,108,050	Star Block Co Ltd (Foreign Registered) * (b) (c) (e)		987
	19,808,320	Thai Oil Pcl (Foreign Registered) (c)		48,980,831
	10,883,760	Thoresen Thai Agencies Pcl (Foreign Registered) (c)		16,256,378
		Total Thailand		865,294,269
		Turkey — 2.6%
	5,315,530	Akbank TAS		28,138,556
	5,576,090	Dogan Sirketler Grubu Holdings AS *		7,015,685
	1,966,410	Enka Insaat ve Sanayi AS		29,586,536
	3,984,970	Eregli Demir ve Celik Fabrikalari TAS		28,020,494
	3,679,520	Haci Omer Sabanci Holding AS		16,549,248
	4,144,150	KOC Holding AS *		15,607,538
	42,150	Medya Holding AS * (c) (e)		345
	1,715,910	Tupras-Turkiye Petrol Rafineriler AS		43,503,555
	1,034,670	Turk Hava Yollari Anonim Ortakligi *		6,147,491
	4,103,170	Turkcell Iletisim Hizmet AS		40,540,866
	14,160,600	Turkiye Garanti Bankasi		83,979,725
	1,410,330	Turkiye Halk Bankasi AS *		8,924,309
	7,242,630	Turkiye IS Bankasi Class C		33,219,965
	4,785,200	Yapi Ve Kredi Bankasi AS *		10,816,395
		Total Turkey		352,050,708
		TOTAL COMMON STOCKS (COST $9,002,269,976)		10,947,935,574

See accompanying notes to the financial statements.

15

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		PREFERRED STOCKS — 13.5%
		Brazil — 12.0%
	3,609,968	Banco Bradesco SA 0.32%		112,711,437
	4,494,640	Banco Itau Holding Financeira SA 2.81%		113,223,147
	959,700	Bradespar SA 0.28%		24,970,019
	3,180,726	Companhia Energetica de Minas Gerais 2.29%		60,563,762
	1,158,700	Companhia Paranaense de Energia Class B 2.20%		18,849,173
	8,257,108	Companhia Vale do Rio Doce Class A 0.05%		243,450,656
	938,500	Electrobras (Centro) SA Class B 6.09%		13,763,113
	896,500	Gerdau Metalurgica SA 2.65%		39,494,560
	3,256,031	Gerdau SA 2.11%		106,397,181
	19,623,682	Itausa-Investimentos Itau SA 0.11%		124,744,002
	1,802,052	Net Servicos de Comunicacoa SA *		19,830,990
	8,703,052	Petroleo Brasileiro SA (Petrobras) 0.43%		419,173,074
	1,025,400	Petroleo Brasileiro SA Sponsored ADR 0.38%		100,417,422
	5,674,223	Sadia SA 3.09%		32,077,093
	3,108,720	Tele Norte Leste Participacoes ADR 3.52%		77,811,262
	387,300	Telecomunicacoes de Sao Paulo SA 6.72%		11,066,369
	659,100	Telemar Norte Leste SA Class A 3.67%		35,466,915
	6,220,732	Unipar Class B 0.68%		5,959,190
	970,800	Usinas Siderrurgicas de Minas Gerais SA Class A 2.26%		56,258,293
		Total Brazil		1,616,227,658
		Malaysia — 0.0%
	15,370,443	WCT Engineering Series ICPS *		4,059,009
		Russia — 0.1%
	11,260	Transneft 0.66%		16,383,300
		South Korea — 1.4%
	365,300	Hyundai Motor Co 3.86%		10,445,812
	491,990	Hyundai Motor Co 4.03%		14,167,546
	387,392	Samsung Electronics Co Ltd (Non Voting) 3.69%		166,299,832
		Total South Korea		190,913,190
		TOTAL PREFERRED STOCKS (COST $795,603,691)		1,827,583,157

See accompanying notes to the financial statements.

16

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		PRIVATE EQUITY SECURITIES — 0.7%
		Poland — 0.7%
		CHP Investors (Multimedia) * (c) (d)		29,356,596
		MHP Investors (Tri Media Holdings Ltd) * (c) (d)		57,335,486
		Total Poland		86,692,082
		Russia — 0.0%
	46,624	Divot Holdings NV, Convertible Securities-Class F * (c) (d) (e)		466
	90,000	Divot Holdings NV, Private Equity Securities-Class D * (c) (d) (e)		900
	124,330	Divot Holdings NV, Private Equity Securities-Class E * (c) (d) (e)		1,243
		Total Russia		2,609
		Sri Lanka — 0.0%
	2,545,869	Millenium Information Technology * (b) (c) (d)		787,470
		TOTAL PRIVATE EQUITY SECURITIES (COST $3,925,626)		87,482,161
		INVESTMENT FUNDS — 0.4%
		China — 0.1%
	250,446	Martin Currie China A Share Fund Ltd * (c) (d)		14,335,519
		India — 0.1%
	10,303	Fire Capital Mauritius Private Fund * (c) (d) (k)		9,021,539
	170	SPG Infinity Technology Fund I * (c) (d)		5,583
	1,371,900	TDA India Technology Fund II LP * (c) (d)		2,521,621
	100	UTI Masterplus 1991 Units (Shares Under Objection) * (c) (d)		—
		Total India		11,548,743
		Poland — 0.0%
	1,749,150	The Emerging European Fund II LP * (c) (d)		786,278

See accompanying notes to the financial statements.

17

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Russia — 0.2%
	9,500,000	NCH Eagle Fund LP * (c) (d)		28,534,200
	2,000	Steep Rock Russia Fund LP (c) (d)		1,943,925
		Total Russia		30,478,125
		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund * (c) (d)		4,000
		TOTAL INVESTMENT FUNDS (COST $26,727,232)		57,152,665
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	15,773,052	U.S. Treasury Inflation Indexed Note, 3.88%, due 01/15/09 (f)		16,427,381
		TOTAL DEBT OBLIGATIONS (COST $16,536,501)		16,427,381
		RIGHTS AND WARRANTS — 0.1%
		Brazil — 0.0%
	31,966	Banco Bradesco SA Rights, Expires 02/22/08 * (g)		84,116
	20,157	Net Servicos de Comunicacao SA Right, Expires 03/07/08 *		1,430
		Total Brazil		85,546
		India — 0.1%
	32,542	Uniphos Enterprises Ltd Warrants, 144A, Expires 01/28/09 (Merrill Lynch) * (c) (h)		46,355
	711,650	United Phosphorus Ltd Warrants, 144A, Expires 01/28/09 (Merrill Lynch) * (c) (h)		5,957,835
		Total India		6,004,190
		Malaysia — 0.0%
	4,963,466	Sunway City Warrants, Expires 10/04/17 *		769,108

See accompanying notes to the financial statements.

18

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Thailand — 0.0%
	2,689,393	True Corp Pcl Warrants, Expires 04/03/08 * (c)		—
		TOTAL RIGHTS AND WARRANTS (COST $1,978,162)		6,858,844
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuer
	8,064	GMO Special Purpose Holding Fund (c) (i)		10,161
		TOTAL MUTUAL FUNDS (COST $0)		10,161
		CONVERTIBLE SECURITIES — 0.0%
		India — 0.0%
	3,380,000	Adani Enterprise, 0.06%, due 01/27/12		3,929,250
		TOTAL CONVERTIBLE SECURITIES (COST $4,148,950)		3,929,250
		SHORT-TERM INVESTMENTS — 3.3%
	17,438,850	Bank of New York Mellon Institutional Cash Reserves Fund (j)		17,438,850
	428,400,000	Rabobank Time Deposit, 3.15%, due 03/03/08		428,400,000
		TOTAL SHORT-TERM INVESTMENTS (COST $445,838,850)		445,838,850
		TOTAL INVESTMENTS — 99.1% (Cost $10,297,028,988)		13,393,218,043
		Other Assets and Liabilities (net) — 0.9%		123,737,290
		TOTAL NET ASSETS — 100.0%	$	13,516,955,333

See accompanying notes to the financial statements.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund's Net Assets			Value as of February 29, 2008
CBAY Systems Ltd	5/06/03-11/10/05	$	—		0.00	%	$	59,482
CHP Investors (Multimedia)	3/05/01		18,178,923		0.22	%		29,356,596
Divot Holdings NV, Convertible Securities-Class F	3/27/02		46,624		0.00	%		466
Divot Holdings NV, Private Equity Securities-Class D	6/26/00		1,502,100		0.00	%		900
Divot Holdings NV, Private Equity Securities-Class E	9/21/01		124,330		0.00	%		1,243
Fire Capital Mauritius Private Fund	9/06/06-1/18/08		10,341,817		0.07	%		9,021,539
Martin Currie China A Share Fund Ltd	1/20/06		2,710,928		0.11	%		14,335,519
MHP Investors (Tri Media Holdings Ltd)	5/01/05		27,983,521		0.42	%		57,335,486
Millenium Information Technology	10/21/99		2,252,570		0.01	%		787,470
NCH Eagle Fund LP	1/08/03		9,500,000		0.21	%		28,534,200
Societe Generale Thalmann Ukraine Fund	7/15/97		199,943		0.00	%		4,000
SPG Infinity Technology Fund I	12/23/99		62,449		0.00	%		5,583
Steep Rock Russia Fund LP	12/22/06		2,000,000		0.01	%		1,943,925
TDA India Technology Fund II LP	2/23/00-3/23/04		787,800		0.02	%		2,521,621
The Emerging European Fund II LP	12/05/97-6/24/02		1,124,248		0.01	%		786,278
UTI Masterplus 1991 Units (Shares Under Objection)	11/14/97		48		0.00	%		—
							$	144,694,308

See accompanying notes to the financial statements.

20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

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

(b)  Affiliated company (Note 8).

(c)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(d)  Direct placement securities are restricted as to resale.

(e)  Bankrupt issuer.

(f)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(g)  As of February 29, 2008, these rights have been exercised but shares have not yet been credited to the Fund.

(h)  Structured warrants with risks similar to equity swaps.

(i)  Underlying investment represents interests in defaulted securities.

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

(k)  The Fund is committed to additional capital contributions in the amount of $9,696,527 to this investment.

As of February 29, 2008, 60.56% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

21

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value, including securities on loan of $16,225,724 (cost $10,182,797,395) (Note 2)	$	13,248,537,336
Investments in affiliated issuers, at value (cost $114,231,593) (Notes 2 and 8)		144,680,707
Cash		63,995
Foreign currency, at value (cost $86,494,575) (Note 2)		86,313,929
Receivable for investments sold		95,492,282
Receivable for Fund shares sold		52,211,918
Dividends and interest receivable		45,532,431
Foreign taxes receivable		2,070,758
Receivable for expenses reimbursed by Manager (Note 3)		50,199
Total assets		13,674,953,555
Liabilities:
Collateral on securities loaned, at value (Note 2)		17,438,850
Payable for investments purchased		70,786,759
Payable for Fund shares repurchased		51,965,953
Payable to affiliate for (Note 3):
Management fee		8,530,589
Shareholder service fee		978,532
Trustees and Chief Compliance Officer of GMO Trust fees		16,853
Accrued expenses		8,280,686
Total liabilities		157,998,222
Net assets	$	13,516,955,333

See accompanying notes to the financial statements.

22

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	8,834,010,948
Distributions in excess of net investment income		(89,222,065	)
Accumulated net realized gain		1,675,668,963
Net unrealized appreciation		3,096,497,487
	$	13,516,955,333
Net assets attributable to:
Class III shares	$	3,402,343,405
Class IV shares	$	3,021,318,725
Class V shares	$	1,190,886,765
Class VI shares	$	5,902,406,438
Shares outstanding:
Class III		166,148,951
Class IV		148,097,253
Class V		58,409,062
Class VI		289,117,768
Net asset value per share:
Class III	$	20.48
Class IV	$	20.40
Class V	$	20.39
Class VI	$	20.42

See accompanying notes to the financial statements.

23

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $39,932,639)	$	281,773,024
Interest		9,874,710
Dividends from affiliated issuers (Note 8)		2,359,355
Securities lending income		203,917
Total investment income		294,211,006
Expenses:
Management fee (Note 3)		115,289,453
Shareholder service fee – Class III (Note 3)		6,183,843
Shareholder service fee – Class IV (Note 3)		3,374,485
Shareholder service fee – Class V (Note 3)		835,934
Shareholder service fee – Class VI (Note 3)		3,252,401
Custodian and fund accounting agent fees		18,453,904
Transfer agent fees		63,698
Audit and tax fees		721,821
Legal fees		412,213
Trustees fees and related expenses (Note 3)		154,957
Registration fees		38,143
Miscellaneous		171,950
Total expenses		148,952,802
Fees and expenses reimbursed by Manager (Note 3)		(644,613	)
Expense reductions (Note 2)		(66,795	)
Net expenses		148,241,394
Net investment income (loss)		145,969,612
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax of $4,298,031) (Note 2)		4,111,684,769
Investments in affiliated issuers		39,869,031
Realized gains distributions from affiliated issuers (Note 8)		52,305
Written options		1,514,966
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $291,328) (Note2)		(6,618,160	)
Net realized gain (loss)		4,146,502,911
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers (net of change in foreign capital gains tax accrual of ($100,262)) (Note 2)		(775,250,798	)
Investments in affiliated issuers		(12,173,003	)
Written options		(1,365,146	)
Foreign currency, forward contracts and foreign currency related transactions		546,653
Net unrealized gain (loss)		(788,242,294	)
Net realized and unrealized gain (loss)		3,358,260,617
Net increase (decrease) in net assets resulting from operations	$	3,504,230,229

See accompanying notes to the financial statements.

24

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	145,969,612		$	232,232,829
Net realized gain (loss)		4,146,502,911			2,466,047,655
Change in net unrealized appreciation (depreciation)		(788,242,294	)		(767,827,160	)
Net increase (decrease) in net assets from operations		3,504,230,229			1,930,453,324
Distributions to shareholders from:
Net investment income
Class III		(48,626,770	)		(105,664,375	)
Class IV		(42,295,439	)		(68,374,071	)
Class V		(15,014,450	)		(29,926,264	)
Class VI		(80,326,387	)		(93,772,150	)
Total distributions from net investment income		(186,263,046	)		(297,736,860	)
Net realized gains
Class III		(949,235,421	)		(908,095,602	)
Class IV		(772,927,597	)		(590,804,170	)
Class V		(267,663,344	)		(258,528,323	)
Class VI		(1,418,555,036	)		(746,269,681	)
Total distributions from net realized gains		(3,408,381,398	)		(2,503,697,776	)
		(3,594,644,444	)		(2,801,434,636	)
Net share transactions (Note 7):
Class III		(1,040,843,043	)		(220,757,037	)
Class IV		486,322,877			(274,126,590	)
Class V		616,982,566			(689,231,191	)
Class VI		853,624,667			2,195,109,702
Increase (decrease) in net assets resulting from net share transactions		916,087,067			1,010,994,884

See accompanying notes to the financial statements.

25

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets — (Continued)

	Year Ended February 29, 2008		Year Ended February 28, 2007
Purchase premiums and redemption fees (Notes 2 and 7):
Class III	$	6,256,642	$	3,421,946
Class IV		3,200,572		3,362,504
Class V		2,262,707		1,945,943
Class VI		7,226,204		3,682,255
Increase in net assets resulting from purchase premiums and redemption fees		18,946,125		12,412,648
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		935,033,192		1,023,407,532
Total increase (decrease) in net assets		844,618,977		152,426,220
Net assets:
Beginning of period		12,672,336,356		12,519,910,136
End of period (including distributions in excess of net investment income of $89,222,065 and $68,376,637, respectively)	$	13,516,955,333	$	12,672,336,356

See accompanying notes to the financial statements.

26

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	20.67		$	22.49		$	19.05		$	15.78		$	8.82
Income (loss) from investment operations:
Net investment income (loss)†		0.25			0.41			0.37			0.34			0.23
Net realized and unrealized gain (loss)		5.94			3.00			6.24			4.40			6.97
Total from investment operations		6.19			3.41			6.61			4.74			7.20
Less distributions to shareholders:
From net investment income		(0.31	)		(0.54	)		(0.43	)		(0.32	)		(0.24	)
From net realized gains		(6.07	)		(4.69	)		(2.74	)		(1.15	)		—
Total distributions		(6.38	)		(5.23	)		(3.17	)		(1.47	)		(0.24	)
Net asset value, end of period	$	20.48		$	20.67		$	22.49		$	19.05		$	15.78
Total Return(a)		28.38	%		17.05	%		37.99	%		31.45	%		82.10	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,402,343		$	4,276,782		$	4,788,395		$	4,433,098		$	4,079,172
Net expenses to average daily net assets		1.09	%(b)		1.07	%		1.10	%		1.11	%		1.12	%
Net investment income to average daily net assets		1.04	%		1.87	%		1.88	%		2.17	%		1.85	%
Portfolio turnover rate		60	%		44	%		41	%		57	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.00	%(c)		0.01	%		0.01	%		0.01	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.04		$	0.02		$	0.01		$	0.01		$	0.06

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(b)  The net expense ratio does not include the effect of expense reductions.

(c)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements

27

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	20.62		$	22.45		$	19.02		$	15.75		$	8.81
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.42			0.40			0.34			0.24
Net realized and unrealized gain (loss)		5.95			2.99			6.20			4.41			6.94
Total from investment operations		6.18			3.41			6.60			4.75			7.18
Less distributions to shareholders:
From net investment income		(0.33	)		(0.55	)		(0.43	)		(0.33	)		(0.24	)
From net realized gains		(6.07	)		(4.69	)		(2.74	)		(1.15	)		—
Total distributions		(6.40	)		(5.24	)		(3.17	)		(1.48	)		(0.24	)
Net asset value, end of period	$	20.40		$	20.62		$	22.45		$	19.02		$	15.75
Total Return(a)		28.38	%		17.10	%		38.05	%		31.59	%		81.97	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,021,319		$	2,599,002		$	3,081,021		$	3,255,865		$	1,799,736
Net expenses to average daily net assets		1.05	%(b)		1.03	%		1.05	%		1.06	%		1.08	%
Net investment income to average daily net assets		0.98	%		1.94	%		2.03	%		2.13	%		2.05	%
Portfolio turnover rate		60	%		44	%		41	%		57	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.00	%(c)		0.01	%		0.01	%		0.01	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.02		$	0.02		$	0.01		$	0.00	(d)	$	0.05

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(b)  The net expense ratio does not include the effect of expense reductions.

(c)  Ratio is less than 0.01%.

(d)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements

28

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29

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006
Net asset value, beginning of period	$	20.61		$	22.44		$	19.02
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.43			0.22
Net realized and unrealized gain (loss)		5.96			2.98			6.39
Total from investment operations		6.19			3.41			6.61
Less distributions to shareholders:
From net investment income		(0.34	)		(0.55	)		(0.45	)
From net realized gains		(6.07	)		(4.69	)		(2.74	)
Total distributions		(6.41	)		(5.24	)		(3.19	)
Net asset value, end of period	$	20.39		$	20.61		$	22.44
Total Return(c)		28.43	%		17.11	%		38.12	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,190,887		$	679,988		$	1,447,059
Net expenses to average daily net assets		1.03	%(d)		1.01	%		1.04	%
Net investment income to average daily net assets		0.98	%		1.97	%		1.06	%
Portfolio turnover rate		60	%		44	%		41	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.00	%(f)		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.05		$	0.03		$	0.02

(a)  The class was inactive from October 27, 2004 to February 11, 2005.

(b)  Distributions from net realized gains were less than $0.01 per share.

(c)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of
reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(d)  The net expense ratio does not include the effect of expense reductions.

(e)  The ratio for the period has not been annualized since the Fund believes it would not be appropriate because the Fund's dividend income is
not earned ratably throughout the fiscal year.

(f)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

***  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2005.

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

See accompanying notes to the financial statements.

30

GMO Emerging Markets Fund

(A Series of GMO Trust)

Financial Highlights — (Continued)
(For a Class V share outstanding throughout each period)

	Period from February 11, 2005 (commencement of operations) through			Period from March 1, 2004 through			Period from August 4, 2003 (commencement of operations) through
	February 28, 2005(a)			October 26, 2004(a)			February 29, 2004
Net asset value, beginning of period	$	17.88		$	15.77		$	10.81
Income (loss) from investment operations:
Net investment income (loss)†		(0.01	)		0.25			0.13
Net realized and unrealized gain (loss)		1.15			(0.09	)		5.02
Total from investment operations		1.14			0.16			5.15
Less distributions to shareholders:
From net investment income		—			(0.07	)		(0.19	)
From net realized gains		—			(0.00	)(b)		—
Total distributions		—			(0.07	)		(0.19	)
Net asset value, end of period	$	19.02		$	15.86		$	15.77
Total Return(c)		6.38	%**		1.10	%**		47.82	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	38,564		$	116,417		$	382,193
Net expenses to average daily net assets		1.03	%*		1.05	%*		1.07	%*
Net investment income to average daily net assets		(0.05	)%(e)**		1.70	%(e)**		1.69	%*
Portfolio turnover rate		57	%***		57	%***		46	%****
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%*		0.01	%*		0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†		—			—		$	0.03

See accompanying notes to the financial statements.

31

GMO Emerging Markets Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	20.63		$	22.45		$	19.03		$	15.76		$	10.45
Income (loss) from investment operations:
Net investment income (loss)†		0.25			0.42			0.38			0.34			0.14
Net realized and unrealized gain (loss)		5.95			3.01			6.23			4.41			5.42
Total from investment operations		6.20			3.43			6.61			4.75			5.56
Less distributions to shareholders:
From net investment income		(0.34	)		(0.56	)		(0.45	)		(0.33	)		(0.25	)
From net realized gains		(6.07	)		(4.69	)		(2.74	)		(1.15	)		—
Total distributions		(6.41	)		(5.25	)		(3.19	)		(1.48	)		(0.25	)
Net asset value, end of period	$	20.42		$	20.63		$	22.45		$	19.03		$	15.76
Total Return(b)		28.49	%		17.20	%		38.07	%		31.63	%		53.62	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	5,902,406		$	5,116,565		$	3,203,435		$	2,083,376		$	879,837
Net expenses to average daily net assets		1.00	%(c)		0.98	%		1.00	%		1.01	%		1.04	%*
Net investment income to average daily net assets		1.05	%		1.93	%		1.94	%		2.15	%		1.54	%*
Portfolio turnover rate		60	%		44	%		41	%		57	%		46	%***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.00	%(d)		0.01	%		0.01	%		0.01	%		0.02	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.03		$	0.02		$	0.02		$	0.03		$	0.04

(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
periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(c)  The net expense ratio does not include the effect of expense reductions.

(d)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

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

See accompanying notes to the financial statements

32

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1  Organization

GMO Emerging Markets 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming the S&P/IFCI (Investable) Composite Index. The Fund typically makes equity investments in companies whose stocks are traded in the securities markets of the world's non-developed markets, which excludes countries that are included in the MSCI EAFE Index.

Throughout the year ended February 29, 2008, the Fund had four classes of shares outstanding: Class III, Class IV, Class V and Class VI. Each class of shares bears a different level of shareholder service fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of GMO Special Purpose Holding Fund are not publicly available for direct purchase.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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

33

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

value. Shares of investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Indian regulators have alleged that the Fund violated certain conditions under which it was granted permission to operate in India and have restricted a portion of the Fund's locally held assets pending resolution of the dispute. The amount of these restricted assets represents less than 0.1% of the Fund's net assets as of February 29, 2008. The valuation of this possible claim and all matters relating to the Fund's response to these allegations are subject to supervision and control of the Trustees, and all costs in respect of this matter are being borne by the Fund.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $52,305 through SPHF in conjunction with settlement agreements related to the default of those securities.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of a forward currency contract fluctuates with changes in forward currency

34

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. 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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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

35

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no open written option contracts at the end of the period.

For the year ended February 29, 2008, the Fund's investment activity in written options contracts was as follows:

	Principal Amount of Contracts			Premiums
Outstanding, beginning of period	$	(23,523,993	)	$	(1,514,966	)
Options written		—			—
Options exercised		—			—
Options expired		23,523,993			1,514,966
Options sold		—			—
Outstanding, end of period	$	—		$	—

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. There were no purchased option contracts outstanding at the end of the period.

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.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may

36

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. Indexed securities held by the Fund at the end of the period are listed in the Fund's Schedule of Investments.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

37

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $16,225,724 collateralized by cash in the amount of $17,438,850, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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. For the year ended February 29, 2008, the Fund incurred $4,298,031 in capital gain taxes which is included in net realized gain (loss) in the Statement of Operations.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. For the year ended February 29, 2008, the Fund incurred $291,328 in CPMF tax which is included

38

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

in the net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

The Fund is currently subject to a Taiwanese security transaction tax of 0.30% of the transaction amount on equities, which must be paid by the Fund upon the sale or transfer of any portfolio securities subject to such tax.

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

U.S. GAAP and tax accounting differences primarily relate to foreign currency transactions, losses on wash sale transactions, partnership interest tax allocations, post-October currency losses and passive foreign investment company transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	19,448,006	$	(21,180,412	)	$	1,732,406

39

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	563,852,184	$	621,004,317
Long-term capital gains		3,030,792,260		2,180,430,319
Total distributions	$	3,594,644,444	$	2,801,434,636

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	39,329,362
Undistributed long–term capital gain	$	1,676,727,752

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October currency losses of $12,836,574.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	10,411,605,151	$	3,446,042,399	$	(464,429,507	)	$	2,981,612,892

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

40

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.80% 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. These fees are allocated relative to each class's net assets on the share transaction date. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

Investments in securities of issuers in emerging countries present certain risks that are not inherent in many other investments. Many emerging countries present elements of political and/or economic instability. The securities markets of emerging countries are generally smaller and less developed than the securities markets of the U.S. and developed foreign markets. Further, countries may impose various types of foreign currency regulations or controls which may impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities in anticipation of improving conditions in the related

41

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

countries. These factors may result in significant volatility in the values of its holdings. The markets in emerging countries are typically less liquid than those of developed markets. Accordingly, the Fund may not be able to realize in an actual sale amounts approximating those used to value its holdings.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.81% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.105% for Class IV shares, 0.085% for Class V shares, and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, custodial fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding

42

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.81% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the GMO Special Purpose Holding Fund. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.000	%		0.000	%		0.000	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $136,005 and $61,378, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	2,979,372
Investments (non-U.S. Government securities)		8,247,123,561		11,120,966,132

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.

43

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, there were no shareholders individually holding in excess of 10% of the Fund's outstanding shares.

As of February 29, 2008, 0.40% of the Fund's shares were held by forty-nine related parties comprised of certain GMO employee accounts, and 26.82% of the Fund's shares were held by accounts for which the Manager has investment discretion.

44

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		511,450		$	11,067,541			901,800		$	19,806,386
Shares issued to shareholders in reinvestment of distributions		41,256,239			944,580,044			47,035,328			954,963,472
Shares repurchased		(82,489,753	)		(1,996,490,628	)		(53,946,185	)		(1,195,526,895	)
Purchase premiums		—			34,924			—			16,816
Redemption fees		—			6,221,718			—			3,405,130
Net increase (decrease)		(40,722,064	)	$	(1,034,586,401	)		(6,009,057	)	$	(217,335,091	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		42,157,428		$	1,040,161,863			19,134,727		$	423,961,978
Shares issued to shareholders in reinvestment of distributions		35,738,546			808,409,341			32,302,833			653,579,480
Shares repurchased		(55,851,088	)		(1,362,248,327	)		(62,645,477	)		(1,351,668,048	)
Purchase premiums		—			4,000			—			4,261
Redemption fees		—			3,196,572			—			3,358,243
Net increase (decrease)		22,044,886		$	489,523,449			(11,207,917	)	$	(270,764,086	)

45

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class V:	Shares			Amount			Shares			Amount
Shares sold		36,562,016		$	922,567,536			14,260,670		$	302,250,327
Shares issued to shareholders in reinvestment of distributions		12,460,349			281,241,715			14,192,468			287,016,728
Shares repurchased		(23,612,498	)		(586,826,685	)		(59,953,974	)		(1,278,498,246	)
Purchase premiums		—			—			—			—
Redemption fees		—			2,262,707			—			1,945,943
Net increase (decrease)		25,409,867		$	619,245,273			(31,500,836	)	$	(687,285,248	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		25,646,673		$	584,700,516			92,951,864		$	1,981,148,689
Shares issued to shareholders in reinvestment of distributions		64,927,161			1,472,096,525			39,847,798			808,375,017
Shares repurchased		(49,478,255	)		(1,203,172,374	)		(27,445,223	)		(594,414,004	)
Purchase premiums		—			953,166			—			715,182
Redemption fees		—			6,273,038			—			2,967,073
Net increase (decrease)		41,095,579		$	860,850,871			105,354,439		$	2,198,791,957

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds in GMO Trust during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Special Purpose Holding Fund	$	11,371	$	—	$	—	$	—	$	52,305	$	10,161
Totals	$	11,371	$	—	$	—	$	—	$	52,305	$	10,161

46

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

An affiliated company is a company in which the Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund's transactions with companies which are or were affiliates during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Bakrie & Brothers Tbk PT	$	—	$	48,294,307	$	—	$	—	$	52,163,380
Biomass Korea Co Ltd		—		7,053,102		—		—		4,806,682
Boryung Pharmaceutical Co Ltd		7,071,014		—		—		97,964		9,623,938
CBAY Systems Holdings Ltd		16,259,042		—		—		—		18,319,951
Daehan Pulp Co Ltd		3,669,664		—		—		—		3,241,894
Dimerco Express Taiwan Corp		10,538,781		—		—		248,444		13,447,262
EnE System Inc		13,754,436		—		—		—		9,225,369
In The F Co Ltd (formerly Nasan Co Ltd)		14,147,918		—		—		—		11,011,120
Kolon Construction*		29,034,912		—		31,811,704		—		—
Korea Real Estate*		14,787,117		—		—		—		19,779,239
Les Enphants Co Ltd		10,293,616		—		404,121		230,214		8,606,563
Mbiznetworks Global Co*		2,855,881		—		3,356,490		—		—
Megaworld Corp*		65,571,291		3,829,378		22,510,724		423,735		49,255,194
Millenium Information Technology		787,470		—		—		—		787,470
Pumyang Construction Co Ltd		9,376,861		—		—		—		13,435,930
Robinsons Land Corp*		64,992,132		914,695		16,260,267		1,333,399		36,937,049
SSCP Co Ltd*		31,670,938		—		30,076,389		—		7,660,637
Star Block Co Ltd (Foreign Registered)		913		—		—		—		987
Yarnapund Pcl*		2,616,004		—		2,310,202		25,599		—
Totals	$	297,427,990	$	60,091,482	$	106,729,897	$	2,359,355	$	258,302,665

*  No longer an affiliate as of February 29, 2008.

47

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Emerging Markets 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 Emerging Markets Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

48

GMO Emerging Markets Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

49

GMO Emerging Markets Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		1.12	%	$	1,000.00	$	1,027.60	$	5.65
2) Hypothetical		1.12	%	$	1,000.00	$	1,019.29	$	5.62
Class IV
1) Actual		1.08	%	$	1,000.00	$	1,027.40	$	5.44
2) Hypothetical		1.08	%	$	1,000.00	$	1,019.49	$	5.42
Class V
1) Actual		1.06	%	$	1,000.00	$	1,027.70	$	5.34
2) Hypothetical		1.06	%	$	1,000.00	$	1,019.59	$	5.32
Class VI
1) Actual		1.03	%	$	1,000.00	$	1,027.80	$	5.19
2) Hypothetical		1.03	%	$	1,000.00	$	1,019.74	$	5.17

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

50

GMO Emerging Markets Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $3,030,792,260 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $44,170,023 and recognized foreign source income of $321,705,663.

For taxable, non-corporate shareholders, 15.85% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $377,589,138 or if determined to be different, the qualified short term capital gains of such year.

51

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 Office1 and 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 theBoard of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business2; Vice Chair (since2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

52

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

53

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

54

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

55

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Portfolio Managers

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Short-Duration Investment Fund returned +0.4% for the fiscal year ended February 29, 2008, as compared with +5.8% for the JPMorgan U.S. 3 Month Cash Index. The Fund underperformed the benchmark during the fiscal year by 5.4%.

The fiscal year's underperformance stemmed from mark-to-market losses in the GMO Short Duration Collateral Fund (SDCF), the cash collateral pool in which the strategy invests a substantial portion of its total assets. SDCF primarily invests in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, SDCF underperformed LIBOR by nearly 700 basis points, directly contributing to the Short-Duration Investment Fund's underperformance given the latter's 72% exposure to the former.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Short-Duration Investment Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		90.6	%
Short-Term Investments		6.5
Futures		(0.0	)
Forward Currency Contracts		(0.0	)
Swaps		(0.2	)
Other		3.1
		100.0	%

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

1

GMO Short-Duration Investment Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($)/Shares		Description	Value ($)
		DEBT OBLIGATIONS — 25.0%
		U.S. Government Agency — 25.0%
	116,655	Agency for International Development Floater (Support of Botswana), Variable Rate, 6 mo. U.S. Treasury Bill + .40%, 2.53%, due 10/01/12		116,365
	751,500	Agency for International Development Floater (Support of C.A.B.E.I.), Variable Rate, 6 mo. U.S. Treasury Bill + .40%, 2.53%, due 10/01/12		749,629
	670,297	Agency for International Development Floater (Support of Honduras), Variable Rate, 3 mo. U.S. Treasury Bill x 117%, 4.11%, due 10/01/11		666,527
	38,994	Agency for International Development Floater (Support of Peru), Series A, Variable Rate, 6 mo. U.S. Treasury Bill + .35%, 2.48%, due 05/01/14		38,800
	265,920	Small Business Administration Pool #502320, Variable Rate, Prime - 2.18%, 5.06%, due 08/25/18		269,380
		Total U.S. Government Agency		1,840,701
		TOTAL DEBT OBLIGATIONS (COST $1,844,284)		1,840,701
		MUTUAL FUNDS — 72.3%
		Affiliated Issuers — 72.3%
	221,558	GMO Short-Duration Collateral Fund		5,324,037
	9,192	GMO Special Purpose Holding Fund(a)(b)		11,582
		TOTAL MUTUAL FUNDS (COST $5,707,366)		5,335,619
		TOTAL INVESTMENTS — 97.3% (Cost $7,551,650)		7,176,320
		Other Assets and Liabilities (net) — 2.7%		199,074
		TOTAL NET ASSETS — 100.0%	$	7,375,394

See accompanying notes to the financial statements.

2

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  Underlying investment represents interests in defaulted securities.

See accompanying notes to the financial statements.

3

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $1,844,284) (Note 2)	$	1,840,701
Investments in affiliated issuers, at value (cost $5,707,366) (Notes 2 and 8)		5,335,619
Cash		176,127
Receivable for investments sold		1,613
Receivable for Fund shares sold		469,351
Interest receivable		32,761
Receivable for expenses reimbursed by Manager (Note 3)		16,849
Total assets		7,873,021
Liabilities:
Payable for Fund shares repurchased		469,351
Payable to affiliate for (Note 3):
Management fee		313
Shareholder service fee		940
Trustees and Chief Compliance Officer of GMO Trust fees		12
Accrued expenses		27,011
Total liabilities		497,627
Net assets	$	7,375,394
Net assets consist of:
Paid-in capital	$	12,105,073
Accumulated undistributed net investment income		1,079
Accumulated net realized loss		(4,355,428	)
Net unrealized depreciation		(375,330	)
	$	7,375,394
Net assets attributable to:
Class III shares	$	7,375,394
Shares outstanding:
Class III		872,954
Net asset value per share:
Class III	$	8.45

See accompanying notes to the financial statements.

4

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	396,947
Interest		164,495
Total investment income		561,442
Expenses:
Management fee (Note 3)		7,407
Shareholder service fee – Class III (Note 3)		22,221
Custodian, fund accounting agent and transfer agent fees		2,847
Audit and tax fees		35,880
Legal fees		45,634
Trustees fees and related expenses (Note 3)		121
Registration fees		2,589
Miscellaneous		1,600
Total expenses		118,299
Fees and expenses reimbursed by Manager (Note 3)		(88,495	)
Net expenses		29,804
Net investment income (loss)		531,638
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(113,568	)
Investments in affiliated issuers		288,575
Realized gains distributions from affiliated issuers (Note 8)		59,618
Net realized gain (loss)		234,625
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		106,921
Investments in affiliated issuers		(500,322	)
Net unrealized gain (loss)		(393,401	)
Net realized and unrealized gain (loss)		(158,776	)
Net increase (decrease) in net assets resulting from operations	$	372,862

See accompanying notes to the financial statements.

5

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	531,638		$	1,648,053
Net realized gain (loss)		234,625			483,475
Change in net unrealized appreciation (depreciation)		(393,401	)		(118,646	)
Net increase (decrease) in net assets from operations		372,862			2,012,882
Distributions to shareholders from:
Net investment income
Class III		(529,051	)		(1,646,299	)
Net share transactions (Note 7):
Class III		(23,783,143	)		1,493,876
Total increase (decrease) in net assets		(23,939,332	)		1,860,459
Net assets:
Beginning of period		31,314,726			29,454,267
End of period (including accumulated undistributed net investment income of $1,079 and distributions in excess of net investment income of $1,492, respectively)	$	7,375,394		$	31,314,726

See accompanying notes to the financial statements.

6

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	8.93		$	8.82		$	8.77		$	8.75		$	8.68
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.32			0.47			0.27			0.23			0.12
Net realized and unrealized gain (loss)		(0.28	)		0.11			0.07			(0.01	)		0.07
Total from investment operations		0.04			0.58			0.34			0.22			0.19
Less distributions to shareholders:
From net investment income		(0.52	)		(0.47	)		(0.29	)		(0.20	)		(0.12	)
Return of capital		—			—			—			—			(0.00	)(b)
Total distributions		(0.52	)		(0.47	)		(0.29	)		(0.20	)		(0.12	)
Net asset value, end of period	$	8.45		$	8.93		$	8.82		$	8.77		$	8.75
Total Return(c)		0.40	%		6.62	%		3.83	%		2.49	%		2.24	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	7,375		$	31,315		$	29,454		$	29,607		$	44,156
Net expenses to average daily net assets(d)		0.20	%		0.20	%		0.20	%		0.20	%		0.21	%
Net investment income to average daily net assets(a)		3.59	%		5.21	%		3.01	%		2.57	%		1.36	%
Portfolio turnover rate		5	%		12	%		17	%		101	%		4	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.60	%		0.14	%		0.13	%		0.10	%		0.10	%

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  Return of capital distribution was less than $0.01.

(c)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

7

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Short-Duration Investment 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 Funds into classes.

The Fund seeks to provide current income. The Fund seeks to achieve this objective by investing a substantial portion of its assets in GMO Short-Duration Collateral Fund, which primarily invests in high quality U.S. and foreign floating rate fixed income securities, in particular asset-backed securities, issued by a wide range of private and government issuers. In addition, the Fund makes investments in high quality fixed income securities. The Fund's benchmark is the JPMorgan U.S. 3 Month Cash Index.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of the GMO Special Purpose Holding Fund and the GMO Short-Duration Collateral Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value

8

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 48.09% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $59,618 through SPHF in conjunction with settlement agreements related to the default of those securities.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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

9

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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

10

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions and partnership interest tax allocations.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(16	)	$	16	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	529,051	$	1,646,299
Total distributions	$	529,051	$	1,646,299

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 5,072

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

02/29/2012	$	(500,299	)
02/28/2013		(708	)
02/28/2014		(3,024,063	)
02/29/2016		(226,383	)
Total	$	(3,751,453	)

11

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	8,159,618	$	13,657	$	(996,955	)	$	(983,298	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact

12

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expense indirectly incurred by investment in underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.05% of the Fund's average daily net assets.

13

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

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

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $114 and $51, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	3,566,272
Investments (non-U.S. Government securities)		736,947		21,000,000

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 54.45% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of

14

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

10% of the outstanding shares of the Fund. 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 29, 2008, 15.07% of the Fund's shares were held by sixteen related parties comprised of certain GMO employee accounts, and 80.68% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		55,544		$	469,351			343,252		$	3,089,088
Shares issued to shareholders in reinvestment of distributions		60,822			528,993			184,742			1,642,384
Shares repurchased		(2,751,782	)		(24,781,487	)		(360,524	)		(3,237,596	)
Net increase (decrease)		(2,635,416	)	$	(23,783,143	)		167,470		$	1,493,876

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	25,797,458	$	736,947	$	21,000,000	$	396,947	$	—	$	5,324,037
GMO Special Purpose Holding Fund		12,961		—		—		—		59,618		11,582
Totals	$	25,810,419	$	736,947	$	21,000,000	$	396,947	$	59,618	$	5,335,619

15

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Short-Duration Investment 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 Short-Duration Investment Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

16

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.20	%	$	1,000.00	$	987.50	$	0.99
2) Hypothetical		0.20	%	$	1,000.00	$	1,023.87	$	1.01

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

17

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $281,931 or if determined to be different, the qualified interest income of such year.

18

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.	47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

19

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: 10/03/1941	Trustee		Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.	47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).	47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

20

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001-2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

21

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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)
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).

⁵  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.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

23

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

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 -11.7% for the fiscal year ended February 29, 2008, as compared to -4.3% for the Russell 2500 Growth Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the Russell 2500 Growth Index. Selections in Materials and Telecommunication Services added to relative returns while selections in Consumer Discretionary, Financials, and Energy detracted. Individual names adding to relative returns included overweight positions in CF Industries, Priceline.com, and Cleveland-Cliffs. Individual names detracting from relative returns included overweight positions in First Marblehead, ITT Educational Services, and American Eagle Outfitters.

Sector selection detracted from returns relative to the Russell 2500 Growth Index. Sector weightings positively impacting relative performance included an overweight in Materials and underweight positions in Financials and Telecommunication Services. Sector weightings negatively impacting relative performance included an overweight in Consumer Discretionary and underweight positions in Energy and Health Care.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and 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. 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. All information is unaudited.

†   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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		99.6	%
Short-Term Investments		1.1
Other		(0.7	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		20.4	%
Industrials		18.5
Consumer Discretionary		18.4
Information Technology		14.9
Materials		7.6
Consumer Staples		6.6
Financials		6.3
Energy		6.3
Utilities		1.0
		100.0	%

1

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 99.6%
		Consumer Discretionary — 18.3%
	200	Abercrombie & Fitch Co.-Class A		15,506
	1,000	Advance Auto Parts, Inc.		33,540
	1,400	Aeropostale, Inc. *		37,604
	600	American Eagle Outfitters, Inc.		12,822
	500	Blue Nile, Inc. *		22,080
	700	BorgWarner, Inc.		30,177
	600	Buckle, Inc.		27,240
	400	Buffalo Wild Wings, Inc. *		9,268
	1,400	Career Education Corp. *		20,790
	600	Chico's FAS, Inc. *		5,586
	100	Chipotle Mexican Grill, Inc.-Class A *		9,930
	1,100	Choice Hotels International, Inc.		35,695
	1,100	Crocs, Inc. *		26,752
	700	Deckers Outdoor Corp. *		77,448
	600	DeVry, Inc.		26,364
	100	Dick's Sporting Goods, Inc. *		2,758
	800	Discovery Holding Co.-Class A *		18,056
	1,000	Dollar Tree Stores, Inc. *		26,830
	1,450	Fossil, Inc. *		46,661
	1,400	GameStop Corp.-Class A *		59,304
	2,300	Gentex Corp.		37,076
	200	Getty Images, Inc. *		6,432
	2,200	Guess?, Inc.		90,486
	1,900	Hasbro, Inc.		48,963
	100	Hibbett Sports, Inc. *		1,580
	1,100	Interactive Data Corp.		32,186
	1,700	ITT Educational Services, Inc. *		93,874
	100	J Crew Group, Inc. *		4,005
	1,400	Jack in the Box, Inc. *		36,778
	400	John Wiley and Sons, Inc.-Class A		14,592
	1,100	LKQ Corp. *		23,364
	1,300	Marvel Entertainment, Inc. *		32,695

See accompanying notes to the financial statements.

2

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	100	Matthews International Corp.-Class A		4,486
	300	Men's Wearhouse, Inc.		6,912
	1,200	O'Reilly Automotive, Inc. *		32,352
	100	PetMed Express, Inc. *		1,145
	200	PetSmart, Inc.		4,306
	100	PF Chang's China Bistro, Inc. *		2,853
	400	Polaris Industries, Inc.		15,272
	300	Pre-Paid Legal Services, Inc. *		14,295
	1,100	Priceline.com, Inc. *		125,422
	200	Ross Stores, Inc.		5,570
	1,100	Service Corporation International		11,880
	300	Spartan Motors, Inc.		2,439
	400	Strayer Education, Inc.		62,280
	400	Sturm, Ruger & Co, Inc. *		3,160
	400	Tempur-Pedic International, Inc.		6,968
	300	Thor Industries, Inc.		9,144
	2,000	Tiffany & Co.		75,280
	100	Tractor Supply Co. *		3,744
	900	Tupperware Corp.		32,832
	100	Universal Electronics, Inc. *		2,270
	2,700	Urban Outfitters, Inc. *		77,706
	700	Weight Watchers International, Inc.		32,900
	100	Williams-Sonoma, Inc.		2,336
		Total Consumer Discretionary		1,501,994
		Consumer Staples — 6.6%
	800	Alberto-Culver Co.		21,440
	100	Bare Escentuals, Inc. *		2,738
	400	Boston Beer Co., Inc.-Class A *		14,264
	600	Central European Distribution Corp. *		34,908
	500	Chattem, Inc. *		38,950
	1,100	Church & Dwight Co., Inc.		58,806
	100	Darling International, Inc. *		1,390
	1,300	Energizer Holdings, Inc. *		120,679

See accompanying notes to the financial statements.

3

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — continued
	100	Estee Lauder Cos. (The), Inc.-Class A		4,258
	1,200	Flowers Foods, Inc.		27,192
	400	Fresh Del Monte Produce, Inc. *		13,284
	600	Green Mountain Coffee Roasters, Inc. *		18,306
	1,700	Hansen Natural Corp. *		70,550
	100	Herbalife, Ltd.		4,183
	1,300	Hormel Foods Corp.		53,118
	200	JM Smucker Co. (The)		10,238
	1,100	McCormick & Co., Inc. (Non Voting)		37,895
	100	Ralcorp Holdings, Inc. *		5,545
	100	USANA Health Sciences, Inc. *		3,118
		Total Consumer Staples		540,862
		Energy — 6.3%
	200	Alon USA Energy, Inc.		3,138
	200	Alpha Natural Resources, Inc. *		8,108
	100	Atlas America, Inc.		6,047
	300	Atwood Oceanics, Inc. *		27,927
	100	Berry Petroleum Co.		4,111
	100	Cabot Oil & Gas Corp.		4,975
	200	Cheniere Energy, Inc. *		5,866
	100	Cimarex Energy Co.		5,270
	100	Delek US Holdings, Inc.		1,578
	1,800	Denbury Resources, Inc. *		57,402
	900	Dresser-Rand Group, Inc. *		30,663
	2,000	FMC Technologies, Inc. *		113,320
	1,800	Frontier Oil Corp.		64,278
	200	Global Industries Ltd. *		3,682
	200	Helmerich & Payne, Inc.		8,966
	800	Holly Corp.		42,712
	1,300	Oceaneering International, Inc. *		78,000
	200	Oil States International, Inc. *		8,432
	100	Range Resources Corp.		6,118
	200	Tidewater, Inc.		11,230

See accompanying notes to the financial statements.

4

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — continued
	200	Unit Corp. *		11,030
	300	Western Refining, Inc.		5,976
	100	Willbros Group, Inc. *		3,426
		Total Energy		512,255
		Financials — 6.3%
	1,600	Brown & Brown, Inc.		28,528
	600	Cohen & Steers, Inc.		15,108
	3,100	Eaton Vance Corp.		98,735
	300	Entertainment Properties Trust REIT		14,061
	700	Erie Indemnity Co.-Class A		34,545
	1,200	Federated Investors, Inc.-Class B		48,696
	100	First Marblehead Corp. (The)		1,203
	200	Frontier Financial Corp.		2,996
	100	HCC Insurance Holdings, Inc.		2,406
	300	IntercontinentalExchange, Inc. *		39,090
	500	Janus Capital Group, Inc.		12,110
	100	Markel Corp. *		46,475
	300	Odyssey Re Holdings Corp.		10,854
	1,000	Philadelphia Consolidated Holding Corp. *		33,920
	3,900	SEI Investment Co.		97,539
	100	Stifel Financial Corp. *		4,359
	100	SVB Financial Group *		4,530
	600	Waddell and Reed Financial, Inc.		18,804
		Total Financials		513,959
		Health Care — 20.3%
	400	Applera Corp. - Applied Biosystems Group		13,484
	500	ArthoCare Corp. *		20,075
	300	Barr Pharmaceuticals, Inc. *		14,145
	200	Bio-Rad Laboratories, Inc. *		18,888
	700	Cerner Corp. *		30,415
	700	Charles River Laboratories International, Inc. *		41,006
	500	Chemed Corp.		23,855

See accompanying notes to the financial statements.

5

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	1,300	Covance, Inc. *		109,733
	200	CV Therapeutics, Inc. *		1,168
	2,800	DENTSPLY International, Inc.		109,312
	400	Dionex Corp. *		29,528
	400	Edwards Lifesciences Corp. *		17,444
	500	Emergency Medical Services, LP *		12,365
	1,100	Endo Pharmaceuticals Holdings, Inc. *		28,886
	700	Gen-Probe, Inc. *		33,467
	300	Health Net, Inc. *		13,182
	1,300	Henry Schein, Inc. *		77,766
	1,700	Idexx Laboratories, Inc. *		94,299
	2,000	Immucor, Inc. *		59,600
	500	Intuitive Surgical, Inc. *		140,960
	1,000	Invitrogen Corp. *		84,490
	1,000	Kinetic Concepts, Inc. *		51,390
	600	Lifecell Corp. *		24,210
	700	Lincare Holdings, Inc. *		22,750
	1,700	Meridian Bioscience, Inc.		58,259
	200	Onyx Pharmaceuticals, Inc. *		5,464
	1,500	Patterson Cos., Inc. *		52,800
	1,100	Pediatrix Medical Group, Inc. *		72,611
	200	PerkinElmer, Inc.		4,964
	1,700	Pharmaceutical Product Development, Inc.		76,619
	400	ResMed, Inc. *		16,196
	1,600	Respironics, Inc. *		105,088
	600	Techne Corp. *		41,034
	300	Varian Medical Systems, Inc. *		15,735
	300	Varian, Inc. *		16,245
	900	VCA Antech, Inc. *		28,899
	300	Warner Chilcott Ltd.-Class A *		5,061
	1,600	Waters Corp. *		95,376
		Total Health Care		1,666,769

See accompanying notes to the financial statements.

6

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — 18.4%
	600	ABM Industries, Inc.		11,916
	400	Alliant Techsystems, Inc. *		41,976
	900	Ametek, Inc.		38,331
	100	Baldor Electric Co.		2,867
	100	BE Aerospace, Inc. *		3,430
	200	Ceradyne, Inc. *		6,222
	200	Clarcor, Inc.		7,160
	100	Copa Holdings SA-Class A		3,611
	1,600	Copart, Inc. *		66,656
	100	Corrections Corporation of America *		2,686
	900	Donaldson Co., Inc.		37,944
	900	Dun & Bradstreet Corp.		78,606
	300	Dynamic Materials Corp.		17,097
	100	EMCOR Group, Inc. *		2,409
	1,000	Equifax, Inc.		34,220
	600	Fastenal Co.		24,396
	100	First Solar, Inc. *		20,520
	300	Flowserve Corp.		32,670
	1,000	FTI Consulting, Inc. *		63,500
	100	General Cable Corp. *		6,172
	600	Graco, Inc.		20,826
	500	Harsco Corp.		28,245
	1,100	Healthcare Services Group, Inc.		21,758
	400	Horizon Lines, Inc.-Class A		8,068
	300	Hubbell, Inc.-Class B		13,611
	700	Idex Corp		21,112
	800	II-VI, Inc. *		26,192
	250	Innovative Solutions & Support, Inc. *		2,262
	2,000	Jacobs Engineering Group, Inc. *		160,580
	100	JB Hunt Transport Services, Inc.		2,737
	100	KBR, Inc. *		3,333
	200	Landstar System, Inc.		9,276
	500	M&F Worldwide Corp. *		18,515
	2,200	Manitowoc Co. (The), Inc.		89,628

See accompanying notes to the financial statements.

7

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	500	Middleby Corp. *		34,000
	500	Mine Safety Appliances Co.		20,055
	1,200	MSC Industrial Direct Co., Inc.-Class A		48,696
	100	Oshkosh Truck Corp.		4,007
	1,700	Pall Corp.		66,929
	200	Quanta Services, Inc. *		4,776
	600	Raven Industries, Inc.		17,568
	300	Resources Connection, Inc.		4,830
	800	Roper Industries, Inc.		45,120
	100	Shaw Group (The), Inc. *		6,438
	100	Spirit Aerosystems Holdings, Inc.-Class A *		2,702
	1,700	Stericycle, Inc. *		91,613
	800	Sunpower Corp.-Class A *		52,576
	600	Teledyne Technologies, Inc. *		26,640
	300	Teleflex, Inc.		16,965
	300	TeleTech Holdings, Inc. *		6,771
	700	Toro Co.		33,726
	400	Valmont Industries, Inc.		31,960
	700	Watson Wyatt Worldwide, Inc.		37,135
	1,000	Woodward Governor Co.		28,570
		Total Industrials		1,509,609
		Information Technology — 14.8%
	100	Activision, Inc. *		2,725
	300	ADTRAN, Inc.		5,526
	500	Advanced Analogic Technologies, Inc. *		3,250
	100	Alliance Data Systems Corp. *		5,063
	1,200	Amphenol Corp.-Class A		44,364
	600	Ansoft Corp. *		14,592
	1,400	Ansys, Inc. *		52,318
	300	Bankrate, Inc. *		12,678
	200	Blue Coat Systems, Inc. *		4,696
	300	BMC Software, Inc. *		9,684
	200	Broadridge Financial Solutions LLC		3,830

See accompanying notes to the financial statements.

8

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	500	Citrix Systems, Inc. *		16,465
	600	CommScope, Inc. *		25,128
	100	Comtech Telecommunications Corp. *		4,338
	600	Concur Technologies, Inc. *		17,544
	900	Cree, Inc. *		27,810
	100	DST Systems, Inc. *		7,026
	1,950	Factset Research Systems, Inc.		102,648
	100	Faro Technologies, Inc. *		3,275
	4,500	FLIR Systems, Inc. *		128,070
	400	Foundry Networks, Inc. *		4,748
	100	Gartner, Inc. *		1,891
	1,100	Global Payments, Inc.		43,637
	100	Informatica Corp. *		1,746
	400	Intersil Corp.-Class A		9,308
	100	j2 Global Communications, Inc. *		2,152
	900	Jack Henry and Associates, Inc.		21,177
	400	Manhattan Associates, Inc. *		8,824
	1,700	McAfee, Inc. *		56,559
	1,300	Mettler-Toledo International, Inc. *		127,010
	1,400	Micros Systems, Inc. *		44,856
	400	NAVTEQ Corp. *		29,980
	100	Netgear, Inc. *		2,182
	100	Novatel Wireless, Inc. *		1,058
	200	Nuance Communications, Inc. *		3,290
	100	Omniture, Inc. *		2,298
	1,400	ON Semiconductor Corp. *		8,400
	1,400	Polycom, Inc. *		30,520
	200	Power Integrations, Inc. *		5,260
	500	Semtech Corp. *		6,370
	100	Silicon Laboratories, Inc. *		3,095
	800	Sohu.Com, Inc. *		36,064
	700	Stratasys, Inc. *		13,132
	200	Synaptics, Inc. *		5,358
	300	Synchronoss Technologies, Inc. *		4,824

See accompanying notes to the financial statements.

9

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	300	Synopsys, Inc. *		6,963
	1,200	Syntel, Inc.		32,676
	1,700	Total System Services, Inc.		37,791
	2,600	Trimble Navigation Ltd. *		71,084
	1,350	Varian Semiconductor Equipment Associates, Inc. *		45,603
	900	Vasco Data Security International, Inc. *		9,954
	100	Websense, Inc. *		1,947
	1,500	Western Digital Corp. *		46,305
		Total Information Technology		1,217,092
		Materials — 7.6%
	600	AK Steel Holding Corp.		31,572
	1,000	Albemarle Corp.		37,940
	900	AptarGroup, Inc.		33,732
	1,200	Celanese Corp.-Class A		46,680
	1,100	CF Industries Holdings, Inc.		134,288
	300	Cleveland-Cliffs, Inc.		35,838
	1,100	International Flavors & Fragrances, Inc.		47,443
	500	Martin Marietta Materials, Inc.		53,800
	200	Nalco Holding Co.		4,320
	300	Packaging Corp. of America		6,837
	1,900	Sigma Aldrich Corp.		104,538
	500	Silgan Holdings, Inc.		23,370
	1,300	Terra Industries, Inc. *		58,773
		Total Materials		619,131
		Utilities — 1.0%
	900	Energen Corp.		54,000
	1,200	Reliant Energy, Inc. *		27,360
		Total Utilities		81,360
		TOTAL COMMON STOCKS (COST $8,666,736)		8,163,031

See accompanying notes to the financial statements.

10

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.1%
	92,630	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $92,636 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 8.13%, maturity date of 08/15/19 and a market value, including accrued interest, of $94,201.		92,630
		TOTAL SHORT-TERM INVESTMENTS (COST $92,630)		92,630
		TOTAL INVESTMENTS — 100.7% (Cost $8,759,366)		8,255,661
		Other Assets and Liabilities (net) — (0.7%)		(57,513	)
		TOTAL NET ASSETS — 100.0%	$	8,198,148

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

See accompanying notes to the financial statements.

11

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $8,759,366) (Note 2)	$	8,255,661
Receivable for Fund shares sold		1,799
Dividends and interest receivable		2,607
Receivable for expenses reimbursed by Manager (Note 3)		7,598
Total assets		8,267,665
Liabilities:
Payable to affiliate for (Note 3):
Management fee		2,504
Shareholder service fee		1,211
Trustees and Chief Compliance Officer of GMO Trust fees		2
Accrued expenses		65,800
Total liabilities		69,517
Net assets	$	8,198,148
Net assets consist of:
Paid-in capital	$	10,071,702
Distributions in excess of net realized gain		(1,369,849	)
Net unrealized depreciation		(503,705	)
	$	8,198,148
Net assets attributable to:
Class III shares	$	8,198,148
Shares outstanding:
Class III		603,311
Net asset value per share:
Class III	$	13.59

See accompanying notes to the financial statements.

12

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	115,710
Interest		23,286
Securities lending income		12,189
Total investment income		151,185
Expenses:
Management fee (Note 3)		61,523
Shareholder service fee – Class III (Note 3)		29,769
Custodian, fund accounting agent and transfer agent fees		45,337
Audit and tax fees		47,996
Legal fees		400
Trustees fees and related expenses (Note 3)		151
Registration fees		552
Miscellaneous		1,363
Total expenses		187,091
Fees and expenses reimbursed by Manager (Note 3)		(95,589	)
Net expenses		91,502
Net investment income (loss)		59,683
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		1,121,932
Closed futures contracts		(50,326	)
Net realized gain (loss)		1,071,606
Change in net unrealized appreciation (depreciation) on:
Investments		(2,475,492	)
Open futures contracts		(151	)
Net unrealized gain (loss)		(2,475,643	)
Net realized and unrealized gain (loss)		(1,404,037	)
Net increase (decrease) in net assets resulting from operations	$	(1,344,354	)

See accompanying notes to the financial statements.

13

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	59,683		$	102,256
Net realized gain (loss)		1,071,606			2,917,966
Change in net unrealized appreciation (depreciation)		(2,475,643	)		(2,052,599	)
Net increase (decrease) in net assets from operations		(1,344,354	)		967,623
Distributions to shareholders from:
Net investment income
Class III		(57,832	)		(120,249	)
Net realized gains
Class III		(3,159,111	)		(2,054,581	)
Return of capital
Class III		(44,360	)		—
		(3,261,303	)		(2,174,830	)
Net share transactions (Note 7):
Class III		(12,589,446	)		(3,319,666	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		79,121			37,463
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(12,510,325	)		(3,282,203	)
Total increase (decrease) in net assets		(17,115,982	)		(4,489,410	)
Net assets:
Beginning of period		25,314,130			29,803,540
End of period	$	8,198,148		$	25,314,130

See accompanying notes to the financial statements.

14

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	18.93		$	19.67		$	21.96		$	21.78		$	13.52
Income (loss) from investment operations:
Net investment income (loss)†		0.06			0.07			0.06			0.03			0.00	(a)
Net realized and unrealized gain (loss)		(1.79	)		0.79			2.93			1.96			8.28
Total from investment operations		(1.73	)		0.86			2.99			1.99			8.28
Less distributions to shareholders:
From net investment income		(0.06	)		(0.09	)		(0.07	)		(0.01	)		(0.02	)
From net realized gains		(3.49	)		(1.51	)		(5.21	)		(1.80	)		—
Return of capital		(0.06	)		—			—			—			—
Total distributions		(3.61	)		(1.60	)		(5.28	)		(1.81	)		(0.02	)
Net asset value, end of period	$	13.59		$	18.93		$	19.67		$	21.96		$	21.78
Total Return(b)		(11.74	)%		4.86	%		14.63	%		10.50	%		61.22	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	8,198		$	25,314		$	29,804		$	38,801		$	41,662
Net expenses to average daily net assets		0.46	%		0.46	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		0.30	%		0.38	%		0.30	%		0.16	%		0.02	%
Portfolio turnover rate		118	%		109	%		87	%		110	%		97	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.48	%		0.60	%		0.35	%		0.26	%		0.24	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.07		$	0.03		$	0.08		$	0.04		$	0.06

(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 and assumes the effect of reinvested distributions. 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.

15

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks long-term capital growth. The Fund seeks to achieve its objective by outperforming the Russell 2500 Growth Index. The Fund typically makes equity investments in companies that issue stocks included in the Russell 2500 Index, and companies with similar market capitalizations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Futures contracts

The Fund may purchase and sell futures contracts. 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

16

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

17

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

18

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess Of Net Realized Gain		Paid-in Capital
$	(1,851	)	$	1,851	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	1,413,260	$	695,366
Long-term capital gains		1,803,683		1,479,464
	$	3,216,943	$	2,174,830
Tax return of capital		44,360		—
Total distributions	$	3,261,303	$	2,174,830

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

19

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $1,250,145.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	8,879,070	$	344,064	$	(967,473	)	$	(623,409	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash 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

20

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

premiums and redemption fees are paid to and recorded by the Fund as paid-in capital. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expense (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the

21

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act,), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) exceed 0.31% of the 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 29, 2008 was $151 and $59, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $22,607,383 and $37,651,931, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 77.05% of the outstanding shares of the Fund were held by five shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. 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 29, 2008, there were no shares held by related parties, and 97.44% of the Fund's shares were held by accounts for which the Manager has investment discretion.

22

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		626		$	10,677			58,808		$	1,047,837
Shares issued to shareholders in reinvestment of distributions		191,266			3,213,436			115,018			2,091,121
Shares repurchased		(925,656	)		(15,813,559	)		(351,770	)		(6,458,624	)
Purchase premiums		—			53			—			32,210
Redemption fees		—			79,068			—			5,253
Net increase (decrease)		(733,764	)	$	(12,510,325	)		(177,944	)	$	(3,282,203	)

23

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

24

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.46	%	$	1,000.00	$	871.10	$	2.14
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.58	$	2.31

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

25

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $1,803,683 from long-term capital gains.

For taxable, non-corporate shareholders, 8.13% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 7.99% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $4,781 and $1,361,579, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

26

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 35.69% of distributions to shareholders declared from net investment income and 0.38% declared from net realized gains during the Fund's fiscal year were reclassified to distributions from return of capital and are reflected as such in the Statement of Changes in Net Assets.

27

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

28

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

31

GMO International Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Core Equity Fund

(A Series of GMO Trust)

Portfolio Managers

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 +0.7% for the fiscal year ended February 29, 2008, as compared to +0.8% 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.

Country allocation had a small positive impact on relative performance. Overweights to Germany and the Netherlands helped, while an underweight to Hong Kong hurt.

Sector exposures had a small positive impact. Our underweight to Financials and overweight to Energy helped while our underweight to Consumer Staples hurt.

Currency allocation had minimal impact as our underweight to the British pound and overweight to the Canadian dollar added slightly more value than our underweight to the Australian dollar detracted. The U.S. dollar weakened relative to most foreign currencies, which boosted returns for U.S. investors. The MSCI EAFE Index returned 10% more in U.S. dollar terms than in local currency.

Among GMO's international quantitative stock selection disciplines, stocks favored for their strong momentum characteristics significantly outperformed relative to MSCI EAFE. Those highly ranked by intrinsic value or by quality-adjusted value underperformed by a small margin.

Stock selection helped relative performance. Among the most significant contributors were holdings in Australian mining company Rio Tinto, Canadian fertilizer company Potash Corp. of Saskatchewan, and Canadian technology company Research in Motion, all of which outperformed. Overweight positions in British bank Royal Bank of Scotland, British pharmaceutical GlaxoSmithKline, and an underweight position in Australian mining company BHP Billiton hurt returns.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Classes IV and VI will vary due to different fees.

†  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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.9	%
Short-Term Investments		1.4
Preferred Stocks		0.6
Forward Currency Contracts		0.2
Rights and Warrants		0.0
Futures		(0.4	)
Other		1.3
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		23.1	%
Japan		19.8
Germany		11.9
France		9.9
Switzerland		6.9
Australia		5.0
Finland		4.8
Canada		3.4
Netherlands		2.8
Italy		2.6
Spain		2.0
Hong Kong		1.6
Sweden		1.6
Singapore		1.4
Belgium		1.0
Norway		0.8
Ireland		0.6
Denmark		0.3
Greece		0.3
Portugal		0.1
Austria		0.1
		100.0	%

1

GMO International Core Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		17.3	%
Industrials		12.9
Health Care		11.4
Materials		11.1
Energy		10.6
Consumer Discretionary		10.4
Information Technology		8.4
Telecommunication Services		7.0
Consumer Staples		6.7
Utilities		4.2
		100.0	%

2

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 96.9%
		Australia — 4.9%
	141	Aristocrat Leisure Ltd		1,343
	730,094	Australia and New Zealand Banking Group Ltd		14,732,875
	89,620	Australian Stock Exchange Ltd		3,445,681
	1,328,697	BHP Billiton Ltd		48,075,977
	1,401,205	BlueScope Steel Ltd		14,016,492
	1,266,234	Foster's Group Ltd		6,238,576
	29,938	Incitec Pivot Ltd		4,066,249
	193,523	Macquarie Group Ltd		9,664,615
	1,902,422	Mirvac Group Ltd		6,743,580
	201,508	QBE Insurance Group Ltd		4,167,944
	1,024,425	Santos Ltd		12,142,839
	1,491,907	Stockland		9,654,982
	1,529,495	Suncorp-Metway Ltd		19,620,651
	527,673	TABCORP Holdings Ltd		7,438,733
	4,262,769	Telstra Corp Ltd		19,162,770
	959,997	Westpac Banking Corp		20,533,057
	641,861	Woodside Petroleum Ltd		33,563,897
	848,445	Woolworths Ltd		22,659,561
	945,346	Zinifex Ltd		9,511,409
		Total Australia		265,441,231
		Austria — 0.1%
	88,416	OMV AG		6,388,497
		Belgium — 1.0%
	100,833	Belgacom SA		4,829,096
	27,283	Colruyt SA		6,666,540
	553,143	Dexia		13,004,431
	1,300,543	Fortis		28,732,145
		Total Belgium		53,232,212

See accompanying notes to the financial statements.

3

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Canada — 3.3%
	209,600	Canadian Imperial Bank of Commerce		14,223,199
	120,500	Canadian Natural Resources		9,030,307
	205,400	EnCana Corp		15,657,772
	93,400	Magna International Inc Class A		6,849,491
	458,200	National Bank of Canada		22,615,551
	364,900	Potash Corp of Saskatchewan Inc		58,013,261
	453,200	Research In Motion Ltd *		47,210,156
	94,500	Sun Life Financial Inc		4,526,975
		Total Canada		178,126,712
		Denmark — 0.3%
	116,750	Novo-Nordisk A/S		7,986,683
	101,650	Vestas Wind Systems A/S *		10,305,071
		Total Denmark		18,291,754
		Finland — 4.7%
	267,053	Fortum Oyj		11,150,162
	133,467	KCI Konecranes Oyj		4,845,889
	343,277	Neste Oil Oyj		12,010,956
	4,853,810	Nokia Oyj		174,385,875
	189,114	Outokumpu Oyj		7,172,906
	161,914	Outotec Oyj		8,942,607
	258,386	Rautaruukki Oyj		11,265,722
	548,156	Sampo Oyj Class A		14,877,102
	563,791	Tietoenator Oyj		10,583,100
		Total Finland		255,234,319
		France — 9.7%
	185,488	Alstom		38,982,061
	309,279	Arcelor Mittal		23,483,075
	312,487	BNP Paribas		27,936,309
	207,475	Bouygues		14,170,584
	108,966	Casino Guichard-Perrachon SA		12,324,838
	101,330	Cie de Saint-Gobain		7,921,412

See accompanying notes to the financial statements.

4

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — continued
	231,608	Credit Agricole SA		6,282,317
	128,195	Electricite de France		11,956,744
	71,859	Essilor International SA		4,266,824
	1,112,600	France Telecom SA		37,348,902
	40,781	Hermes International		4,772,759
	78,952	L'Oreal SA		9,369,377
	81,618	Michelin SA Class B		8,038,580
	65,360	Nexans SA		7,136,037
	417,507	Peugeot SA		31,738,563
	92,855	Renault SA		9,921,230
	1,649,909	Sanofi-Aventis		121,949,148
	90,011	Societe Generale		9,631,106
	22,502	Societe Generale NV (New Shares) *		2,472,603
	1,733,843	Total SA		130,565,375
	44,700	UbiSoft Entertainment SA *		3,756,938
		Total France		524,024,782
		Germany — 10.9%
	94,101	Adidas AG		5,972,681
	91,019	Allianz SE (Registered)		15,691,058
	512,022	Altana AG		11,927,138
	369,375	BASF AG		47,234,048
	309,687	Bayer AG		23,833,334
	143,808	Bayerische Motoren Werke AG		7,924,001
	111,131	Bilfinger & Berger AG		8,822,908
	294,954	Commerzbank AG		8,867,564
	700,350	Daimler AG (Registered)		58,320,747
	71,743	Deutsche Bank AG (Registered)		7,959,301
	231,353	Deutsche Boerse AG		36,814,056
	331,649	E.ON AG		62,441,481
	489,056	Epcos AG		6,864,417
	385,503	GEA Group AG *		12,472,409
	68,531	Hannover Rueckversicherungs AG (Registered)		3,271,632
	21,149	Hochtief AG		2,293,107

See accompanying notes to the financial statements.

5

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	55,790	K&S AG		16,233,453
	68,269	Linde AG		9,074,872
	172,477	MAN AG		22,749,936
	112,534	Muenchener Rueckversicherungs AG (Registered)		19,800,282
	88,252	Q-Cells AG *		7,114,353
	62,796	Rheinmetall AG		4,388,584
	164,964	RWE AG		19,971,421
	109,178	Salzgitter AG		19,136,933
	428,184	SAP AG		20,220,899
	211,250	SGL Carbon AG *		11,723,941
	343,236	Siemens AG (Registered)		43,770,877
	140,230	Solarworld AG		6,338,273
	393,294	Suedzucker AG		8,670,487
	296,150	ThyssenKrupp AG		17,030,808
	206,996	Volkswagen AG		47,131,896
		Total Germany		594,066,897
		Greece — 0.3%
	317,531	National Bank of Greece SA		17,204,807
		Hong Kong — 1.6%
	3,139,221	CLP Holdings Ltd		24,539,685
	2,446,500	Hong Kong Electric Holdings Ltd		13,855,095
	1,639,000	Hong Kong Exchanges and Clearing Ltd		31,136,198
	669,000	Sun Hung Kai Properties Ltd		11,658,301
	2,083,000	Yue Yuen Industrial Holdings		6,164,570
		Total Hong Kong		87,353,849
		Ireland — 0.6%
	627,039	Anglo Irish Bank Corp		8,880,546
	430,752	CRH Plc		16,009,125
	265,691	DCC Plc		6,684,865
		Total Ireland		31,574,536

See accompanying notes to the financial statements.

6

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Italy — 2.5%
	334,331	Bulgari SPA		3,722,428
	1,033,644	Enel SPA		11,153,435
	3,330,010	ENI SPA		114,989,350
	995,826	Impregilo SPA *		5,312,663
		Total Italy		135,177,876
		Japan — 19.3%
	185,530	Acom Co Ltd		5,366,416
	174,100	Aiful Corp		3,098,107
	1,365,600	Alps Electric Co Ltd		15,957,359
	120,100	Astellas Pharma Inc		5,249,062
	726,200	Daiei Inc *		4,614,882
	559,948	Daiichi Sankyo Co Ltd		17,377,146
	257,300	Daikin Industries Ltd		11,577,856
	2,376,000	Daikyo Inc		5,609,400
	99,200	Eisai Co Ltd		3,577,590
	77,600	Fanuc Ltd		7,234,558
	66,200	Fast Retailing Co Ltd		4,890,354
	1,571,000	Fuji Heavy Industries Ltd		6,853,451
	55,500	Fuji Photo Film Co Ltd		2,081,137
	3,339,000	Haseko Corp *		5,036,063
	897,000	Hitachi Ltd		6,499,503
	1,810,900	Honda Motor Co Ltd		55,278,320
	264,600	Hoya Corp		6,713,679
	1,272,000	Isuzu Motors Ltd		5,792,357
	3,107,000	Itochu Corp		32,717,820
	1,071	Japan Real Estate Investment Corp		11,918,185
	859,000	Japan Steel Works Ltd (The)		13,959,459
	154,800	JFE Holdings Inc		6,897,544
	242,000	Kao Corp		7,450,653
	2,312,000	Kawasaki Kisen Kaisha Ltd		23,452,962
	2,832	Kenedix Inc		3,742,146
	7,080	KK DaVinci Advisors *		5,960,883
	1,023,700	Komatsu Ltd		26,006,586

See accompanying notes to the financial statements.

7

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	192,500	Konami Corp		6,374,216
	164,700	Kyushu Electric Power Co Inc		4,149,750
	3,497,000	Marubeni Corp		26,476,148
	384,000	Matsushita Electric Industrial Co Ltd		8,087,577
	871,000	Meiji Dairies Corp		4,992,576
	1,724,600	Mitsubishi Corp		52,618,378
	398,500	Mitsubishi Estate Co Ltd		9,711,638
	1,754,000	Mitsui & Co		38,144,999
	2,126,000	Mitsui OSK Lines Ltd		27,612,240
	2,885,600	Mitsui Trust Holding Inc		19,891,694
	553,500	Mitsumi Electric Co Ltd		17,200,898
	278	Mixi Inc *		3,241,597
	491,000	NGK Insulators Ltd		11,149,587
	413,000	Nikon Corp		11,568,144
	128,900	Nintendo Co Ltd		64,178,757
	1,253	Nippon Building Fund Inc		15,415,644
	2,863,000	Nippon Light Metal		4,419,252
	1,731,000	Nippon Mining Holdings Inc		10,252,455
	2,925,000	Nippon Oil Corp		19,953,393
	1,142,000	Nippon Steel Corp		6,008,291
	3,843	Nippon Telegraph & Telephone Corp		16,758,299
	1,025,000	Nippon Yakin Koguo Co Ltd		9,732,846
	1,806,000	Nippon Yusen KK		16,688,217
	3,150,100	Nissan Motor Co		28,328,762
	9,198	NTT Docomo Inc		13,475,714
	145,400	Ono Pharmaceutical Co Ltd		7,340,704
	6,666,000	Osaka Gas Co Ltd		26,746,316
	764,000	Pacific Metals Co Ltd		9,128,200
	12,585	Resona Holdings Inc		20,356,416
	509,000	Ricoh Company Ltd		8,174,607
	5,260,000	Sanyo Electric Co Ltd *		11,103,881
	1,258,000	Seven & I Holdings Co Ltd		31,280,508
	395,700	Shin-Etsu Chemical Co Ltd		21,354,497
	4,865,400	Sojitz Corp		18,238,089

See accompanying notes to the financial statements.

8

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	320,600	Sony Corp		15,146,175
	381,600	SUMCO Corp		8,438,553
	1,130,200	Sumitomo Corp		16,253,630
	195,000	Taisho Pharmaceutical Co Ltd		3,973,781
	549,000	Taiyo Yuden Co Ltd		5,978,512
	654,000	Takeda Pharmaceutical Co Ltd		36,492,565
	291,260	Takefuji Corp		7,356,659
	112,700	TDK Corp		8,011,028
	290,300	Tokyo Electric Power Co Inc		7,458,408
	1,276,000	Tokyo Gas Co Ltd		5,723,851
	746,900	Tokyo Steel Manufacturing Co		8,928,735
	354,000	TonenGeneral Sekiyu KK		3,360,688
	1,859,000	Toshiba Corp		13,943,867
		Total Japan		1,046,134,220
		Netherlands — 2.8%
	1,723,698	Aegon NV		25,742,563
	51,431	Heineken Holding NV		2,614,836
	449,928	Heineken NV		25,376,158
	1,729,292	ING Groep NV		57,467,306
	267,205	Koninklijke DSM		11,758,747
	203,122	OCE NV		3,767,013
	380,217	Reed Elsevier NV		7,063,693
	154,281	TomTom NV *		7,230,073
	63,789	Wereldhave NV		7,710,686
		Total Netherlands		148,731,075
		Norway — 0.7%
	344,800	DnB NOR ASA		5,043,593
	970,550	StatoilHydro ASA		29,573,926
	364,000	Tandberg ASA		5,318,913
		Total Norway		39,936,432

See accompanying notes to the financial statements.

9

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Portugal — 0.1%
	2,575,760	Banco Commercial Portugues SA		7,420,356
		Singapore — 1.3%
	359,000	City Developments Ltd		3,013,011
	412,200	MobileOne Ltd		589,444
	2,928,000	Oversea-Chinese Banking Corp		15,795,121
	2,733,000	Singapore Exchange Ltd		15,902,302
	9,853,000	Singapore Telecommunications		26,659,397
	844,000	United Overseas Bank Ltd		10,701,417
		Total Singapore		72,660,692
		Spain — 2.0%
	975,428	Iberdrola SA		14,087,881
	165,275	Inditex SA		8,520,528
	620,140	Repsol YPF SA		21,392,733
	2,132,416	Telefonica SA		61,704,754
		Total Spain		105,705,896
		Sweden — 1.6%
	606,600	Electrolux AB Series B		9,732,968
	383,200	Hennes & Mauritz AB Class B		21,492,970
	857,200	Investor AB		18,131,863
	427,900	Sandvik AB		7,215,237
	402,800	Scania AB Class B		9,717,703
	245,200	SKF AB Class B		4,509,654
	144,400	Svenska Handelsbanken AB Class A		4,022,817
	176,200	Swedbank AB		4,762,309
	334,650	Tele2 AB Class B		5,882,065
		Total Sweden		85,467,586
		Switzerland — 6.7%
	1,967,945	ABB Ltd		49,030,009
	131,713	Actelion Ltd *		6,865,754
	199,011	CIE Financiere Richemont SA Class A		11,520,495

See accompanying notes to the financial statements.

10

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Switzerland — continued
	150,592	Nestle SA (Registered)		71,875,806
	2,525,679	Novartis AG (Registered)		124,750,333
	120,745	Roche Holding AG (Non Voting)		23,679,119
	48,805	Swatch Group AG		14,325,487
	296,179	Swiss Reinsurance Co (Registered)		23,739,785
	36,014	Syngenta AG (Registered)		10,354,361
	90,237	Zurich Financial Services AG		28,209,092
		Total Switzerland		364,350,241
		United Kingdom — 22.5%
	1,694,558	3i Group Plc		27,387,227
	1,174,461	Aberdeen Asset Management		3,107,105
	1,315,639	AMEC Plc		20,069,263
	515,699	Arriva Plc		6,943,501
	1,693,363	AstraZeneca Plc		63,293,513
	1,440,805	Aviva Plc		17,366,664
	2,209,054	Barclays Plc		20,703,958
	704,818	Barratt Developments Plc		5,702,311
	1,466,851	BBA Aviation Plc		5,337,119
	119,657	Berkeley Group Holdings Plc *		2,461,718
	2,060,555	BG Group Plc		48,569,307
	1,723,945	BHP Billiton Plc		55,149,197
	255,339	British American Tobacco Plc		9,574,402
	1,035,909	Britvic Plc		6,811,667
	516,658	Cadbury Schweppes Plc		5,751,052
	736,905	Capita Group Plc		9,548,339
	484,112	Centrica Plc		3,090,953
	344,724	Cookson Group Plc		4,057,365
	647,861	Diageo Plc		13,238,924
	5,139,926	DSG International Plc		6,425,181
	893,591	FirstGroup Plc		10,201,945
	7,799,421	GlaxoSmithKline Plc		170,249,966
	1,664,273	HBOS Plc		19,776,484
	1,940,294	Home Retail Group		9,911,234

See accompanying notes to the financial statements.

11

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	595,644	Imperial Tobacco Group Plc		27,573,733
	242,248	Intermediate Capital Group Plc		7,168,204
	684,442	J Sainsbury Plc		4,798,560
	585,520	Kesa Electricals Plc		2,473,627
	1,050,873	Kingfisher Plc		2,712,699
	1,698,984	Ladbrokes Plc		10,202,170
	441,807	London Stock Exchange		11,847,775
	773,035	Michael Page International Plc		4,277,618
	418,646	Next Plc		10,617,663
	3,231,060	Northern Foods Plc		5,765,409
	2,845,307	Old Mutual Plc		7,028,198
	234,773	Provident Financial Plc		3,719,497
	342,857	Reckitt Benckiser Group Plc		18,494,137
	936,109	Rio Tinto Plc		105,319,345
	9,421,938	Royal Bank of Scotland Group		71,234,812
	785,414	Royal Dutch Shell Group Class A (Amsterdam)		28,086,065
	1,370,789	Royal Dutch Shell Plc A Shares (London)		49,014,437
	524,236	Royal Dutch Shell Plc B Shares (London)		18,391,228
	523,446	SABMiller Breweries Plc		10,874,905
	286,269	Scottish & Southern Energy Plc		8,370,687
	2,526,598	Signet Group Plc		3,045,923
	316,948	Smith & Nephew Plc		4,118,144
	254,997	Spectris Plc		3,957,212
	2,404,744	Stagecoach Group Plc		11,927,231
	2,937,716	Taylor Woodrow Plc		9,940,489
	1,914,380	Tesco Plc		15,128,003
	694,916	Tomkins Plc		2,329,879
	254,974	Travis Perkins Plc		5,450,752
	1,098,231	Trinity Mirror Plc		6,171,156
	950,710	Unilever Plc		29,953,324
	52,173,195	Vodafone Group Inc		167,967,345
	174,639	Wetherspoon J D Plc		1,058,955
	576,582	WH Smith Plc		4,264,400
	237,829	Whitbread Plc		5,951,034
		Total United Kingdom		1,223,963,011
		TOTAL COMMON STOCKS (COST $5,313,136,824)		5,260,486,981

See accompanying notes to the financial statements.

12

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	8,684	Porsche AG (Non Voting) 0.06%		15,057,009
	131,566	Volkswagen AG 2.02%		18,332,154
		Total Germany		33,389,163
		TOTAL PREFERRED STOCKS (COST $20,335,489)		33,389,163
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	3	Societe Generale Rights, Expires 02/29/08 * (a)		26
		TOTAL RIGHTS AND WARRANTS (COST $21)		26
		SHORT-TERM INVESTMENTS — 1.4%
	78,200,000	Royal Bank of Scotland Time Deposit, 3.10%, due 03/03/08		78,200,000
		TOTAL SHORT-TERM INVESTMENTS (COST $78,200,000)		78,200,000
		TOTAL INVESTMENTS — 98.9% (Cost $5,411,672,334)		5,372,076,170
		Other Assets and Liabilities (net) — 1.1%		60,031,864
		TOTAL NET ASSETS — 100.0%	$	5,432,108,034

See accompanying notes to the financial statements.

13

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
05/23/08	CHF		51,977,142	$	49,927,773	$	2,404,033
05/23/08	CHF		51,977,142		49,927,773		2,429,092
05/23/08	CHF		51,977,142		49,927,773		2,383,211
05/23/08	CHF		51,977,142		49,927,773		2,388,429
05/23/08	CHF		51,977,142		49,927,773		2,369,508
05/23/08	CHF		51,977,142		49,927,773		2,317,014
05/23/08	CHF		51,977,142		49,927,773		2,298,690
05/23/08	HKD		53,165,333		6,842,190		13,867
05/23/08	HKD		53,165,333		6,842,190		13,516
05/23/08	HKD		54,776,403		7,049,531		13,745
05/23/08	JPY		4,416,220,821		42,708,524		1,356,593
05/23/08	JPY		4,416,220,821		42,708,524		1,465,767
05/23/08	JPY		4,416,220,821		42,708,524		1,380,586
05/23/08	JPY		4,416,220,821		42,708,524		1,475,894
05/23/08	JPY		4,416,220,821		42,708,524		1,372,462
05/23/08	JPY		4,416,220,821		42,708,524		1,499,210
05/23/08	JPY		9,522,297,821		92,088,530		2,707,463
05/23/08	NZD		23,869,700		18,834,586		56,530
05/23/08	NZD		23,167,650		18,280,627		(17,322	)
05/23/08	NZD		23,167,650		18,280,627		(26,450	)
05/23/08	SEK		203,027,499		32,802,674		775,418
05/23/08	SEK		203,027,499		32,802,674		782,621
05/23/08	SEK		203,027,499		32,802,674		832,356
05/23/08	SEK		203,027,499		32,802,674		806,661
05/23/08	SEK		203,027,499		32,802,674		803,130
05/23/08	SEK		203,027,499		32,802,674		775,832
05/23/08	SEK		203,027,499		32,802,674		789,574
				$	1,003,582,554	$	33,467,430

See accompanying notes to the financial statements.

14

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
05/23/08	AUD		25,998,045	$	23,958,845	$	(298,908	)
05/23/08	AUD		25,998,045		23,958,845		(262,433	)
05/23/08	AUD		25,998,045		23,958,845		(269,426	)
05/23/08	AUD		25,998,045		23,958,845		(284,817	)
05/23/08	AUD		24,468,748		22,549,501		(281,227	)
05/23/08	AUD		24,468,748		22,549,501		(294,441	)
05/23/08	CHF		47,480,000		45,607,946		(2,313,484	)
05/23/08	CHF		22,006,000		21,138,342		(1,227,698	)
05/23/08	CHF		22,075,000		21,204,621		(1,151,934	)
05/23/08	CHF		10,580,000		10,162,849		(551,963	)
05/23/08	CAD		10,863,000		11,019,169		(261,327	)
05/23/08	CAD		12,532,166		12,712,332		(336,717	)
05/23/08	CAD		12,532,166		12,712,332		(387,833	)
05/23/08	CAD		12,911,928		13,097,553		(287,630	)
05/23/08	EUR		8,698,000		13,166,974		(211,439	)
05/23/08	EUR		15,741,734		23,829,732		(700,717	)
05/23/08	EUR		15,741,734		23,829,732		(706,305	)
05/23/08	EUR		15,741,734		23,829,732		(699,930	)
05/23/08	EUR		15,741,734		23,829,732		(696,845	)
05/23/08	EUR		15,741,734		23,829,732		(698,513	)
05/23/08	EUR		15,741,734		23,829,732		(703,566	)
05/23/08	EUR		19,169,734		29,019,016		(912,117	)
05/23/08	GBP		14,410,438		28,467,388		(536,933	)
05/23/08	GBP		14,410,438		28,467,388		(518,675	)
05/23/08	GBP		14,410,438		28,467,388		(507,968	)
05/23/08	GBP		14,410,438		28,467,388		(515,029	)
05/23/08	GBP		15,522,438		30,664,111		(534,424	)
05/23/08	GBP		16,872,438		33,330,995		(577,542	)
05/23/08	GBP		16,960,438		33,504,837		(605,005	)
05/23/08	GBP		33,926,000		67,019,795		(843,400	)
05/23/08	JPY		329,820,000		3,189,633		(48,703	)
05/23/08	JPY		769,315,000		7,439,915		(278,867	)
05/23/08	JPY		831,459,000		8,040,899		(255,119	)

See accompanying notes to the financial statements.

15

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
05/23/08	JPY		1,147,136,000	$	11,093,758	$	(352,483	)
05/23/08	NOK		67,116,398		12,789,760		(309,740	)
05/23/08	NOK		67,116,398		12,789,760		(324,093	)
05/23/08	NOK		69,150,229		13,177,329		(329,380	)
05/23/08	NZD		10,616,667		8,377,170		(187,579	)
05/23/08	NZD		10,616,667		8,377,170		(189,649	)
05/23/08	NZD		10,616,667		8,377,170		(189,065	)
05/23/08	SEK		111,240,000		17,972,784		(768,057	)
05/23/08	SGD		5,337,153		3,839,102		(45,791	)
05/23/08	SGD		5,337,153		3,839,102		(43,255	)
05/23/08	SGD		5,498,885		3,955,439		(47,068	)
				$	875,402,189	$	(21,547,095	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	145	DAX	March 2008	$	37,138,978	$	(3,510,983	)
	1,011	MSCI Singapore	March 2008		53,996,344		(1,528,921	)
	171	S&P/MIB	March 2008		43,700,380		(5,727,598	)
	338	SPI 200	March 2008		43,797,569		(4,030,218	)
	775	TOPIX	March 2008		98,506,834		(8,607,620	)
				$	277,140,105	$	(23,405,340	)
Sales
	22	AEX	March 2008	$	2,989,237	$	45,254
	145	CAC 40	March 2008		10,560,821		220,777
	476	FTSE 100	March 2008		55,161,144		1,238,239
	7	HANG SENG	March 2008		1,088,957		(16,703	)
	16	IBEX 35	March 2008		3,207,547		5,023
	126	OMXS 30	March 2008		1,978,041		(5,843	)
	863	S&P Toronto 60	March 2008		139,605,649		(1,499,565	)
				$	214,591,396	$	(12,818	)

See accompanying notes to the financial statements.

16

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

*  Non-income producing security.

(a)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

As of February 29, 2008, 91.68% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar

See accompanying notes to the financial statements.

17

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $5,411,672,334) (Note 2)	$	5,372,076,170
Foreign currency, at value (cost $4,892,288) (Note 2)		4,932,178
Receivable for investments sold		1,622,667
Receivable for Fund shares sold		57,295,283
Dividends and interest receivable		9,930,009
Foreign taxes receivable		1,689,975
Unrealized appreciation on open forward currency contracts (Note 2)		33,511,202
Receivable for collateral on open futures contracts (Note 2)		37,335,000
Receivable for expenses reimbursed by Manager (Note 3)		429,490
Total assets		5,518,821,974
Liabilities:
Due to custodian		239,639
Payable for investments purchased		3,246,243
Payable for Fund shares repurchased		58,403,564
Payable to affiliate for (Note 3):
Management fee		1,625,610
Shareholder service fee		330,279
Trustees and Chief Compliance Officer of GMO Trust fees		6,429
Unrealized depreciation on open forward currency contracts (Note 2)		21,590,867
Payable for variation margin on open futures contracts (Note 2)		189,752
Accrued expenses		1,081,557
Total liabilities		86,713,940
Net assets	$	5,432,108,034

See accompanying notes to the financial statements.

18

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	5,380,056,555
Accumulated undistributed net investment income		60,260,648
Accumulated net realized gain		42,582,440
Net unrealized depreciation		(50,791,609	)
	$	5,432,108,034
Net assets attributable to:
Class III shares	$	917,684,966
Class IV shares	$	947,062,869
Class VI shares	$	3,567,360,199
Shares outstanding:
Class III		24,634,958
Class IV		25,435,825
Class VI		95,840,331
Net asset value per share:
Class III	$	37.25
Class IV	$	37.23
Class VI	$	37.22

See accompanying notes to the financial statements.

19

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $13,049,764)	$	140,838,550
Interest		11,745,976
Securities lending income		2,965,247
Total investment income		155,549,773
Expenses:
Management fee (Note 3)		20,690,755
Shareholder service fee – Class III (Note 3)		1,455,079
Shareholder service fee – Class IV (Note 3)		737,097
Shareholder service fee – Class VI (Note 3)		2,010,737
Custodian and fund accounting agent fees		2,347,759
Transfer agent fees		46,820
Audit and tax fees		80,171
Legal fees		120,982
Trustees fees and related expenses (Note 3)		59,221
Miscellaneous		79,147
Total expenses		27,627,768
Fees and expenses reimbursed by Manager (Note 3)		(2,645,358	)
Expense reductions (Note 2)		(30,087	)
Net expenses		24,952,323
Net investment income (loss)		130,597,450
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		249,043,995
Closed futures contracts		(13,356,499	)
Foreign currency, forward contracts and foreign currency related transactions		27,141,524
Net realized gain (loss)		262,829,020
Change in net unrealized appreciation (depreciation) on:
Investments		(524,666,886	)
Open futures contracts		(21,373,511	)
Foreign currency, forward contracts and foreign currency related transactions		7,703,873
Net unrealized gain (loss)		(538,336,524	)
Net realized and unrealized gain (loss)		(275,507,504	)
Net increase (decrease) in net assets resulting from operations	$	(144,910,054	)

See accompanying notes to the financial statements.

20

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	130,597,450		$	57,734,964
Net realized gain (loss)		262,829,020			191,962,966
Change in net unrealized appreciation (depreciation)		(538,336,524	)		212,810,791
Net increase (decrease) in net assets from operations		(144,910,054	)		462,508,721
Distributions to shareholders from:
Net investment income
Class III		(15,752,992	)		(15,520,665	)
Class IV		(13,850,618	)		(19,922,801	)
Class VI		(70,382,406	)		(18,254,450	)
Total distributions from net investment income		(99,986,016	)		(53,697,916	)
Net realized gains
Class III		(44,597,287	)		(41,938,026	)
Class IV		(40,295,188	)		(49,032,006	)
Class VI		(183,168,178	)		(44,892,191	)
Total distributions from net realized gains		(268,060,653	)		(135,862,223	)
		(368,046,669	)		(189,560,139	)
Net share transactions (Note 7):
Class III		81,033,866			(41,461,834	)
Class IV		308,789,561			(579,931,387	)
Class VI		2,587,884,351			1,311,930,094
Increase (decrease) in net assets resulting from net share transactions		2,977,707,778			690,536,873
Total increase (decrease) in net assets		2,464,751,055			963,485,455
Net assets:
Beginning of period		2,967,356,979			2,003,871,524
End of period (including accumulated undistributed net investment income of $60,260,648 and distributions in excess of net investment income of $6,487,249, respectively)	$	5,432,108,034		$	2,967,356,979

See accompanying notes to the financial statements.

21

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	39.38		$	35.23		$	30.81		$	26.75		$	18.04
Income (loss) from investment operations:
Net investment income (loss)†		1.01			0.86			0.72			0.55			0.40
Net realized and unrealized gain (loss)		(0.51	)		6.06			4.79			4.54			8.81
Total from investment operations		0.50			6.92			5.51			5.09			9.21
Less distributions to shareholders:
From net investment income		(0.68	)		(0.77	)		(0.16	)		(0.54	)		(0.50	)
From net realized gains		(1.95	)		(2.00	)		(0.93	)		(0.49	)		—
Total distributions		(2.63	)		(2.77	)		(1.09	)		(1.03	)		(0.50	)
Net asset value, end of period	$	37.25		$	39.38		$	35.23		$	30.81		$	26.75
Total Return(a)		0.69	%		20.04	%		18.26	%		19.20	%		51.46	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	917,685		$	877,816		$	820,336		$	321,463		$	201,333
Net expenses to average daily net assets		0.53	%(b)		0.53	%		0.54	%		0.55	%		0.55	%
Net investment income to average daily net assets		2.44	%		2.29	%		2.26	%		1.98	%		1.77	%
Portfolio turnover rate		43	%		47	%		43	%		45	%		43	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.10	%		0.14	%		0.27	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout period.

See accompanying notes to the financial statements.

22

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,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	39.36		$	35.21		$	30.80		$	26.75		$	21.08
Income (loss) from investment operations:
Net investment income (loss)†		1.04			0.85			0.65			0.56			0.16
Net realized and unrealized gain (loss)		(0.52	)		6.09			4.87			4.54			6.03
Total from investment operations		0.52			6.94			5.52			5.10			6.19
Less distributions to shareholders:
From net investment income		(0.70	)		(0.79	)		(0.18	)		(0.56	)		(0.52	)
From net realized gains		(1.95	)		(2.00	)		(0.93	)		(0.49	)		—
Total distributions		(2.65	)		(2.79	)		(1.11	)		(1.05	)		(0.52	)
Net asset value, end of period	$	37.23		$	39.36		$	35.21		$	30.80		$	26.75
Total Return(b)		0.75	%		20.14	%		18.31	%		19.24	%		29.71	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	947,063		$	711,712		$	1,183,535		$	255,580		$	24,134
Net expenses to average daily net assets		0.47	%(c)		0.47	%		0.48	%		0.49	%		0.49	%*
Net investment income to average daily net assets		2.51	%		2.27	%		1.98	%		2.01	%		0.99	%*
Portfolio turnover rate		43	%		47	%		43	%		45	%		43	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.11	%		0.14	%		0.26	%*

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

(b)  The total returns would have been lower had certain expense not been reimbursed during the period shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout period.

††  Calculation represtents portfolio turnover of the Fund for year ended February 29, 2004.

*  Annualized

**  Not annualized

See accompanying notes to the financial statements.

23

GMO International Core Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from March 28, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	39.35		$	36.09
Income (loss) from investment operations:
Net investment income (loss)†		0.98			0.74
Net realized and unrealized gain (loss)		(0.45	)		5.33
Total from investment operations		0.53			6.07
Less distributions to shareholders:
From net investment income		(0.71	)		(0.81	)
From net realized gains		(1.95	)		(2.00	)
Total distributions		(2.66	)		(2.81	)
Net asset value, end of period	$	37.22		$	39.35
Total Return(a)		0.78	%		17.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,567,360		$	1,377,829
Net expenses to average daily net assets		0.44	%(b)		0.44	%*
Net investment income to average daily net assets		2.36	%		2.11	%*
Portfolio turnover rate		43	%		47	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%*

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended Febuary 28, 2007.

*  Annualized

**  Not annualized

See accompanying notes to the financial statements.

24

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the MSCI EAFE Index. The Fund typically makes equity investments in companies from developed countries, other than the U.S.

As of February 29, 2008, the Fund had three classes of shares outstanding: Class III, Class IV and Class VI. Each class of shares bears a different level of shareholder service fees.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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

25

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

before the close of the NYSE. As a result, foreign equity securities are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

26

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

27

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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

28

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, short-term securities and pays a fee to the borrower that normally represents a portion of the Fund's earnings on the collateral. The fund had no securities on loan at February 29, 2008.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions, losses on wash sale transactions and passive foreign investment company transactions.

29

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	36,136,463	$	(36,135,420	)	$	(1,043	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	172,283,394	$	124,259,765
Long-term capital gains		195,763,275		65,300,374
Total distributions	$	368,046,669	$	189,560,139

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	73,174,805
Undistributed long–term capital gain	$	43,604,267

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	5,413,394,342	$	488,064,974	$	(529,383,146	)	$	(41,318,172	)

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. Interest income on inflation indexed securities, if any, is accrued

30

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to

31

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.38% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.09% for Class IV shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.38% of the 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 29, 2008 was $51,586 and $28,412, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $4,990,437,892 and $2,199,160,766, respectively.

32

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 25.34% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by four related parties comprised of certain GMO employee accounts, and 39.32% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		11,949,449		$	492,041,742			7,843,505		$	293,242,889
Shares issued to shareholders in reinvestment of distributions		1,414,279			58,116,527			1,421,250			53,860,001
Shares repurchased		(11,019,208	)		(469,124,403	)		(10,261,207	)		(388,564,724	)
Net increase (decrease)		2,344,520		$	81,033,866			(996,452	)	$	(41,461,834	)

33

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		15,988,725		$	658,843,076			7,912,379		$	293,799,706
Shares issued to shareholders in reinvestment of distributions		1,206,587			49,719,301			1,684,571			63,941,116
Shares repurchased		(9,841,902	)		(399,772,816	)		(25,127,429	)		(937,672,209	)
Net increase (decrease)		7,353,410		$	308,789,561			(15,530,479	)	$	(579,931,387	)
							Period from March 28, 2006
	Year Ended						(commencement of operations)
	February 29, 2008						through February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		74,361,787		$	3,110,181,310			34,871,102		$	1,305,783,453
Shares issued to shareholders in reinvestment of distributions		6,180,798			253,296,700			1,665,967			63,146,641
Shares repurchased		(19,719,605	)		(775,593,659	)		(1,519,718	)		(57,000,000	)
Net increase (decrease)		60,822,980		$	2,587,884,351			35,017,351		$	1,311,930,094

34

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

35

GMO International Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

36

GMO International Core Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.53	%	$	1,000.00	$	944.80	$	2.56
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.23	$	2.66
Class IV
1) Actual		0.47	%	$	1,000.00	$	945.00	$	2.27
2) Hypothetical		0.47	%	$	1,000.00	$	1,022.53	$	2.36
Class VI
1) Actual		0.44	%	$	1,000.00	$	945.10	$	2.13
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.68	$	2.21

*  Expenses are calculated using each Class's annualized net expense ratio for the six month period ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days, divided by 366 days in the year.

37

GMO International Core Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $195,763,276 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $12,920,265 and recognized foreign source income of $153,888,314.

For taxable, non-corporate shareholders, 60.21% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $72,297,378 or if determined to be different, the qualified short-term gains of such year.

38

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

39

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

40

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

41

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

42

GMO International Growth Equity Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Portfolio Managers

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 Growth Equity Fund returned +5.0% for the fiscal year ended February 29, 2008, as compared to +0.8% for the MSCI EAFE Index and +3.5% for the S&P/Citigroup PMI EPAC Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Stock selection made a strong positive contribution to relative performance. Among the most significant contributors were holdings in Canadian fertilizer company Potash Corp. of Saskatchewan, Canadian tech company Research in Motion, and Australian mining company Rio Tinto, all of which outperformed. Overweight positions in British bank Royal Bank of Scotland, Japanese financial Resona Holdings, and an underweight position in Australian mining company BHP Billiton hurt returns.

Country allocation had a positive impact on relative performance. Overweights to Germany, Canada, Singapore, and Hong Kong helped, while overweights to Sweden and Ireland hurt. In addition, not holding Korea, which GMO classifies as an emerging market but S&P/Citigroup considers developed, reduced returns against the growth index.

Currency allocation had a positive impact as our underweight to the British pound and overweights to the Canadian dollar and Swiss franc added slightly more value than our underweight to the Australian dollar detracted. The U.S. dollar weakened relative to most foreign currencies which boosted returns for U.S. investors. The MSCI EAFE Index returned 10% more in U.S. dollar terms than in local currency.

Sector exposures had a positive impact. Our underweight to Financials and overweight to Energy helped while our underweight to Consumer Staples hurt.

Among GMO's international quantitative stock selection disciplines, stocks favored for their strong momentum (especially price momentum) characteristics significantly outperformed. Those highly ranked by intrinsic value also did well.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Classes IV will vary due to different fees.

†  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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.3	%
Short-Term Investments		3.8
Preferred Stocks		0.6
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Futures		(0.5	)
Other		1.5
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		20.6	%
Japan		17.2
Switzerland		9.4
Germany		8.3
France		7.5
Australia		6.8
Finland		6.8
Canada		5.5
Spain		4.4
Denmark		2.6
Sweden		2.4
Hong Kong		1.9
Singapore		1.5
Ireland		1.2
Norway		0.9
Italy		0.9
Netherlands		0.8
Belgium		0.6
Austria		0.3
Greece		0.3
Portugal		0.1
		100.0	%

1

GMO International Growth Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Industrials		14.4	%
Health Care		13.3
Materials		13.1
Information Technology		12.6
Consumer Staples		10.2
Financials		8.7
Consumer Discretionary		8.6
Energy		8.5
Telecommunication Services		7.1
Utilities		3.5
		100.0	%

2

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 94.3%
		Australia — 6.5%
	639,442	AMP Ltd		4,720,821
	276,568	Australia and New Zealand Banking Group Ltd		5,580,982
	238,031	Australian Stock Exchange Ltd		9,151,739
	267,107	Babcock & Brown Ltd		4,184,167
	730,600	BHP Billiton Ltd		26,435,153
	698,330	BlueScope Steel Ltd		6,985,514
	570,230	Brambles Ltd		5,475,852
	24,430	Cochlear Ltd		1,217,973
	873,708	CSL Ltd		29,303,671
	1,855,629	CSR Ltd		5,781,340
	1,011,812	Foster's Group Ltd		4,985,071
	1,100,514	Harvey Norman Holdings Ltd		4,603,178
	24,806	Incitec Pivot Ltd		3,369,208
	869,589	Insurance Australia Group Ltd		3,018,953
	74,746	Leighton Holdings Ltd		3,133,431
	192,790	Macquarie Group Ltd		9,628,009
	527,404	Macquarie Infrastructure Group		1,414,855
	288,508	Newcrest Mining Ltd		10,030,432
	234,067	QBE Insurance Group Ltd		4,841,386
	37,568	Rio Tinto Ltd		4,681,135
	172,409	Santos Ltd		2,043,619
	84,549	St George Bank		1,846,275
	182,769	TABCORP Holdings Ltd		2,576,538
	1,403,836	Telstra Corp Ltd		6,310,777
	156,242	Westfarmers Ltd		5,413,382
	483,838	Westpac Banking Corp		10,348,650
	490,385	Woodside Petroleum Ltd		25,642,984
	595,751	Woolworths Ltd		15,910,821
	239,535	Worleyparsons Ltd		8,199,303
	194,409	Zinifex Ltd		1,956,007
		Total Australia		228,791,226

See accompanying notes to the financial statements.

3

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Austria — 0.3%
	64,794	OMV AG		4,681,689
	68,461	Voestalpine AG		4,303,255
		Total Austria		8,984,944
		Belgium — 0.5%
	61,829	Belgacom SA		2,961,115
	9,780	Colruyt SA		2,389,721
	59,315	Dexia		1,394,500
	218,662	Fortis		4,830,773
	24,668	Inbev NV		2,229,524
	21,044	Mobistar SA		1,793,273
	76,380	Umicore		3,880,454
		Total Belgium		19,479,360
		Canada — 5.3%
	53,900	Canadian Imperial Bank of Commerce		3,657,588
	127,300	Canadian National Railway Co		6,731,994
	66,000	Canadian Natural Resources		4,946,060
	47,900	Canadian Pacific Railway Ltd		3,481,601
	52,300	Enbridge Inc		2,154,702
	123,500	EnCana Corp		9,414,483
	90,800	Goldcorp Inc		3,919,829
	74,600	Husky Energy Inc (a)		3,160,599
	52,800	IGM Financial Inc		2,298,684
	102,800	Penn West Energy Trust		2,901,482
	377,400	Potash Corp of Saskatchewan Inc		60,000,561
	539,500	Research In Motion Ltd *		56,200,086
	205,600	Royal Bank of Canada		10,317,078
	95,600	Shoppers Drug Mart Corp		4,886,600
	112,900	Suncor Energy Inc		11,642,723
		Total Canada		185,714,070

See accompanying notes to the financial statements.

4

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Denmark — 2.4%
	1,228	AP Moller-Maersk A/S		12,618,734
	758	AP Moller-Maersk A/S Class A		7,823,922
	22,175	D/S Norden		2,416,925
	304,200	H Lundbeck A/S		7,264,182
	609,050	Novo-Nordisk A/S		41,664,148
	137,700	Vestas Wind Systems A/S *		13,959,747
		Total Denmark		85,747,658
		Finland — 6.4%
	96,827	Alma Media Corp (a)		1,467,113
	110,598	Amer Sports Oyj Class A (a)		2,310,095
	50,879	Elisa Oyj		1,550,771
	233,762	Fortum Oyj		9,760,175
	67,129	KCI Konecranes Oyj		2,437,304
	198,706	Kone Oyj (a)		6,952,666
	90,359	Metso Oyj		4,701,204
	49,361	Neste Oil Oyj		1,727,097
	4,334,171	Nokia Oyj		155,716,479
	394,944	Nokian Renkaat Oyj		16,237,401
	121,641	Outotec Oyj		6,718,305
	248,383	Rautaruukki Oyj		10,829,587
	82,709	Tietoenator Oyj		1,552,557
	41,646	Wartsila Oyj Class B		2,846,776
	86,388	YIT Oyj		2,146,138
		Total Finland		226,953,668
		France — 7.1%
	71,281	Alstom		14,980,378
	37,831	BNP Paribas		3,382,088
	94,820	Bouygues		6,476,225
	78,684	Carrefour SA		5,533,533
	233,387	Credit Agricole SA		6,330,572
	54,092	Dassault Systemes SA		2,949,455
	121,295	Electricite de France		11,313,182

See accompanying notes to the financial statements.

5

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — continued
	102,991	Essilor International SA		6,115,372
	221,572	Groupe Danone		17,356,646
	78,262	Hermes International		9,159,306
	129,519	L'Oreal SA		15,370,254
	41,580	LVMH Moet Hennessy Louis Vuitton SA		4,272,007
	28,972	Neopost SA		3,007,259
	37,858	Peugeot SA		2,877,936
	878,539	Sanofi-Aventis		64,935,146
	21,841	Societe Generale		2,336,970
	5,460	Societe Generale NV (New Shares) *		599,965
	762,171	Total SA		57,394,552
	29,389	UbiSoft Entertainment SA *		2,470,081
	129,236	Veolia Environnement		11,498,593
	18,447	Wendel Investissement		2,080,515
		Total France		250,440,035
		Germany — 7.3%
	154,460	Adidas AG		9,803,726
	29,437	Allianz SE (Registered)		5,074,739
	210,250	BASF AG		26,885,844
	38,795	Bayer AG		2,985,641
	36,296	Beiersdorf AG (Bearer)		2,873,439
	127,731	Deutsche Bank AG (Registered)		14,170,713
	160,390	Deutsche Boerse AG		25,522,066
	73,435	E.ON AG		13,826,033
	36,368	K&S AG		10,582,151
	63,006	MAN AG		8,310,572
	75,636	Muenchener Rueckversicherungs AG (Registered)		13,308,104
	36,707	Norddeutsche Affinerie AG		1,482,582
	55,006	Premiere AG *		1,177,896
	7,376	Puma AG Rudolf Dassler Sport		2,624,402
	83,646	Q-Cells AG *		6,743,044
	81,942	Salzgitter AG		14,362,954
	691,442	SAP AG		32,653,202

See accompanying notes to the financial statements.

6

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	67,329	SGL Carbon AG *		3,736,621
	357,428	Siemens AG (Registered)		45,580,700
	97,472	Solarworld AG		4,405,649
	61,401	ThyssenKrupp AG		3,531,010
	17,450	Volkswagen AG		3,973,273
	12,768	Wacker-Chemie AG		2,712,150
	17,253	Wincor Nixdorf AG		1,371,874
		Total Germany		257,698,385
		Greece — 0.3%
	56,895	Coca Cola Hellenic Bottling Co SA		2,490,023
	51,839	EFG Eurobank Ergasias		1,493,305
	62,990	Greek Organization of Football Prognostics SA		2,060,665
	105,346	Hellenic Telecommunications Organization SA		2,926,322
		Total Greece		8,970,315
		Hong Kong — 1.8%
	1,303,500	CLP Holdings Ltd		10,189,623
	1,246,500	Esprit Holdings Ltd		15,664,798
	297,300	Hang Seng Bank Ltd		5,627,346
	2,691,000	Hong Kong & China Gas		7,836,315
	41,600	Hong Kong Aircraft Engineering Co Ltd		919,349
	1,618,000	Hong Kong Electric Holdings Ltd		9,163,108
	425,931	Hong Kong Exchanges and Clearing Ltd		8,091,441
	1,480,000	Li & Fung Ltd		5,383,257
	2,691,000	PCCW Ltd		1,552,807
		Total Hong Kong		64,428,044
		Ireland — 1.1%
	153,867	Allied Irish Banks Plc		3,114,778
	604,151	Anglo Irish Bank Corp		8,556,391
	338,168	Bank of Ireland		4,757,069
	482,633	C&C Group Plc		3,286,641
	204,383	CRH Plc		7,596,002

See accompanying notes to the financial statements.

7

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Ireland — continued
	247,333	DCC Plc		6,222,972
	116,249	Irish Life & Permanent Plc		1,890,914
	164,864	Kerry Group Plc		5,172,933
		Total Ireland		40,597,700
		Italy — 0.9%
	659,173	AEM SPA		2,666,628
	145,729	Bulgari SPA		1,622,541
	657,278	ENI SPA		22,696,620
	121,800	Saipem		4,976,223
		Total Italy		31,962,012
		Japan — 16.4%
	147,200	Astellas Pharma Inc		6,433,488
	750,850	Canon Inc		33,657,062
	416	Central Japan Railway Co		3,961,418
	263,000	Daiichi Chuo Kisen Kaisha		1,898,588
	45,800	Daiichi Sankyo Co Ltd		1,421,334
	205,800	Daikin Industries Ltd		9,260,485
	115,100	Denso Corp		4,296,860
	480	East Japan Railway Co		3,852,653
	132,800	Eisai Co Ltd		4,789,355
	102,100	Fanuc Ltd		9,518,664
	50,700	Fast Retailing Co Ltd		3,745,331
	44,300	Hirose Electric Co Ltd		4,693,700
	58,400	Hokkaido Electric Power		1,307,768
	637,700	Honda Motor Co Ltd		19,466,003
	455,400	Hoya Corp		11,554,835
	116,000	Ibiden Co Ltd		5,539,090
	1,302,000	Isuzu Motors Ltd		5,928,969
	85,300	Ito En Ltd		1,738,067
	411,000	Japan Steel Works Ltd (The)		6,679,089
	1,313	Japan Tobacco Inc		6,632,553
	126,000	JFE Holdings Inc		5,614,280

See accompanying notes to the financial statements.

8

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	266,000	Kao Corp		8,189,561
	1,287,000	Kawasaki Kisen Kaisha Ltd		13,055,347
	52,300	Keyence Corp		12,203,209
	1,054,200	Komatsu Ltd		26,781,423
	189,500	Konica Minolta Holdings Inc		2,684,675
	652,000	Marubeni Corp		4,936,359
	229,000	Matsushita Electric Industrial Co Ltd		4,823,061
	585,000	Mazda Motor Corp		2,383,650
	726,700	Mitsubishi Corp		22,171,967
	284,000	Mitsubishi Estate Co Ltd		6,921,218
	204,000	Mitsubishi Heavy Industries		953,974
	600,000	Mitsui & Co		13,048,460
	1,433,000	Mitsui OSK Lines Ltd		18,611,637
	843,000	Mitsui Trust Holding Inc		5,811,165
	1,104	Mizuho Financial Group Inc		4,565,091
	71,300	Murata Manufacturing Co Ltd		3,868,591
	148,000	NGK Insulators Ltd		3,360,772
	241,000	Nikon Corp		6,750,418
	115,400	Nintendo Co Ltd		57,457,165
	382,500	Nippon Mining Holdings Inc		2,265,491
	1,247,000	Nippon Oil Corp		8,506,626
	1,458,000	Nippon Steel Corp		7,670,830
	1,546,000	Nippon Yusen KK		14,285,705
	144,000	Nomura Research Institute		4,101,277
	592	NTT Data Corp		2,770,326
	3,294	NTT Docomo Inc		4,825,941
	178,000	Olympus Corp		5,212,128
	7,270	ORIX Corp		1,086,930
	866,000	Osaka Gas Co Ltd		3,474,694
	3,537	Resona Holdings Inc		5,721,148
	89,000	Ricoh Company Ltd		1,429,352
	38,000	Rohm Co Ltd		2,771,551
	8,714	SBI Holdings Inc		2,134,133
	64,100	Secom Co		3,232,498

See accompanying notes to the financial statements.

9

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	687,200	Seven & I Holdings Co Ltd		17,087,413
	27,200	Shimamura Co		1,972,273
	452,600	Shin-Etsu Chemical Co Ltd		24,425,184
	112,000	Shiseido Co Ltd		2,552,358
	193,900	Sony Corp		9,160,459
	210,400	SUMCO Corp		4,652,703
	1,051,000	Sumitomo Metal Industries Ltd		4,452,117
	683	Sumitomo Mitsui Financial Group Inc		4,933,286
	629,100	Takeda Pharmaceutical Co Ltd		35,103,169
	87,300	TDK Corp		6,205,526
	208,700	Terumo Corp		11,331,854
	58,600	Tokyo Electron Ltd		3,632,150
	639,000	Tokyo Gas Co Ltd		2,866,411
	31,600	Uni-Charm Corp		2,309,397
	10,284	Yahoo Japan Corp		4,572,304
	40,540	Yamada Denki Co Ltd		3,545,367
		Total Japan		578,857,936
		Netherlands — 0.8%
	47,889	Fugro NV		3,612,895
	314,213	Heineken NV		17,721,766
	51,700	ING Groep NV		1,718,079
	87,278	TomTom NV *		4,090,110
		Total Netherlands		27,142,850
		Norway — 0.9%
	124,400	Frontline Ltd		5,673,937
	186,687	Orkla ASA		2,320,707
	204,895	Renewable Energy Corp AS *		5,011,274
	504,350	StatoilHydro ASA		15,368,203
	230,000	Tandberg ASA		3,360,852
		Total Norway		31,734,973

See accompanying notes to the financial statements.

10

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Portugal — 0.1%
	357,111	Portugal Telecom SA		4,558,056
		Singapore — 1.4%
	563,000	Capitaland Ltd		2,487,347
	642,000	Cosco Corp		1,821,340
	4,248,000	Genting International Plc *		1,876,563
	660,000	Keppel Corp Ltd		4,973,208
	1,471,000	Keppel Land Ltd		6,111,679
	2,473,000	Neptune Orient Lines Ltd		5,404,291
	587,000	Oversea-Chinese Banking Corp		3,166,577
	747,000	Singapore Press Holdings Ltd		2,327,701
	875,000	Singapore Technologies Engineering Ltd		2,115,707
	6,836,500	Singapore Telecommunications		18,497,612
		Total Singapore		48,782,025
		Spain — 4.1%
	182,949	Abertis Infraestructuras SA		5,773,354
	130,040	ACS Actividades de Construccion y Servicios SA		6,641,651
	55,770	Bolsas y Mercados Espanoles		2,789,497
	75,464	Cintra Concesiones de Infraestructuras de Transporte SA		1,196,913
	184,758	Gas Natural SDG SA		11,195,156
	203,199	Inditex SA		10,475,648
	50,517	Red Electrica de Espana		3,151,735
	78,522	Repsol YPF SA		2,708,744
	3,545,396	Telefonica SA		102,591,515
		Total Spain		146,524,213
		Sweden — 2.2%
	70,200	Alfa Laval AB		3,769,630
	338,400	Hennes & Mauritz AB Class B		18,980,222
	118,600	Investor AB		2,508,678
	311,100	Kinnevik Investment AB Class B		5,975,147
	1,006,800	Sandvik AB		16,976,633
	157,200	Scania AB Class B		3,792,510

See accompanying notes to the financial statements.

11

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Sweden — continued
	247,400	SSAB Svenskt Stal AB Series A		6,927,252
	120,000	Swedish Match AB		2,796,791
	138,000	Tele2 AB Class B		2,425,594
	573,900	Volvo AB Class A		8,481,231
	461,400	Volvo AB Class B		6,849,995
		Total Sweden		79,483,683
		Switzerland — 8.9%
	1,629,208	ABB Ltd		40,590,607
	200,935	Actelion Ltd *		10,474,064
	245,367	CIE Financiere Richemont SA Class A		14,203,985
	42,654	Geberit AG (Registered)		6,275,345
	171,085	Nestle SA (Registered)		81,656,876
	18,468	Nobel Biocare AG		4,466,370
	1,117,708	Novartis AG (Registered)		55,206,717
	291,927	Roche Holding AG (Non Voting)		57,249,361
	2,872	SGS SA (Registered)		3,857,475
	25,188	Swatch Group AG		7,393,307
	11,174	Swisscom AG (Registered)		4,249,887
	14,009	Syngenta AG (Registered)		4,027,718
	69,917	Synthes Inc		9,798,274
	105,268	UBS AG (Registered)		3,434,749
	37,480	Zurich Financial Services AG		11,716,666
		Total Switzerland		314,601,401
		United Kingdom — 19.6%
	886,228	3i Group Plc		14,323,102
	525,373	Antofagasta Plc		8,373,567
	776,309	AstraZeneca Plc		29,016,415
	348,970	Aviva Plc		4,206,291
	727,430	Barclays Plc		6,817,706
	211,739	Barratt Developments Plc		1,713,069
	2,326,525	BG Group Plc		54,838,482
	2,203,167	BHP Billiton Plc		70,479,564

See accompanying notes to the financial statements.

12

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	505,029	British American Tobacco Plc		18,936,984
	378,535	British Sky Broadcasting Plc		4,247,417
	716,082	BT Group Plc		3,222,705
	174,643	Bunzl Plc		2,400,125
	578,429	Burberry Group Plc		4,803,321
	265,859	Capita Group Plc		3,444,829
	715,776	Centrica Plc		4,570,079
	494,444	Cobham Plc		1,778,789
	207,227	Daily Mail & General Trust Plc		1,915,844
	1,108,821	Diageo Plc		22,658,560
	1,871,317	DSG International Plc		2,339,246
	167,961	EMAP Plc		3,066,266
	561,073	Enterprise Inns Plc (Ordinary Shares)		4,606,462
	2,455,575	GlaxoSmithKline Plc		53,601,615
	301,772	HBOS Plc		3,585,944
	392,848	Imperial Tobacco Group Plc		18,185,839
	122,879	Kazakhmys Plc		3,742,978
	87,487	London Stock Exchange		2,346,107
	670,307	Marks & Spencer Group Plc		5,313,482
	348,240	National Grid Plc		5,049,446
	272,617	Next Plc		6,914,088
	1,142,724	Old Mutual Plc		2,822,645
	105,242	Persimmon Plc		1,529,073
	460,070	Reckitt Benckiser Group Plc		24,816,753
	657,196	Reed Elsevier Plc		8,271,452
	1,029,316	Reuters Group Plc		12,156,255
	777,514	Rio Tinto Plc		87,476,208
	1,775,720	Royal Bank of Scotland Group		13,425,378
	610,577	Royal Dutch Shell Plc A Shares (London)		21,832,016
	104,403	Royal Dutch Shell Plc B Shares (London)		3,662,662
	418,044	SABMiller Breweries Plc		8,685,115
	260,085	Scottish & Southern Energy Plc		7,605,050
	828,045	Smith & Nephew Plc		10,758,889
	605,393	Tesco Plc		4,783,997

See accompanying notes to the financial statements.

13

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	323,543	Travis Perkins Plc		6,916,598
	493,234	Tullow Oil Plc		6,114,331
	410,479	Unilever Plc		12,932,661
	237,455	Vedanta Resources Plc		10,215,604
	23,156,708	Vodafone Group Inc		74,551,132
	331,173	William Hill Plc		2,463,174
	316,250	William Morrison Supermarkets Plc		1,853,856
	245,966	Wolseley Plc		3,009,898
		Total United Kingdom		692,381,069
		TOTAL COMMON STOCKS (COST $3,202,091,076)		3,333,833,623
		PREFERRED STOCKS — 0.6%
		Germany — 0.6%
	7,803	Porsche AG (Non Voting) 0.06%		13,529,461
	57,949	Volkswagen AG 2.02%		8,074,503
		Total Germany		21,603,964
		TOTAL PREFERRED STOCKS (COST $10,492,645)		21,603,964
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	1	Societe Generale Rights, Expires 02/29/08 * (b)		9
		TOTAL RIGHTS AND WARRANTS (COST $7)		9

See accompanying notes to the financial statements.

14

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.8%
	14,053,192	Bank of New York Mellon Institutional Cash Reserves Fund (c)		14,053,192
	117,900,000	BNP Paribas Time Deposit, 3.19%, due 03/03/08		117,900,000
		TOTAL SHORT-TERM INVESTMENTS (COST $131,953,192)		131,953,192
		TOTAL INVESTMENTS — 98.7% (Cost $3,344,536,920)		3,487,390,788
		Other Assets and Liabilities (net) — 1.3%		47,302,243
		TOTAL NET ASSETS — 100.0%	$	3,534,693,031

See accompanying notes to the financial statements.

15

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
05/23/08	CHF		35,380,631	$	33,985,634	$	1,636,416
05/23/08	CHF		35,380,631		33,985,634		1,653,473
05/23/08	CHF		35,380,631		33,985,634		1,622,242
05/23/08	CHF		35,380,631		33,985,634		1,612,914
05/23/08	CHF		35,380,631		33,985,634		1,564,709
05/23/08	CHF		35,380,631		33,985,634		1,577,182
05/23/08	CHF		35,380,631		33,985,634		1,625,794
05/23/08	EUR		22,075,000		33,416,988		1,471,372
05/23/08	EUR		2,682,576		4,060,866		119,896
05/23/08	EUR		2,682,576		4,060,866		119,035
05/23/08	EUR		2,763,866		4,183,922		122,891
05/23/08	GBP		10,694,000		21,125,676		417,066
05/23/08	JPY		6,669,876,009		64,503,242		1,944,364
05/23/08	JPY		5,391,636,009		52,141,599		1,801,876
05/23/08	JPY		5,391,636,009		52,141,599		1,789,512
05/23/08	JPY		5,391,636,009		52,141,599		1,796,142
05/23/08	JPY		5,391,636,009		52,141,599		1,685,517
05/23/08	JPY		5,391,636,009		52,141,599		1,830,342
05/23/08	JPY		5,391,636,009		52,141,599		1,675,599
05/23/08	NOK		75,457,000		14,379,153		743,249
05/23/08	NZD		26,226,089		20,693,914		16,479
05/23/08	NZD		27,020,819		21,321,002		13,195
05/23/08	NZD		26,226,089		20,693,914		15,430
05/23/08	SEK		154,281,000		24,926,817		1,065,234
05/23/08	SEK		120,044,339		19,395,280		476,955
05/23/08	SEK		120,044,339		19,395,280		458,727
05/23/08	SEK		120,044,339		19,395,280		474,868
05/23/08	SEK		120,044,339		19,395,280		492,148
05/23/08	SGD		21,191,772		15,243,595		181,388
05/23/08	SGD		21,191,772		15,243,595		171,746
05/23/08	SGD		21,191,772		15,243,595		172,818
05/23/08	SGD		21,191,772		15,243,595		181,816
				$	922,670,892	$	30,530,395

See accompanying notes to the financial statements.

16

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
05/23/08	AUD		31,259,112	$	28,807,251	$	(359,271	)
05/23/08	AUD		31,259,112		28,807,251		(323,949	)
05/23/08	AUD		31,259,112		28,807,251		(315,540	)
05/23/08	AUD		31,259,112		28,807,251		(342,454	)
05/23/08	AUD		31,259,112		28,807,251		(346,142	)
05/23/08	AUD		31,259,112		28,807,251		(359,396	)
05/23/08	AUD		31,259,112		28,807,251		(376,151	)
05/23/08	CAD		22,619,862		22,945,051		(503,888	)
05/23/08	CAD		22,619,862		22,945,051		(573,845	)
05/23/08	CAD		22,619,862		22,945,051		(612,673	)
05/23/08	CAD		22,619,862		22,945,051		(590,934	)
05/23/08	CAD		22,619,862		22,945,051		(607,756	)
05/23/08	CHF		21,940,000		21,074,944		(1,038,414	)
05/23/08	CHF		22,006,000		21,138,342		(1,227,698	)
05/23/08	CHF		33,113,000		31,807,412		(1,727,928	)
05/23/08	CHF		30,871,000		29,653,810		(1,610,552	)
05/23/08	DKK		58,481,882		11,880,766		(356,463	)
05/23/08	DKK		58,481,882		11,880,766		(352,926	)
05/23/08	DKK		58,481,882		11,880,766		(350,042	)
05/23/08	DKK		58,481,882		11,880,766		(359,059	)
05/23/08	DKK		58,481,882		11,880,766		(353,381	)
05/23/08	DKK		58,481,882		11,880,766		(353,972	)
05/23/08	DKK		58,481,882		11,880,766		(359,059	)
05/23/08	GBP		9,147,962		18,071,524		(340,569	)
05/23/08	GBP		9,147,962		18,071,524		(329,263	)
05/23/08	GBP		9,147,962		18,071,524		(326,948	)
05/23/08	GBP		9,147,962		18,071,524		(322,466	)
05/23/08	GBP		9,147,962		18,071,524		(335,776	)
05/23/08	GBP		9,147,962		18,071,524		(339,938	)
05/23/08	GBP		9,147,962		18,071,524		(340,853	)
05/23/08	HKD		140,592,035		18,093,701		(35,743	)
05/23/08	HKD		144,852,400		18,641,995		(36,348	)
05/23/08	HKD		140,592,035		18,093,701		(35,349	)
05/23/08	JPY		4,324,726,000		41,823,693		(1,047,088	)
05/23/08	NOK		77,873,325		14,839,610		(370,931	)
05/23/08	NOK		77,873,325		14,839,610		(356,135	)
05/23/08	NOK		80,233,122		15,289,295		(372,471	)
05/23/08	NZD		5,296,000		4,178,853		(94,604	)
05/23/08	NZD		5,296,000		4,178,853		(94,313	)
05/23/08	NZD		5,296,000		4,178,853		(93,571	)
				$	783,874,714	$	(18,273,859	)

See accompanying notes to the financial statements.

17

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	102	CAC 40	March 2008	$	7,428,991	$	(18,026	)
	560	DAX	March 2008		143,433,294		(22,523,176	)
	121	FTSE 100	March 2008		14,022,055		381,521
	421	HANG SENG	March 2008		65,492,977		1,824,107
	17	IBEX 35	March 2008		3,408,019		5,916
	649	MSCI Singapore	March 2008		34,662,341		(981,474	)
				$	268,447,677	$	(21,311,132	)
Sales
	9	AEX	March 2008	$	1,222,870	$	17,158
	101	OMXS 30	March 2008		1,585,573		9,648
	593	S&P Toronto 60	March 2008		95,928,331		(1,003,258	)
	102	S&P/MIB	March 2008		26,066,894		3,715,502
	22	SPI 200	March 2008		2,850,729		18,346
	59	TOPIX	March 2008		7,499,230		14,198
				$	135,153,627	$	2,771,594

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

18

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

*  Non-income producing security.

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

(b)  As of February 29, 2008, the Fund elected to sell these rights but the sale did not occur until after the Fund's year end.

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

As of February 29, 2008, 87.84% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar

See accompanying notes to the financial statements.

19

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $9,842,147 (cost $3,344,536,920) (Note 2)	$	3,487,390,788
Cash		37,683
Foreign currency, at value (cost $1,918,529) (Note 2)		1,937,433
Receivable for investments sold		393,732
Receivable for Fund shares sold		30,490,483
Dividends and interest receivable		6,301,186
Foreign taxes receivable		1,077,631
Unrealized appreciation on open forward currency contracts (Note 2)		30,530,395
Receivable for collateral on open futures contracts (Note 2)		42,550,000
Receivable for expenses reimbursed by Manager (Note 3)		241,599
Total assets		3,600,950,930
Liabilities:
Collateral on securities loaned, at value (Note 2)		14,053,192
Payable for investments purchased		787,685
Payable for Fund shares repurchased		28,945,610
Payable to affiliate for (Note 3):
Management fee		1,440,178
Shareholder service fee		295,753
Trustees and Chief Compliance Officer of GMO Trust fees		3,991
Unrealized depreciation on open forward currency contracts (Note 2)		18,273,859
Payable for variation margin on open futures contracts (Note 2)		1,669,727
Accrued expenses		787,904
Total liabilities		66,257,899
Net assets	$	3,534,693,031

See accompanying notes to the financial statements.

20

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	3,223,555,710
Accumulated undistributed net investment income		55,413,766
Accumulated net realized gain		118,779,228
Net unrealized appreciation		136,944,327
	$	3,534,693,031
Net assets attributable to:
Class III shares	$	1,018,040,416
Class IV shares	$	2,516,652,615
Shares outstanding:
Class III		36,778,207
Class IV		90,855,873
Net asset value per share:
Class III	$	27.68
Class IV	$	27.70

See accompanying notes to the financial statements.

21

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $9,618,573)	$	104,135,505
Interest		6,306,647
Securities lending income		3,504,446
Total investment income		113,946,598
Expenses:
Management fee (Note 3)		20,889,776
Shareholder service fee – Class III (Note 3)		1,566,515
Shareholder service fee – Class IV (Note 3)		2,675,629
Custodian and fund accounting agent fees		1,748,085
Transfer agent fees		49,404
Audit and tax fees		78,163
Legal fees		86,207
Trustees fees and related expenses (Note 3)		39,172
Miscellaneous		47,735
Total expenses		27,180,686
Fees and expenses reimbursed by Manager (Note 3)		(1,992,670	)
Expense reductions (Note 2)		(3,591	)
Net expenses		25,184,425
Net investment income (loss)		88,762,173
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		553,419,883
Closed futures contracts		17,569,576
Foreign currency, forward contracts and foreign currency related transactions		17,929,312
Net realized gain (loss)		588,918,771
Change in net unrealized appreciation (depreciation) on:
Investments		(417,324,719	)
Open futures contracts		(19,143,679	)
Foreign currency, forward contracts and foreign currency related transactions		6,553,460
Net unrealized gain (loss)		(429,914,938	)
Net realized and unrealized gain (loss)		159,003,833
Net increase (decrease) in net assets resulting from operations	$	247,766,006

See accompanying notes to the financial statements.

22

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	88,762,173		$	60,256,121
Net realized gain (loss)		588,918,771			447,234,776
Change in net unrealized appreciation (depreciation)		(429,914,938	)		117,750,593
Net increase (decrease) in net assets from operations		247,766,006			625,241,490
Distributions to shareholders from:
Net investment income
Class III		(12,574,532	)		(14,069,563	)
Class IV		(33,113,153	)		(41,057,231	)
Total distributions from net investment income		(45,687,685	)		(55,126,794	)
Net realized gains
Class III		(165,474,422	)		(169,426,500	)
Class IV		(436,843,880	)		(223,169,718	)
Total distributions from net realized gains		(602,318,302	)		(392,596,218	)
		(648,005,987	)		(447,723,012	)
Net share transactions (Note 7):
Class III		195,928,030			(2,236,726,776	)
Class IV		(76,118,558	)		2,754,412,787
Increase (decrease) in net assets resulting from net share transactions		119,809,472			517,686,011
Total increase (decrease) in net assets		(280,430,509	)		695,204,489
Net assets:
Beginning of period		3,815,123,540			3,119,919,051
End of period (including accumulated undistributed net investment income of $55,413,766 and distributions in excess of net investment income of $9,457,346, respectively)	$	3,534,693,031		$	3,815,123,540

See accompanying notes to the financial statements.

23

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	31.37		$	29.90		$	27.22		$	23.67		$	16.83
Income (loss) from investment operations:
Net investment income (loss)†		0.69			0.77			0.53			0.40			0.29
Net realized and unrealized gain (loss)		1.28			4.80			3.57			3.94			6.81
Total from investment operations		1.97			5.57			4.10			4.34			7.10
Less distributions to shareholders:
From net investment income		(0.40	)		(0.49	)		(0.10	)		(0.33	)		(0.26	)
From net realized gains		(5.26	)		(3.61	)		(1.32	)		(0.46	)		—
Total distributions		(5.66	)		(4.10	)		(1.42	)		(0.79	)		(0.26	)
Net asset value, end of period	$	27.68		$	31.37		$	29.90		$	27.22		$	23.67
Total Return(a)		5.04	%		19.21	%		15.54	%		18.66	%		42.33	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,018,040		$	950,332		$	3,119,919		$	1,653,053		$	565,104
Net expenses to average daily net assets		0.67	%(b)		0.67	%		0.68	%		0.69	%		0.69	%
Net investment income to average daily net assets		2.13	%		2.46	%		1.89	%		1.64	%		1.38	%
Portfolio turnover rate		92	%		74	%		57	%		52	%		63	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.08	%		0.09	%		0.16	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

24

GMO International Growth Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from July 12, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	31.38		$	29.92
Income (loss) from investment operations:
Net investment income (loss)†		0.73			0.20
Net realized and unrealized gain (loss)		1.26			4.48
Total from investment operations		1.99			4.68
Less distributions to shareholders:
From net investment income		(0.41	)		(0.50	)
From net realized gains		(5.26	)		(2.72	)
Total distributions		(5.67	)		(3.22	)
Net asset value, end of period	$	27.70		$	31.38
Total Return(a)		5.11	%		15.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,516,653		$	2,864,791
Net expenses to average daily net assets		0.61	%(b)		0.61	%*
Net investment income to average daily net assets		2.24	%		1.01	%*
Portfolio turnover rate		92	%		74	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%*

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

See accompanying notes to the financial statements.

25

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P/Citigroup Primary Market Index ("PMI") Europe, Pacific, Asia Composite ("EPAC") Growth Index. The Fund typically makes equity investments in companies from developed countries, other than the U.S.

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder service fees.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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

26

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

before the close of the NYSE. As a result, foreign equity securities are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

27

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

28

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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

29

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $9,842,147, collateralized by cash in the amount of $14,053,192 which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

30

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

U.S. GAAP and tax accounting differences primarily relate to distribution character reclassifications, foreign currency transactions, losses on wash sale transactions, derivative contract transactions and passive foreign investment company transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	21,796,624	$	(21,796,624	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	263,403,378	$	176,144,020
Long-term capital gains		384,602,609		271,578,992
Total distributions	$	648,005,987	$	447,723,012

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	70,716,798
Undistributed long-term capital gain	$	122,411,183

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,348,408,494	$	365,574,122	$	(226,591,828	)	$	138,982,294

31

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact

32

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.52% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.09% for Class IV shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.52% of the 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 29, 2008 was $33,560 and $16,861, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

33

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 29, 2008 aggregated $3,534,185,897 and $3,954,757,320, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 31.53% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.01% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts, and 95.11% of the Fund's shares were held by accounts for which the Manager has investment discretion.

34

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		6,367,909		$	201,027,055			10,949,574		$	338,325,961
Shares issued to shareholders in reinvestment of distributions		5,685,508			173,931,678			5,869,582			179,928,725
Shares repurchased		(5,568,633	)		(179,030,703	)		(90,878,436	)		(2,754,981,462	)
Net increase (decrease)		6,484,784		$	195,928,030			(74,059,280	)	$	(2,236,726,776	)
	Year Ended February 29, 2008						Period from July 12, 2006 (commencement of operations) through February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		20,701,601		$	636,413,259			90,200,139		$	2,723,394,473
Shares issued to shareholders in reinvestment of distributions		15,300,242			469,510,148			8,553,466			264,644,244
Shares repurchased		(36,433,738	)		(1,182,041,965	)		(7,465,837	)		(233,625,930	)
Net increase (decrease)		(431,895	)	$	(76,118,558	)		91,287,768		$	2,754,412,787

35

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

36

GMO International Growth Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.67	%	$	1,000.00	$	975.50	$	3.29
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.53	$	3.37
Class IV
1) Actual		0.61	%	$	1,000.00	$	975.90	$	3.00
2) Hypothetical		0.61	%	$	1,000.00	$	1,021.83	$	3.07

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days, divided by 366 days in the year.

37

GMO International Growth Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $384,602,609 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $9,579,582 and recognized foreign source income of $113,754,078.

For taxable, non-corporate shareholders, 28.44% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $2,914,874 and $217,715,692, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

38

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

39

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

40

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

41

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

42

GMO International Small Companies Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Small Companies Fund

(A Series of GMO Trust)

Portfolio Managers

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 Small Companies Fund returned -2.0% for the fiscal year ended February 29, 2008, as compared to -1.9% for the S&P/Citigroup EMI World ex-U.S. 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 strong overall, especially within Information Technology, Industrial, and Materials stocks. Australian fertilizer company Incitec Pivot Ltd., Hong Kong shipper Pacific Basin Shipping Ltd., and Canadian mining company Aur Resources were among the most significant contributors. U.K. homebuilder Taylor Wimpey and U.K. building supply company Travis Perkins were among the greatest detractors.

Country allocation had minimal impact on relative performance as underweighting Spain and overweighting Singapore helped relative returns, but underweighting Canada and overweighting Ireland detracted somewhat. The Fund also maintains an allocation to emerging markets, which outperformed, adding additional value.

Currency allocation also added value as our underweight to the British pound and exposure to emerging markets currencies worked well. Our underweight to the Australian dollar offset some of the benefit. The U.S. dollar weakened relative to most foreign currencies, which boosted returns for U.S. investors. The MSCI EAFE Index returned 10% more in U.S. dollar terms than in local currency.

Sector exposures had a small positive impact from underweighting Consumer Discretionary and overweighting Materials.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and 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. 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. All information is unaudited.

GMO International Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.6	%
Short-Term Investments		4.7
Preferred Stocks		2.5
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Futures		(0.3	)
Other		(0.8	)
		100.0	%
Country Summary	% of Equity Investments
Japan		17.9	%
United Kingdom		14.6
Germany		7.9
Australia		7.8
Canada		7.6
France		5.4
Netherlands		4.0
Sweden		4.0
Italy		3.9
Switzerland		3.6
Singapore		2.9
Belgium		2.1
Finland		2.0
Brazil		1.9
South Korea		1.8
Hong Kong		1.6
Taiwan		1.6
Ireland		1.4
Greece		1.3
China		0.9
Thailand		0.8
Russia		0.7
Austria		0.7
India		0.5
Spain		0.4
Portugal		0.4
Malaysia		0.4
Norway		0.4
Turkey		0.4
South Africa		0.2
Denmark		0.2
Israel		0.2
Hungary		0.2
New Zealand		0.1
Philippines		0.1
Poland		0.1
Indonesia		0.0
		100.0	%

1

GMO International Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary	% of Equity Investments
Industrials		22.3	%
Financials		17.3
Consumer Discretionary		15.5
Materials		15.4
Information Technology		7.8
Energy		7.8
Consumer Staples		5.5
Health Care		4.7
Utilities		2.0
Telecommunication Services		1.7
		100.0	%

2

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 93.6%
		Australia — 7.5%
	52,740	BlueScope Steel Ltd		527,567
	251,627	Boral Ltd		1,398,754
	98,399	Cabcharge Australia Ltd		869,686
	31,614	Cochlear Ltd		1,576,136
	1,687,677	Commonwealth Property Office Fund		2,022,106
	939,440	CSR Ltd		2,926,890
	211,590	David Jones Ltd		788,959
	193,742	DB RREEF Trust		298,009
	393,680	Downer Edi Ltd		2,248,438
	70,552	Flight Centre Ltd		1,762,716
	491,449	Great Southern Ltd		768,524
	349,915	Gunns Ltd		1,055,176
	59,884	Incitec Pivot Ltd		8,133,584
	112,092	Independence Group NL		938,761
	839,394	ING Industrial Fund Unit		1,615,561
	863,144	ING Office Fund		1,056,135
	186,451	JB Hi-Fi Ltd		1,818,292
	527,939	Macmahon Holdings Ltd		825,981
	857,701	Macquarie CountryWide Trust		980,283
	1,685,863	Macquarie DDR Trust		945,891
	3,045,429	Macquarie Office Trust		3,043,784
	333,680	MFS Ltd		307,731
	181,970	Minara Resources Ltd		1,072,347
	202,237	Mincor Resources		615,577
	121,339	Mirvac Group Ltd		430,114
	898,701	Mount Gibson Iron Ltd *		2,834,373
	119,127	Oxiana Ltd		427,545
	1,742,850	Pan Australian Resources Ltd *		1,681,513
	764,444	PaperlinX Ltd		1,489,110
	293,109	Queensland Gas Co Ltd *		1,157,168
	210,599	Sally Malay Mining Ltd		946,782

See accompanying notes to the financial statements.

3

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Australia — continued
	95,083	Seek Ltd		570,801
	61,809	Sims Group Ltd		1,847,545
	104,960	Straits Resources Ltd		732,172
	564,516	Tishman Speyer Office Fund		762,098
	66,078	West Australian Newspapers Holdings Ltd		693,712
		Total Australia		51,169,821
		Austria — 0.7%
	76,675	Austrian Airlines *		598,678
	16,762	Flughafen Wien AG		1,916,645
	19,232	Mayr-Melnhof Karton AG (Bearer)		1,957,108
		Total Austria		4,472,431
		Belgium — 2.1%
	92,159	AGFA-Gevaert NV		889,080
	25,508	CMB Cie Maritime Belge		1,894,542
	4,721	Cofinimmo SA		968,261
	76,191	Cumerio		3,469,040
	54,010	Euronav SA		2,091,117
	9,867	EVS Broadcast Equipment SA		1,014,223
	26,685	GIMV NV		1,886,158
	38,931	Tessenderlo Chemie		1,729,392
		Total Belgium		13,941,813
		Brazil — 0.3%
	15,856	Companhia Saneamento Basico Sao Paulo		376,921
	16,500	Companhia Siderurgica Nacional SA		615,664
	7,300	Duratex SA (Preferred Shares)		148,927
	6,000	Tele Norte Leste Participacoes SA		226,716
	6,070	Unibanco-Uniao de Bancos Brasileiros SA GDR		823,213
		Total Brazil		2,191,441

See accompanying notes to the financial statements.

4

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Canada — 7.3%
	100,100	Ace Aviation Holdings Inc Class A *		2,392,026
	98,000	Aecon Group Inc		1,738,461
	34,800	AGF Management Ltd Class B		830,886
	55,500	Baytex Trust		1,197,120
	105,300	Biovail Corp		1,494,581
	200,500	CGI Group Inc *		2,220,422
	99,800	Daylight Resources Trust		910,545
	11,900	Dorel Industries Inc Class B		349,776
	8,200	Empire Co Ltd		313,920
	169,200	Equinox Minerals Ltd *		971,278
	104,700	Gerdau Ameristeel Corp		1,549,890
	110,800	Hudbay Minerals Inc *		2,116,373
	23,500	Industrial Alliance Insurance & Financial Services Inc		840,437
	73,200	Kingsway Financial Services Inc		970,546
	50,200	Laurentian Bank of Canada		2,049,313
	41,000	Linamar Corp		583,185
	24,900	Major Drilling Group International Inc *		1,442,012
	80,900	Mercator Minerals Ltd *		925,511
	103,400	Methanex Corp		2,988,804
	163,500	Neo Materials Technologies Inc *		694,366
	229,400	Northgate Minerals Corp *		713,197
	85,000	Oilexco Inc *		1,298,857
	24,500	Open Text Corp *		789,327
	73,900	Petrobank Energy and Resources Ltd *		4,352,535
	115,771	Quebecor Inc Class B		3,476,953
	63,500	RONA Inc *		897,419
	45,000	Rothmans Inc (a)		1,173,635
	87,500	Russel Metals Inc		2,271,400
	82,700	Saskatchewan Wheat Pool Inc *		1,076,339
	13,100	ShawCor Ltd		414,728
	116,500	Sino Forest Corp *		2,246,553
	20,100	Torstar Corp Class B		345,330
	102,900	Transcontinental Inc		1,704,110
	64,900	Trican Well Service Ltd		1,134,802
	67,400	TriStar Oil & Gas Ltd *		1,030,602
		Total Canada		49,505,239

See accompanying notes to the financial statements.

5

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		China — 0.9%
	174,000	Aluminum Corp of China Ltd		337,528
	66,920	Angang Steel Co Ltd Class H		175,064
	304,000	China CITIC Bank *		165,289
	172,000	China Cosco Holdings Co Ltd		500,832
	594,992	China Petroleum & Chemical Corp Class H		650,268
	110,000	China Shipping Development Co Ltd Class H		340,226
	5,030	China Telecom Corp Ltd ADR		369,252
	604,000	CNOOC Ltd		1,003,093
	104,000	Cosco Pacific Ltd		224,316
	256,000	Datang International Power Generation Co Ltd		171,748
	461,600	Denway Motors Ltd		233,324
	288,000	Huaneng Power International Inc Class H		235,321
	126,000	Jiangxi Copper Co Ltd Class H		291,575
	508,000	Peace Mark Holdings Ltd		566,600
	72,000	Shanghai Industrial Holdings Ltd		293,608
	188,000	Yanzhou Coal Mining Co Ltd Class H		306,698
		Total China		5,864,742
		Denmark — 0.2%
	13,300	D/S Norden		1,449,610
		Finland — 2.0%
	93,502	Amer Sports Oyj Class A		1,953,006
	80,707	Nokian Renkaat Oyj		3,318,121
	128,771	OKO Bank		2,248,393
	45,400	Orion Oyj		969,940
	33,186	Outotec Oyj		1,832,883
	24,200	Rakentajain Konevuokr		564,638
	132,843	Tietoenator Oyj		2,493,638
		Total Finland		13,380,619

See accompanying notes to the financial statements.

6

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		France — 5.1%
	8,945	Air France		241,000
	2,145	Areva		2,272,069
	27,352	Arkema *		1,555,605
	7,903	BIC SA		499,697
	10,306	bioMerieux		1,177,663
	2,728	Bollore		556,868
	4,957	Casino Guichard-Perrachon SA		560,672
	4,044	Cie Generale de Geophysique *		986,571
	10,866	Ciments Francais		1,714,996
	7,370	Euler Hermes SA		753,444
	11,917	Fonciere des Regions		1,745,739
	43,047	Gemalto NV *		1,196,703
	22,275	Groupe Steria SCA		664,351
	16,619	IMS International Metal Service		611,626
	17,839	Ipsen SA		1,079,960
	46,654	Maurel et Prom		896,793
	35,890	Nexans SA		3,918,488
	40,272	Publicis Groupe		1,454,336
	21,960	Rallye SA		1,294,303
	44,131	Recyclex SA *		990,350
	50,590	SCOR SE		1,145,297
	51,415	UbiSoft Entertainment SA *		4,321,319
	32,128	Valeo SA		1,215,183
	3,181	Vilmorin & Cie		536,215
	20,328	Wendel Investissement		2,292,660
	24,706	Zodiac SA		1,285,582
		Total France		34,967,490
		Germany — 7.1%
	169,465	Aixtron AG *		2,243,320
	86,329	Altana AG		2,010,964
	54,378	Arques Industries AG		1,146,782
	51,767	Balda AG * (a)		463,595
	18,981	Bechtle AG		572,937

See accompanying notes to the financial statements.

7

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Germany — continued
	30,326	Comdirect Bank AG		373,564
	14,397	Douglas Holdings AG		764,009
	8,405	ElringKlinger AG		876,074
	56,303	GEA Group AG *		1,821,605
	69,377	Gildemeister AG		1,616,608
	118,422	Hannover Rueckversicherungs AG (Registered) (a)		5,653,400
	92,725	IKB Deutsche Industriebank AG *		804,700
	2,309	K&S AG		671,860
	24,695	Kloeckner & Co AG		1,142,020
	11,644	Krones AG		900,519
	23,363	Leonische Drahtwerke AG		972,593
	44,146	Medion AG *		1,133,446
	132,109	Norddeutsche Affinerie AG (a)		5,335,833
	3,017	Puma AG Rudolf Dassler Sport		1,073,457
	6,914	Q-Cells AG *		557,366
	106,871	Rhoen-Klinikum AG		3,079,968
	2,109	Salzgitter AG		369,670
	71,157	SGL Carbon AG *		3,949,067
	13,072	Solon AG Fuer Solartechnik *		998,308
	20,199	Stada Arzneimittel AG		1,415,253
	186,560	Suedzucker AG		4,112,867
	76,772	TUI AG *		1,848,249
	18,270	Vossloh AG		2,521,598
		Total Germany		48,429,632
		Greece — 1.2%
	454,502	Alapis Holding Industrial & Commercial SA *		1,468,739
	33,052	Babis Vovos International *		1,013,854
	74,742	Hellenic Exchanges SA		1,801,692
	142,559	Hellenic Technodomiki Tev SA		1,746,038
	40,484	Intralot SA		755,402
	23,694	Quintana Maritime Ltd		545,673
	190,551	Technical Olympic SA *		219,886
	27,086	Tsakos Energy Navigation Ltd		886,254
		Total Greece		8,437,538

See accompanying notes to the financial statements.

8

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Hong Kong — 1.5%
	88,000	Asia Satellite Telecommunications Holdings Ltd		168,648
	168,400	Dah Sing Financial Services		1,235,824
	1,128,000	Far East Consortium International Ltd		499,310
	1,199,200	HKR International Ltd		921,242
	46,000	Kingboard Chemical Holdings Ltd		204,462
	1,022,000	Midland Holdings Ltd		1,360,872
	2,570,000	Pacific Basin Shipping Ltd		4,258,584
	68,000	Ports Design Ltd		201,038
	615,000	Sun Hung Kai & Co Ltd		594,237
	210,000	VTech Holdings Ltd		1,035,243
		Total Hong Kong		10,479,460
		Hungary — 0.2%
	55,440	Magyar Telekom Nyrt		267,563
	4,200	MOL Magyar Olaj es Gazipari Nyrt (New Shares)		572,153
	1,530	Richter Gedeon Nyrt		330,264
		Total Hungary		1,169,980
		India — 0.5%
	108,000	Ambuja Cement Ltd Sponsored GDR		326,160
	5,500	Bajaj Auto Ltd Sponsored GDR		305,250
	6,100	GAIL India Ltd GDR		384,300
	68,700	Hindalco Industries Ltd GDR 144A		331,821
	22,000	Mahindra & Mahindra Ltd Sponsored GDR		370,907
	32,100	Satyam Computer Services Ltd ADR		801,858
	30,700	Tata Motors Ltd Sponsored ADR		537,864
		Total India		3,058,160
		Indonesia — 0.0%
	283,500	Bank Rakyat Indonesia		220,078
		Ireland — 1.4%
	199,914	DCC Plc		5,029,896
	1,235,119	Fyffes Plc		1,723,963

See accompanying notes to the financial statements.

9

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Ireland — continued
	123,067	Grafton Group Plc *		998,703
	13,367	Kerry Group Plc		419,416
	1,302,945	Total Produce Ltd		1,120,970
		Total Ireland		9,292,948
		Israel — 0.2%
	76,960	Bank Hapoalim BM		328,828
	69,390	Bank Leumi Le		318,819
	11,310	Check Point Software Technologies Ltd *		247,915
	9,140	Teva Pharmaceutical Industries Ltd Sponsored ADR		448,500
		Total Israel		1,344,062
		Italy — 3.3%
	75,441	Azimut Holding SPA		863,001
	80,913	Banca Italease SPA		781,054
	142,687	Benetton Group SPA		1,889,232
	1,400,808	Beni Stabili SPA		1,575,838
	177,554	Bulgari SPA		1,976,879
	65,697	Buzzi Unicem SPA		1,611,794
	305,053	Cementir SPA		2,679,451
	86,797	Danieli and Co SPA (Savings Shares)		1,820,401
	86,211	ERG SPA		1,661,249
	78,445	Indesit Company SPA		978,740
	9,208	Italmobiliare SPA		830,487
	35,024	Italmobiliare SPA-RNC		2,233,737
	341,277	Milano Assicurazioni SPA		2,236,369
	32,461	Pirelli & Co Real Estate SPA		1,255,829
		Total Italy		22,394,061
		Japan — 17.2%
	108,200	Aderans Co Ltd		1,962,986
	212,100	Alps Electric Co Ltd		2,478,439
	136,400	AOC Holdings Inc		1,419,488
	39,000	Avex Group Holding Inc (a)		442,405

See accompanying notes to the financial statements.

10

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	317,000	Calsonic Kansei Corp		1,306,327
	30,000	Capcom		822,756
	294,000	Central Glass Co Ltd		1,298,111
	68,000	Chiba Kogyo Bank Ltd *		863,241
	148,800	Daiei Inc *		945,600
	313,000	Daiichi Chuo Kisen Kaisha		2,259,537
	34,000	Daiichikosho Co Ltd		335,622
	594,000	Daikyo Inc		1,402,350
	192,000	Daio Paper Corp (a)		1,383,480
	52,800	Daiseki Co Ltd		1,500,095
	314,000	Daiwabo Co Ltd		782,580
	307	DeNa Co Ltd		1,989,249
	62,200	Edion Corp		611,659
	64,700	Foster Electric Co Ltd		1,608,826
	186,000	Fujitsu General Ltd *		664,032
	42,800	Futaba Industrial Co Ltd		1,036,923
	58,900	GLORY Ltd		1,338,494
	289,000	Godo Steel		921,703
	57,100	H.I.S. Co Ltd		955,821
	24,000	Hamamatsu Photonics KK		726,544
	435,000	Hanwa Co Ltd		2,004,894
	428,400	Haseko Corp *		646,136
	25,200	Hisamitsu Pharmaceutical Co Inc		803,590
	663,000	Hitachi Zosen Corp *		667,829
	129,700	Hosiden Corp		2,225,501
	240,000	Ishihara Sangyo Kaisha Ltd *		537,982
	625,000	Iwatani International Corp (a)		1,741,256
	257,000	JACCS Co Ltd		1,080,247
	53,400	Joint Corp		689,286
	43,000	Kaga Electronics Co Ltd		540,562
	259	Kakaku.com Inc		1,469,632
	150,000	Kamigumi Co Ltd		1,131,720
	58,000	Kanto Tsukuba Bank Ltd		308,216
	252,000	Kayaba Industry Co		1,028,130

See accompanying notes to the financial statements.

11

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	660	Kenedix Inc		872,110
	131	Kenedix Realty Investment Corp		791,157
	400,000	Kiyo Holdings Inc		612,115
	1,488	KK DaVinci Advisors *		1,252,796
	24,000	Kobayashi Pharmaceutical Co Ltd		944,188
	72,200	Kohnan Shoji Co Ltd		853,789
	90,000	Koito Manufacturing Co Ltd		1,179,604
	85,000	Kojima Co Ltd (a)		446,156
	428,000	Kurabo Industries Ltd		903,481
	292,000	Kyokuyo Co Ltd		504,598
	104,000	Kyudenko Corp		523,878
	365,000	Maeda Corp (a)		1,167,438
	472,525	Maruha Group Inc		691,295
	156,000	Meiji Dairies Corp		894,193
	36,700	Miraca Holdings Inc		787,224
	290,000	Mitsui Mining Co Ltd *		1,014,863
	110	Mixi Inc *		1,282,646
	251,000	Mizuho Investors Securities		344,381
	192,000	Nagase & Co		1,956,716
	128,000	Nidec Sankyo Corp		1,047,877
	59,500	Nihon Kohden Corp		1,200,184
	111,000	Nikkiso Co Ltd		725,329
	191,000	Nippon Corp		1,255,996
	132,000	Nippon Denko Co Ltd		1,201,260
	266,000	Nippon Flour Mills Co Ltd		1,079,694
	722,000	Nippon Light Metal		1,114,460
	84,000	Nippon Synthetic Chemical Industry Co Ltd		498,084
	240,000	Nippon Yakin Koguo Co Ltd		2,278,910
	61,000	Nipro Corp		1,167,626
	460,000	Nissan Shatai Co Ltd		3,930,203
	33,300	Nissha Printing Co Ltd		1,403,642
	36,000	Nissin Kogyo Co Ltd		638,213
	175,000	Ogaki Kyoritsu Bank Ltd		963,641
	260,000	Okasan Securities Co Ltd		1,447,996

See accompanying notes to the financial statements.

12

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	23,800	Okinawa Electric Power Co		947,893
	197	Osaka Securities Exchange Co Ltd		1,013,781
	102,000	Pacific Metals Co Ltd		1,218,686
	450,000	Penta Ocean Construction Co Ltd * (a)		567,167
	14,880	Point Inc		542,824
	95,100	Q.P. Corp		945,678
	140,000	Rengo Co Ltd		756,875
	603	Round One Corp		691,146
	119,000	Ryobi Ltd		497,285
	23,800	Ryohin Keikaku Co Ltd		1,265,171
	100,600	Ryosan Co		2,401,892
	67,000	Sanki Engineering		438,325
	458,000	Sankyo-Tateyama Holdings Inc		584,895
	147,000	Sankyu Inc		701,278
	21,000	Sawai Pharmaceuticals Co Ltd		971,293
	141,000	Seino Holdings Co Ltd		934,549
	38,100	Shima Seiki Manufacturing Ltd		1,624,871
	34,500	Shimachu Co		891,872
	36,900	Shinko Plantech Co Ltd		491,039
	202,000	Shinwa Kaiun Kaisha Ltd		1,323,136
	41,000	Showa Corp		361,728
	100,000	SMK Corp		588,580
	39,900	Sugi Pharmacy Co Ltd		1,073,080
	543,000	Sumitomo Light Metal Industry		733,356
	161,000	Taihei Kogyo Co Ltd		643,201
	398,000	TOA Corp *		322,269
	291,000	Toho Gas Co Ltd		1,528,808
	117,800	Tokyo Steel Manufacturing Co		1,408,227
	448,000	Topy Industries Ltd		1,209,119
	79,000	Toshiba Plant Systems & Services Corp		691,968
	155,000	Towa Real Eatate Development (a)		214,989
	75,000	Toyo Suisan Kaisha Ltd		1,222,470
	463,000	Toyo Tire & Rubber Co Ltd		1,276,847
	43,000	Tsumura & Co		886,659

See accompanying notes to the financial statements.

13

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Japan — continued
	118,000	Uchida Yoko Co Ltd		500,577
	131,000	Uniden Corp		814,065
	18,000	Union Tool Co		641,770
	70	United Urban Investment Corp		446,178
	383,000	Unitika Ltd		379,029
	411,000	Yokohama Rubber Co		2,114,737
		Total Japan		116,774,305
		Malaysia — 0.4%
	181,000	Genting Berhad		382,879
	210,385	IOI Corp Berhad		523,272
	79,500	MISC Berhad		222,214
	53,400	Public Bank Berhad		174,449
	283,000	Resorts World Berhad		327,313
	150,471	Sime Darby Berhad *		546,396
	41,222	Tanjong Plc		204,796
	79,600	Telekom Malaysia Berhad		281,013
		Total Malaysia		2,662,332
		Netherlands — 3.9%
	106,804	Boskalis Westminster		5,897,017
	47,300	Chicago Bridge & Iron Co NV (NY Shares)		2,200,396
	70,649	CSM		2,178,772
	17,073	Fugro NV		1,288,040
	27,549	Hunter Douglas NV		1,599,657
	35,735	Koninklijke Wessanen NV		478,196
	114,136	OCE NV		2,116,717
	103,963	Qiagen NV *		2,304,907
	15,003	Smit International NV		1,394,984
	55,870	SNS Reaal		1,177,119
	49,975	Tele Atlas NV *		2,121,654
	6,928	TomTom NV *		324,667
	9,625	Vastned NV		983,452
	18,456	Wereldhave NV		2,230,924
		Total Netherlands		26,296,502

See accompanying notes to the financial statements.

14

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		New Zealand — 0.1%
	351,616	Fisher & Paykel Healthcare Corp Ltd		738,091
		Norway — 0.4%
	20,200	Frontline Ltd		921,331
	294,500	Golden Ocean Group Ltd		1,650,552
		Total Norway		2,571,883
		Philippines — 0.1%
	18,600	Ayala Corp		195,905
	4,582	Philippine Long Distance Telephone Co		323,299
		Total Philippines		519,204
		Poland — 0.1%
	4,620	KGHM Polska Miedz SA		213,789
	17,370	Polski Koncern Naftowy Orlen SA *		294,661
		Total Poland		508,450
		Portugal — 0.4%
	118,287	Banif SGPS SA (Registered Shares)		525,623
	212,460	Jeronimo Martins SGPS SA		1,564,091
	140,175	Redes Energeticas Nacionais SA *		727,182
		Total Portugal		2,816,896
		Russia — 0.6%
	27,500	Comstar United Telesystems OJSC GDR		272,250
	5,590	CTC Media Inc *		164,122
	17,900	Gazpromneft Sponsored ADR		563,850
	11,650	Mobile Telesystems Sponsored ADR		955,999
	4,400	OAO Tatneft Sponsored GDR (Registered Shares)		552,200
	6,240	Rostelecom ADR		426,504
	9,800	Surgutneftegaz Sponsored ADR		450,800
	18,300	Vimpel-Communications Sponsored ADR		635,559
	2,390	Wimm-Bill-Dann Foods ADR		251,571
		Total Russia		4,272,855

See accompanying notes to the financial statements.

15

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Singapore — 2.8%
	665,000	Allgreen Properties Ltd		597,637
	296,000	Ezra Holdings Ltd		491,565
	380,000	Indofood Agri Resources Ltd *		696,362
	480,000	Kim Eng Holdings Ltd		751,262
	453,000	KS Energy Services Ltd		743,980
	386,000	MobileOne Ltd		551,978
	1,101,100	Pacific Century Region Developments Ltd *		225,525
	656,000	Raffles Education Corp Ltd		1,228,336
	424,000	Singapore Airport Terminal Services Ltd		711,672
	914,000	Singapore Petroleum Co		4,467,454
	1,381,000	Singapore Post Ltd		1,095,474
	349,000	Sino-Environment Technology Group Ltd *		310,445
	764,000	Straits Asia Resources Ltd		2,088,964
	325,000	Tat Hong Holdings Ltd		499,767
	584,000	United Overseas Land		1,596,507
	156,000	Venture Corp Ltd		1,124,790
	505,000	Wheelock Properties Ltd		675,337
	544,000	Wing Tai Holdings Ltd		820,738
		Total Singapore		18,677,793
		South Africa — 0.2%
	56,200	African Bank Investments Ltd		221,399
	12,600	ArcelorMittal South Africa Ltd		298,804
	10,900	Barloworld Ltd		131,250
	10,900	Freeworld Coatings Ltd *		13,626
	20,600	Naspers Ltd Class N		389,888
	145,950	Sanlam Ltd		346,847
	11,000	Tiger Brands Ltd		195,792
		Total South Africa		1,597,606
		South Korea — 1.7%
	14,130	Daegu Bank		193,273
	2,310	Daelim Industrial Co Ltd		359,454
	10,185	Daewoo Engineering & Construction Co Ltd		218,012

See accompanying notes to the financial statements.

16

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		South Korea — continued
	10,704	Hana Financial Group Inc		474,968
	10,340	Hynix Semiconductor Inc *		265,897
	3,741	Hyundai Development Co		266,777
	5,440	Hyundai Mobis		417,569
	12,020	Hyundai Motor Co		842,808
	4,650	Hyundai Steel Co		359,763
	16,710	Industrial Bank of Korea		269,411
	10,400	Kookmin Bank		640,948
	12,540	Korea Exchange Bank		175,358
	4,030	Korean Air Lines Co Ltd		304,484
	9,210	KT Corp ADR *		223,711
	8,590	KT&G Corp		708,730
	3,933	LG Chemicals Ltd		328,723
	5,530	LG Corp		384,621
	5,570	LG Electronics Inc		599,909
	2,910	POSCO		1,600,567
	14,990	Pusan Bank		198,364
	21,910	Shinhan Financial Group Co Ltd		1,180,266
	1,020	SK Corp		181,275
	4,439	SK Energy Co Ltd		602,697
	23,730	SK Telecom Co Ltd ADR		531,552
	2,890	S-Oil Corp		204,199
	15,800	Woori Finance Holdings Co Ltd		282,938
		Total South Korea		11,816,274
		Spain — 0.4%
	25,568	Bolsas y Mercados Espanoles		1,278,857
	25,836	Corp Financiera Alba		1,569,501
		Total Spain		2,848,358
		Sweden — 3.8%
	47,250	Axfood AB		1,644,730
	79,500	Boliden AB		909,111
	83,100	D Carnegie AB		1,426,913

See accompanying notes to the financial statements.

17

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Sweden — continued
	102,700	Electrolux AB Series B		1,647,834
	100,255	Getinge AB		2,549,953
	108,900	Hexagon AB		2,226,238
	246,617	Kinnevik Investment AB Class B		4,736,653
	138,100	Kungsleden AB		1,636,604
	95,900	NCC Class B		2,520,227
	33,600	Ratos AB Series B		1,055,291
	195,000	Securitas Direct AB Class B *		832,215
	107,000	Trelleborg AB Class B		1,915,297
	36,175	Vostok Gas Ltd *		2,653,501
		Total Sweden		25,754,567
		Switzerland — 3.4%
	31,650	Actelion Ltd *		1,649,808
	11,736	Baloise Holding Ltd		1,058,454
	3,195	Banque Cantonale Vaudoise		1,650,372
	11,014	Bucher Industries AG		2,794,053
	2,486	Burckhardt Compression Holding AG		710,563
	9,455	Charles Voegele Holding AG *		842,560
	55,490	Ciba Specialty Chemical Holding Reg		2,219,627
	170,810	Clariant AG *		1,462,294
	1,572	Fischer (George) AG (Registered) *		784,315
	1,727	Forbo Holdings AG (Registered) *		865,311
	6,679	Galenica AG		2,566,115
	4,578	Helvetia Patria Holding (Registered)		1,740,259
	210	Hiestand Holding AG (Registered)		361,977
	7,914	Logitech International *		202,599
	5,975	Panalpina Welttransport Holding AG		1,002,564
	14,758	PSP Swiss Property AG (Registered) *		904,275
	15,885	Swiss Steel AG (Registered)		1,371,913
	11,672	Temenos Group AG *		292,134
	4,223	Verwaltungs & Private Bank		800,218
		Total Switzerland		23,279,411

See accompanying notes to the financial statements.

18

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Taiwan — 1.5%
	158,000	Acer Inc		286,662
	365,621	Advanced Semiconductor Engineering Inc		335,202
	189,408	Asustek Computer Inc		522,908
	294,256	AU Optronics Corp		561,260
	102,000	Chi Mei Optoelectronics Corp		134,162
	603,165	China Steel Corp		891,166
	389,000	Chinatrust Financial Holding Co Ltd *		347,770
	339,660	Chunghwa Telecom Co Ltd		844,506
	319,859	Compal Electronics Inc		288,283
	85,896	Far Eastern Textile Co Ltd		139,945
	202,000	Far Eastone Telecommunications Co Ltd		282,071
	216,995	Formosa Chemicals & Fibre Co		527,334
	237,939	Formosa Plastics Corp		641,409
	449,000	Fubon Financial Holding Co Ltd		488,655
	49,435	High Tech Computer Corp		1,020,522
	135,200	Hon Hai Precision Industry Co Ltd		806,619
	45,340	MediaTek Inc		508,511
	186,000	Mega Financial Holdings Co Ltd		132,817
	192,060	Nan Ya Plastics Corp		452,311
	251,395	Quanta Computer Inc		329,566
	171,760	Siliconware Precision Industries Co		279,901
	186,970	Taiwan Mobile Co Ltd		316,753
	541,761	United Microelectronics Corp		321,569
		Total Taiwan		10,459,902
		Thailand — 0.7%
	35,810	Advanced Info Service Pcl (Foreign Registered) (b)		117,929
	90,580	Bangkok Bank Pcl NVDR (b)		369,833
	168,000	Bangkok Dusit Medical Service Pcl (Foreign Registered) (b)		177,608
	19,810	Banpu Pcl (Foreign Registered) (b)		296,806
	1,326,100	IRPC Pcl (Foreign Registered) (b)		249,661
	245,410	Kasikornbank Pcl NVDR (b)		676,414
	130,680	PTT Exploration & Production Pcl (Foreign Registered) (b)		657,764
	110,450	PTT Pcl (Foreign Registered) (b)		1,181,180

See accompanying notes to the financial statements.

19

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Thailand — continued
	36,450	Siam Cement Pcl NVDR (b)		247,730
	202,380	Siam Commercial Bank Pcl (Foreign Registered) (b)		554,702
	151,250	Thai Oil Pcl (Foreign Registered) (b)		374,002
		Total Thailand		4,903,629
		Turkey — 0.4%
	12,170	Anadolu Efes Biracillik ve Malt Sanayii AS		134,166
	15,800	Dogan Sirketler Grubu Holdings AS *		19,879
	53,030	Eregli Demir ve Celik Fabrikalari TAS		372,883
	58,960	Haci Omer Sabanci Holding AS		265,182
	43,900	KOC Holding AS *		165,334
	21,940	Tupras-Turkiye Petrol Rafineriler AS		556,246
	86,630	Turkiye Garanti Bankasi		513,761
	34,210	Turkiye Halk Bankasi AS *		216,475
	90,470	Turkiye Vakiflar Bankasi TAO Class D		211,494
		Total Turkey		2,455,420
		United Kingdom — 14.0%
	49,647	Admiral Group Plc		992,913
	266,219	Aggreko Plc		3,089,992
	31,198	AMEC Plc		475,906
	297,219	Amlin Plc		1,624,592
	85,357	Arriva Plc		1,149,268
	90,257	Autonomy Corp Plc *		1,678,886
	38,674	Aveva Group Plc		754,432
	68,910	Babcock International Group		771,916
	85,482	Barratt Developments Plc		691,590
	421,780	BBA Aviation Plc		1,534,641
	208,756	Beazley Group Plc		666,349
	47,283	Bellway Plc		744,226
	43,329	Berkeley Group Holdings Plc *		891,413
	228,368	Bradford & Bingley Plc		1,005,573
	316,345	Brit Insurance Holdings Plc		1,453,559
	73,691	British Energy Group Plc		820,932

See accompanying notes to the financial statements.

20

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	111,435	Britvic Plc		732,746
	20,493	Bunzl Plc		281,636
	32,872	Cairn Energy Plc *		1,763,640
	69,421	Close Brothers Group Plc		901,623
	110,113	Dairy Crest Group Plc		1,149,466
	50,167	Dana Petroleum Plc (Ordinary Shares) *		1,320,578
	91,633	De La Rue Plc		1,639,279
	3,137,460	Dimension Data Holdings Plc		3,190,086
	346,512	Drax Group Plc		3,973,683
	302,289	Electrocomponents Plc		1,052,062
	576,814	Game Group Plc		2,125,321
	55,770	Greene King Plc		717,479
	654,118	HMV Group Plc		1,635,495
	183,075	Inchcape Plc		1,414,628
	294,848	Inmarsat Plc		2,879,706
	231,277	Johnston Press Plc		880,653
	179,311	Kesa Electricals Plc		757,529
	108,357	Ladbrokes Plc		650,669
	328,338	LG Group Holdings Plc		2,267,565
	101,471	Luminar Group Holdings Plc		705,335
	140,118	Micro Focus International Plc		556,704
	251,860	Misys Plc		741,729
	62,090	National Express Group Plc		1,389,065
	1,456,273	Northern Foods Plc		2,598,531
	1,749,000	PartyGaming Plc *		906,719
	173,232	Pennon Group Plc		2,193,374
	208,088	Petrofac Ltd		2,268,606
	92,959	Provident Financial Plc		1,472,745
	23,426	Randgold Resources Ltd		1,206,820
	38,882	Rotork Plc		761,997
	150,760	RPS Group Plc		884,114
	3,234,401	Signet Group Plc		3,899,210
	409,980	Smith (David S.) Holdings Plc		1,283,808
	450,381	Smith News Plc		901,284

See accompanying notes to the financial statements.

21

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		United Kingdom — continued
	39,813	Soco International PLC *		1,530,383
	115,509	SSL International Plc		1,115,271
	302,193	Stagecoach Group Plc		1,498,840
	208,541	Taylor Woodrow Plc		705,650
	207,572	TDG Plc		1,015,384
	636,816	Tomkins Plc		2,135,085
	131,062	Travis Perkins Plc		2,801,801
	593,886	Trinity Mirror Plc		3,337,152
	47,460	Tullow Oil Plc		588,334
	79,696	VT Group Plc		1,047,092
	186,654	Weir Group Plc (The)		2,855,637
	222,603	WH Smith Plc		1,646,372
	172,621	William Hill Plc		1,283,908
	455,219	Wood Group (John) Plc		3,719,752
	3,073,669	Woolworths Group Plc		654,117
		Total United Kingdom		95,384,851
		TOTAL COMMON STOCKS (COST $632,620,478)		636,107,454
		PREFERRED STOCKS — 2.5%
		Brazil — 1.6%
	66,100	Aracruz SA Class B (Registered) 5.55%		478,034
	38,206	Banco Bradesco SA 0.32%		1,192,878
	44,520	Banco Itau Holding Financeira SA 2.81%		1,121,490
	25,000	Bradespar SA 0.28%		650,464
	22,483	Brasil Telecom Participacoes SA 4.46%		313,759
	18,600	Brasil Telecom SA 3.98%		206,557
	35,617	Companhia Energetica de Minas Gerais 2.29%		678,178
	16,388	Companhia Paranaense de Energia Class B 2.20%		266,592
	72,700	Companhia Vale do Rio Doce Class A 0.05%		2,143,470
	14,700	Gerdau Metalurgica SA 2.65%		647,596
	20,800	Gerdau SA 2.11%		679,681
	102,822	Itausa-Investimentos Itau SA 0.11%		653,620

See accompanying notes to the financial statements.

22

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Brazil — continued
	55,900	Sadia SA 3.09%		316,010
	9,370	Tele Norte Leste Participacoes ADR 3.52%		234,531
	19,400	Tele Norte Leste Participacoes SA 0.19%		484,226
	6,800	Telemar Norte Leste SA Class A 3.67%		365,916
		Total Brazil		10,433,002
		Germany — 0.4%
	14,778	Draegerwerk AG 1.47%		834,556
	34,859	Hugo Boss AG 3.05%		2,069,933
		Total Germany		2,904,489
		Italy — 0.5%
	111,880	IFI Istituto Finanziario Industries *		3,161,124
		Russia — 0.0%
	330,840	Surgutneftegaz 5.78%		172,037
	1,360	Surgutneftegaz Sponsored ADR 5.92%		65,960
		Total Russia		237,997
		South Korea — 0.0%
	6,240	Hyundai Motor Co 4.03%		179,690
		TOTAL PREFERRED STOCKS (COST $9,467,483)		16,916,302
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	617	Banco Bradesco SA Rights, Expires 02/22/08 * (c)		1,624
		Sweden — 0.0%
	100,255	Getinge AB Rights, Expires 03/14/08 *		38,615
		TOTAL RIGHTS AND WARRANTS (COST $23,628)		40,239

See accompanying notes to the financial statements.

23

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($) / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.7%
	15,400,000	Bank of America Time Deposit, 3.05%, due 03/03/08		15,400,000
	16,390,450	Bank of New York Mellon Institutional Cash Reserves Fund (d)		16,390,450
		TOTAL SHORT-TERM INVESTMENTS (COST $31,790,450)		31,790,450
		TOTAL INVESTMENTS — 100.8% (Cost $673,902,039)		684,854,445
		Other Assets and Liabilities (net) — (0.8%)		(5,318,827	)
		TOTAL NET ASSETS — 100.0%	$	679,535,618

See accompanying notes to the financial statements.

24

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	CAD		5,864,480	$	5,948,789	$	181,148
5/23/08	CAD		5,864,480		5,948,789		181,488
5/23/08	CAD		6,042,191		6,129,055		163,657
5/23/08	CHF		7,105,000		6,824,862		354,713
5/23/08	CHF		12,623,871		12,126,134		580,086
5/23/08	CHF		12,252,580		11,769,482		541,871
5/23/08	CHF		12,252,580		11,769,482		546,190
5/23/08	GBP		1,331,000		2,629,351		33,089
5/23/08	JPY		724,197,438		7,003,591		245,849
5/23/08	JPY		702,897,513		6,797,603		233,295
5/23/08	JPY		702,897,513		6,797,603		218,445
5/23/08	NZD		5,643,251		4,452,854		2,812
5/23/08	NZD		5,643,251		4,452,854		3,546
5/23/08	NZD		5,814,259		4,587,790		2,839
5/23/08	SEK		19,569,025		3,161,721		77,751
5/23/08	SEK		19,569,025		3,161,721		76,104
5/23/08	SEK		20,162,026		3,257,531		77,720
5/23/08	SGD		6,241,267		4,489,447		47,580
5/23/08	SGD		6,430,396		4,625,491		55,849
5/23/08	SGD		6,241,267		4,489,447		48,930
				$	120,423,597	$	3,672,962
Sales
5/23/08	AUD		15,649,684	$	14,422,175	$	(179,867	)
5/23/08	AUD		15,189,399		13,997,993		(168,197	)
5/23/08	AUD		15,189,399		13,997,993		(182,779	)
5/23/08	CAD		2,479,000		2,514,639		(71,810	)
5/23/08	DKK		5,215,600		1,059,564		(32,022	)
5/23/08	GBP		5,645,030		11,151,588		(198,987	)
5/23/08	GBP		5,478,999		10,823,598		(197,206	)
5/23/08	GBP		5,478,999		10,823,598		(203,600	)

See accompanying notes to the financial statements.

25

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
5/23/08	HKD		19,756,479	$	2,542,589	$	(5,023	)
5/23/08	HKD		19,756,479		2,542,589		(4,957	)
5/23/08	HKD		20,355,160		2,619,638		(5,175	)
5/23/08	JPY		230,619,000		2,230,277		(74,254	)
5/23/08	JPY		232,047,000		2,244,087		(69,897	)
5/23/08	NOK		5,879,410		1,120,386		(27,133	)
5/23/08	NOK		5,879,410		1,120,386		(26,908	)
5/23/08	NZD		2,761,000		2,178,590		(49,321	)
5/23/08	NZD		2,761,000		2,178,590		(49,169	)
5/23/08	NZD		2,761,000		2,178,590		(48,782	)
				$	99,746,870	$	(1,595,087	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	163	CAC 40	March 2008	$	11,871,819	$	(28,807	)
	97	DAX	March 2008		24,844,696		(3,491,760	)
	96	MSCI Singapore	March 2008		5,127,249		(145,180	)
				$	41,843,764	$	(3,665,747	)
Sales
	14	IBEX 35	March 2008	$	2,806,604	$	4,391
	467	OMXS 30	March 2008		7,331,312		(68,714	)
	38	S&P Toronto 60	March 2008		6,147,178		(25,310	)
	47	SPI 200	March 2008		6,090,194		679,279
	43	TOPIX	March 2008		5,465,540		733,921
				$	27,840,828	$	1,323,567

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

26

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

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

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

(a)  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).

(c)  As of February 29, 2008, these rights have been exercised but shares have not yet been credited to the Fund.

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

As of February 29, 2008, 84.69% of the Net Assets of the Fund were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

27

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value, including securities on loan of $15,302,858 (cost $673,902,039) (Note 2)	$	684,854,445
Cash		77,167
Foreign currency, at value (cost $3,599,802) (Note 2)		3,615,848
Receivable for investments sold		25,486
Dividends and interest receivable		964,212
Foreign taxes receivable		28,687
Unrealized appreciation on open forward currency contracts (Note 2)		3,672,962
Receivable for collateral on open futures contracts (Note 2)		6,050,000
Receivable for expenses reimbursed by Manager (Note 3)		95,265
Total assets		699,384,072
Liabilities:
Collateral on securities loaned, at value (Note 2)		16,390,450
Payable for investments purchased		760,033
Payable to affiliate for (Note 3):
Management fee		315,048
Shareholder service fee		78,762
Trustees and Chief Compliance Officer of GMO Trust fees		752
Unrealized depreciation on open forward currency contracts (Note 2)		1,595,087
Payable for variation margin on open futures contracts (Note 2)		318,745
Accrued expenses		389,577
Total liabilities		19,848,454
Net assets	$	679,535,618
Net assets consist of:
Paid-in capital	$	647,931,174
Distributions in excess of net investment income		(5,790,555	)
Accumulated net realized gain		26,661,560
Net unrealized appreciation		10,733,439
	$	679,535,618
Net assets attributable to:
Class III shares	$	679,535,618
Shares outstanding:
Class III		73,138,116
Net asset value per share:
Class III	$	9.29

See accompanying notes to the financial statements.

28

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends (net of withholding taxes of $1,787,122)	$	19,628,449
Interest		1,280,953
Securities lending income		729,275
Total investment income		21,638,677
Expenses:
Management fee (Note 3)		4,738,960
Shareholder service fee – Class III (Note 3)		1,184,740
Custodian and fund accounting agent fees		887,032
Transfer agent fees		27,515
Audit and tax fees		108,076
Legal fees		17,193
Trustees fees and related expenses (Note 3)		8,713
Registration fees		2,116
Miscellaneous		11,908
Total expenses		6,986,253
Fees and expenses reimbursed by Manager (Note 3)		(1,008,265	)
Expense reductions (Note 2)		(9,278	)
Net expenses		5,968,710
Net investment income (loss)		15,669,967
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		169,380,065
Closed futures contracts		1,769,614
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $1,680) (Note2)		5,519,310
Net realized gain (loss)		176,668,989
Change in net unrealized appreciation (depreciation) on:
Investments		(202,610,973	)
Open futures contracts		(1,848,055	)
Foreign currency, forward contracts and foreign currency related transactions		1,498,844
Net unrealized gain (loss)		(202,960,184	)
Net realized and unrealized gain (loss)		(26,291,195	)
Net increase (decrease) in net assets resulting from operations	$	(10,621,228	)

See accompanying notes to the financial statements.

29

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,669,967		$	16,269,949
Net realized gain (loss)		176,668,989			216,853,382
Change in net unrealized appreciation (depreciation)		(202,960,184	)		(45,812,700	)
Net increase (decrease) in net assets from operations		(10,621,228	)		187,310,631
Distributions to shareholders from:
Net investment income
Class III		(31,841,900	)		(19,881,021	)
Net realized gains
Class III		(142,937,240	)		(326,272,225	)
		(174,779,140	)		(346,153,246	)
Net share transactions (Note 7):
Class III		5,871,549			26,733,728
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		2,593,773			1,977,585
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		8,465,322			28,711,313
Total increase (decrease) in net assets		(176,935,046	)		(130,131,302	)
Net assets:
Beginning of period		856,470,664			986,601,966
End of period (including distributions in excess of net investment income of $5,790,555 and $11,878,059, respectively)	$	679,535,618		$	856,470,664

See accompanying notes to the financial statements.

30

GMO International Small Companies Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	12.22		$	14.93		$	17.84		$	17.09		$	9.50
Income (loss) from investment operations:
Net investment income (loss)		0.24	†		0.25	†		0.34	†		0.30	†		0.20
Net realized and unrealized gain (loss)		(0.34	)		2.68			3.44			3.56			7.94
Total from investment operations		(0.10	)		2.93			3.78			3.86			8.14
Less distributions to shareholders:
From net investment income		(0.51	)		(0.33	)		(0.44	)		(0.54	)		(0.20	)
From net realized gains		(2.32	)		(5.31	)		(6.25	)		(2.57	)		(0.35	)
Total distributions		(2.83	)		(5.64	)		(6.69	)		(3.11	)		(0.55	)
Net asset value, end of period	$	9.29		$	12.22		$	14.93		$	17.84		$	17.09
Total Return(a)		(2.04	)%		23.35	%		25.77	%		24.45	%		86.62	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	679,536		$	856,471		$	986,602		$	1,517,223		$	1,592,464
Net expenses to average daily net assets		0.76	%(b)		0.75	%		0.75	%		0.75	%		0.75	%
Net investment income to average daily net assets		1.98	%		1.79	%		2.01	%		1.75	%		1.60	%
Portfolio turnover rate		72	%		48	%		49	%		53	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.13	%		0.09	%		0.11	%		0.11	%		0.13	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.04		$	0.03		$	0.07		$	0.08		$	0.04

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

31

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO International Small Companies 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming the S&P/Citigroup Extended Market Index World ex-U.S. Index, the Fund's benchmark. The Fund typically makes equity investments in non-U.S. companies, including non-U.S. companies in developed and emerging countries, but excluding the largest 500 non-U.S. companies in developed countries based on full, non-float adjusted market capitalization and any company in an emerging country with a full, non-float adjusted market capitalization that is greater than or equal to that of any of the 500 excluded developed country companies. The Fund may make investments in emerging countries, but these investments generally will represent 10% or less of the Fund's total assets.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security

32

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

33

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

34

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

35

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 29, 2008, the Fund had loaned securities valued by the Fund at $15,302,858, collateralized by cash in the amount of $16,390,450, which was invested in the Bank of New York Mellon Institutional Cash Reserves Fund.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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.

The Fund is subject to a Contribuição Provisória sobre Movimentações Financiera ("CPMF") tax which is applied to foreign exchange transactions representing capital inflows or outflows to/from the Brazilian market. The CPMF tax has been included in the net realized gain (loss) on investments throughout the period. For the year ended February 29, 2008, the Fund incurred $1,680 in CPMF tax which is included in net realized gain (loss) on foreign currency, forward contracts and foreign currency related transactions in the Statement of Operations.

36

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions and passive foreign investment company transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	22,259,437	$	(22,225,853	)	$	(33,584	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	74,973,732	$	84,039,934
Long-term capital gains		99,805,408		262,113,312
Total distributions	$	174,779,140	$	346,153,246

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	527,074
Undistributed long-term capital gain	$	26,979,416

37

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	678,498,266	$	91,061,785	$	(84,705,606	)	$	6,356,179

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash 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

38

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

39

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30,2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the1940 Act, but for the exceptions to the definition of investment company provided in Section3(c)(1) and3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.60% of the 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 29, 2008 was $7,517 and $3,087, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $552,079,971 and $685,474,142, 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.

40

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 42.98% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.14% of the Fund's shares were held by eleven related parties comprised of certain GMO employee accounts, and 2.20% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		14,345,120		$	167,353,499			533,510		$	7,500,711
Shares issued to shareholders in reinvestment of distributions		16,860,674			173,069,697			26,807,328			341,714,636
Shares repurchased		(28,165,322	)		(334,551,647	)		(23,316,825	)		(322,481,619	)
Purchase premiums		—			803,005			—			26,637
Redemption fees		—			1,790,768			—			1,950,948
Net increase (decrease)		3,040,472		$	8,465,322			4,024,013		$	28,711,313

8.  Subsequent event

The Fund's benchmark will change to the MSCI EAFE Small Cap Index on June 1, 2008.

41

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Small Companies 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 Small Companies Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

42

GMO International Small Companies Fund
(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.76	%	$	1,000.00	$	921.60	$	3.63
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.08	$	3.82

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

43

GMO International Small Companies Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $99,805,408 from long-term capital gains.

During the year ended February 29, 2008, the Fund paid foreign taxes of $1,785,894 and recognized foreign source income of $21,415,571.

For taxable, non-corporate shareholders, 13.96% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $1,300,420 and $43,733,939, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

44

GMO International Small Companies Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 0.42% of distributions to shareholders declared from net realized gains during the Fund's fiscal year were reclassified to distributions from net investment income and are reflected as such in the Statement of Changes in Net Assets.

45

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

46

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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, MA02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August2005 – April2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/o GMO Trust 40 Rowes Wharf Boston, MA02110 DOB:03/28/1933	Trustee	SinceMarch2005.	Director or trustee of various corporations and charitable organizations, including Courier Corporation (a book publisher and manufacturer) (July 1989 – present); Putnam Funds (December1992 – June 2004); and Providence Journal (anewspaper publisher) (December 1986 – December 2003).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

47

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, VanOtterloo& Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, VanOtterloo& Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004– present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001– 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

48

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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 – June2004), Fidelity Investments; Vice President and Senior Counsel, State Street Bank and Trust Company (May 1998 – March 2002).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President andClerk	Vice President since November 2006; Clerksince March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (sinceFebruary 2006) and Attorney, Ropes & Gray LLP (September 2002 – February2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (sinceJanuary 2007); Attorney, Goodwin Procter LLP (September 2003 – January2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

49

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Alternative Asset Opportunity Fund returned +16.0% for the fiscal year ended February 29, 2008, as compared with +18.2% for the Alternative Asset Opportunity Index (50% Dow Jones-AIG Commodity Index/50% JPMorgan 3 Month Cash Index). The Fund underperformed its benchmark by 2.2% during the fiscal year.

Most commodity prices rose broadly during the fiscal year. Grain commodity prices were the biggest gainers of the fiscal year, gaining 8% to 106%. With the exception of natural gas contract prices, which fell 18%, energy contract prices rose by 50% to 60%. Metal and soft commodity prices also rose by 18% to 38% during the period. Conversely, lean hog and live cattle contract prices fell by 46% and 13%, respectively, during the fiscal year.

While correctly positioning the prices of lean hog, cocoa, gold, and soy oil contracts added value during the fiscal year, the Fund's exposure to cash management offset gains. Most of the Fund's underperformance stemmed from mark-to-market losses in the GMO Short Duration Collateral Fund (SDCF), the cash collateral pool in which the Fund invests a substantial portion of its total assets. SDCF primarily invests in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, seeking to earn a LIBOR-type return. The SDCF investment collateralizes the commodities positions, which are achieved in the futures markets.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

*  The GMO Alternative Asset Opportunity Index is a composite benchmark computed by GMO and comprised of 50% JPMorgan U.S. 3 Month Cash Index and 50% AIG Commodity-Dow Jones Index.

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)
Consolidated Investments Concentration Summary ^(a)
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		78.2	%
Short-Term Investments		16.6
Swaps		4.8
Futures		0.4
Forward Currency Contracts		(0.0	)
		100.0	%

(a)  GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.

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

1

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 14.7%
		U.S. Government — 14.7%
	5,000,000	U.S. Treasury Note, 4.63%, due 03/31/08 (a) (b)		5,009,375
		TOTAL DEBT OBLIGATIONS (COST $5,000,538)		5,009,375
		MUTUAL FUNDS — 69.7%
		Affiliated Issuers — 69.7%
	985,714	GMO Short-Duration Collateral Fund		23,686,705
		TOTAL MUTUAL FUNDS (COST $24,691,838)		23,686,705
		SHORT-TERM INVESTMENTS —10.4%
		Money Market Funds — 0.3%
	110,203	SSgA Cash Management Fund Plc (b)		110,203
		TOTAL MONEY MARKET FUNDS (COST $110,203)		110,203
		Other Short-Term Investments — 10.1%
	1,000,000	Federal Farm Credit Bank Discount Note, 2.50%, due 03/28/08 (b)		998,125
	600,000	Federal Home Loan Bank Discount Note, 2.50%, due 03/25/08 (b)		599,000
	200,000	Federal Home Loan Bank Discount Note, 2.78%, due 03/17/08 (b)		199,753
	902,000	Federal Home Loan Mortgage Corp. Discount Note, 2.66%, due 03/04/08 (b)		901,800
	710,000	Federal Home Loan Mortgage Corp. Discount Note, 2.70%, due 03/05/08 (b)		709,787
		TOTAL OTHER SHORT TERM INVESTMENTS (COST $3,408,465)		3,408,465
		TOTAL SHORT-TERM INVESTMENTS (COST $3,518,668)		3,518,668
		TOTAL INVESTMENTS — 94.8% (Cost $33,211,044)		32,214,748
		Other Assets and Liabilities (net) — 5.2%		1,757,242
		TOTAL NET ASSETS — 100.0%	$	33,971,990

See accompanying notes to the financial statements.

2

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts ^(b)

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	25	Cocoa	May 2008	$	694,250	$	76,883
	7	Coffee "C"	May 2008		437,850		35,667
	3	Copper	May 2008		289,125		8,775
	13	Corn	May 2008		361,725		18,974
	7	Crude Oil	May 2008		709,940		25,799
	4	Gasoline RBOB	April 2008		448,543		(7,444	)
	4	Gold 100 OZ	April 2008		390,000		16,298
	4	Heating Oil	April 2008		471,559		16,702
	8	Silver	May 2008		796,600		(20	)
	5	Soybean Meal	May 2008		191,100		8,285
	32	Sugar (World)	May 2008		523,981		18,138
	1	Wheat	May 2008		54,300		2,410
				$	5,368,973	$	220,467
Sales
	5	Cotton No. 2	May 2008	$	204,650	$	(25,547	)
	16	Lean Hogs	April 2008		383,680		22,564
	44	Live Cattle	April 2008		1,660,120		3,095
	4	Natural Gas	April 2008		374,640		(15,124	)
	4	Soybean	May 2008		307,300		(19,762	)
	11	Soybean Oil	May 2008		454,212		(38,468	)
				$	3,384,602	$	(73,242	)

See accompanying notes to the financial statements.

3

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements ^(b)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay			Receive		Market Value
	16,989,877	USD	4/14/2008	Barclay's Capital	3 month T-Bill			Return on DJ-AIG
						+ 0.19	%	Commodity Total
								Return Index		$	1,682,326
					Premiums to (Pay) Receive			$	—	$	1,682,326

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Consolidated Schedule of Investments:

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

(b)  All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.

Currency Abbreviations:

USD - United States Dollar

See accompanying notes to the financial statements.

4

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)


Consolidating Statement of Assets and Liabilities — February 29, 2008

	GMO Alternative Asset Opportunity Fund		GMO Alternative Asset SPC Ltd.		Eliminations			Consolidated Totals
Assets:
Investments in unaffiliated issuers, at value (consolidated cost $8,519,206) (Note 2)	$	—	$	8,528,043	$	—		$	8,528,043
Investments in affiliated issuers, at value (consolidated cost $24,691,838) (Note 2)		33,959,297		—		(10,272,592	)		23,686,705
Cash		104,456		—		—			104,456
Interest receivable		37		98,467		—			98,504
Receivable for open swap contracts (Note 2)		—		1,682,326		—			1,682,326
Receivable for expenses reimbursed by Manager (Note 3)		13,253		17,081		—			30,334
Total assets		34,077,043		10,325,917		(10,272,592	)		34,130,368
Liabilities:
Payable for variation margin on open futures contracts (Note 2)		—		12,351		—			12,351
Payable to affiliate for (Note 3):
Management fee		11,577		—		—			11,577
Shareholder service fee		3,859		—		—			3,859
Trustees and Chief Compliance Officer of GMO Trust fees		29		—		—			29
Accrued expenses		89,588		40,974		—			130,562
Total liabilities		105,053		53,325		—			158,378
Net assets	$	33,971,990	$	10,272,592	$	(10,272,592	)	$	33,971,990
Shareholders' capital	$	33,971,990						$	33,971,990
Shares outstanding		1,026,006							1,026,006
Net asset value per share	$	33.11						$	33.11

See accompanying notes to the financial statements.

5

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)


Consolidating Statement of Operations — For the Year Ended Ended February 29, 2008

	GMO Alternative Asset Opportunity Fund			GMO Alternative Asset SPC Ltd.			Eliminations			Consolidated Totals
Investment Income:
Dividend from affiliated issuers (Note 8)	$	5,256,485		$	—		$	(3,700,000	)	$	1,556,485
Interest		3,590			1,422,086			—			1,425,676
Dividends		—			15,709			—			15,709
Total income		5,260,075			1,437,795			(3,700,000	)		2,997,870
Expenses:
Management fee (Note 3)		447,286			—			—			447,286
Shareholder service fee (Note 3)		149,096			—			—			149,096
Custodian and transfer agent fees		12,858			72,086			—			84,944
Audit and tax fees		74,508			11,362			—			85,870
Legal fees		10,480			2,760			—			13,240
Trustees fees and related expenses (Note 3)		1,122			12,382			—			13,504
Miscellaneous		1,420			9,281			—			10,701
Total expenses		696,770			107,871			—			804,641
Fees and expenses reimbursed by Manager (Note 3)		(98,962	)		(107,871	)		—			(206,833	)
Net expenses		597,808			—			—			597,808
Net investment income		4,662,267			1,437,795			(3,700,000	)		2,400,062
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			3,890			—			3,890
Investments in affiliated issuers		(2,615,869	)		—			3,638,626			1,022,757
Closed futures contracts		—			(1,627,150	)		—			(1,627,150	)
Closed swap contracts		—			2,808,283			—			2,808,283
Net realized gain (loss)		(2,615,869	)		1,185,023			3,638,626			2,207,780
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			32,579			—			32,579
Investments in affiliated issuers		(493,081	)		—			(804,457	)		(1,297,538	)
Open futures contracts		—			212,734			—			212,734
Open swap contracts		—			(2,002,300	)		—			(2,002,300	)
Net unrealized gain (loss)		(493,081	)		(1,756,987	)		(804,457	)		(3,054,525	)
Net realized and unrealized gain (loss)		(3,108,950	)		(571,964	)		2,834,169			(846,745	)
Net increase (decrease) in net assets resulting from operations	$	1,553,317		$	865,831		$	(865,831	)	$	1,553,317

See accompanying notes to the financial statements.

6

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)


Consolidated Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,400,062		$	8,673,307
Net realized gain (loss)		2,207,780			64,042
Change in net unrealized appreciation (depreciation)		(3,054,525	)		3,787,171
Net increase (decrease) in net assets from operations		1,553,317			12,524,520
Fund share transactions: (Note 7)
Proceeds from sale of shares		3,431,990			4,000,000
Cost of shares repurchased		(145,526,957	)		(23,957,500	)
Net increase (decrease) in Fund share transactions		(142,094,967	)		(19,957,500	)
Total increase (decrease) in net assets		(140,541,650	)		(7,432,980	)
Net assets:
Beginning of period		174,513,640			181,946,620
End of period	$	33,971,990		$	174,513,640

See accompanying notes to the financial statements.

7

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	28.54		$	26.63		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.69			1.28			0.73
Net realized and unrealized gain (loss)		3.88	(c)		0.63			0.90
Total from investment operations		4.57			1.91			1.63
Net asset value, end of period	$	33.11		$	28.54		$	26.63
Total Return(d)		16.01	%		7.17	%		6.52	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	33,972		$	174,514		$	181,947
Net expenses to average daily net assets(e)		0.60	%		0.60	%		0.61	%*
Net investment income to average daily net assets(b)		2.41	%		4.60	%		3.12	%*
Portfolio turnover rate		24	%		12	%		13	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.21	%		0.12	%		0.15	%*

(a)  Period from April 11, 2005 (commencement of operations) to February 28, 2006.

(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

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

(d)  Total returns would have been lower had certain expenses not been reimbursed during the periods shown.

(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

8

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements
February 29, 2008

1.  Organization

GMO Alternative Asset Opportunity 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 Funds into classes.

The Fund seeks total return greater than that of its benchmark. The Fund's benchmark is a composite of the Dow Jones-AIG Commodity Index (50%) and the JPMorgan 3 Month Cash Index (50%). The Fund seeks indirect exposure to investment returns of commodities and, from time to time, other alternative asset classes. The Fund's investment program has two primary components. One component is intended to gain indirect exposure to the commodity markets through the Fund's investments in a wholly owned subsidiary company, which, in turn, invests in various commodity-related derivatives. The second component of the fund's investment program consists of direct and indirect investments in high quality U.S. and foreign fixed income securities. Normally, the Fund gains exposure to fixed income securities indirectly by investing in GMO Short-Duration Collateral Fund.

Shares of the Fund are not publicly offered and are principally available only to other funds of the Trust and certain accredited investors.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Basis of presentation and principles of consolidation

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

9

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 22.35% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

Futures contracts

The Fund may purchase and sell futures contracts. 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

10

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Consolidating 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. Futures contracts outstanding at the end of the period are listed in the Fund's Consolidated Schedule of Investments.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using models that incorporate quotations from market makers and the change in value, if any, is recorded as unrealized gain or loss in the Consolidating Statement of Operations. Payments received or made on swap contracts are recorded as realized gain or loss in the Consolidating Statement of Operations. Gains or losses are realized upon early termination of the swap agreements. 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

11

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

involves, to varying degrees, elements of credit, legal, market and documentation risk in excess of the amounts recognized in the Consolidating 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Consolidated Schedule of Investments.

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. There were no repurchase agreements outstanding at the end of the period.

Taxes

The Fund elected to be taxed 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 and state income taxes is reflected in the accompanying financial statements.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	34,541,784	$	—	$	(2,327,036	)	$	(2,327,036	)

Distributions

The Fund does not intend to make any distributions to its shareholders but may do so in the sole discretion of the Trustees.

12

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Consolidating Statement of Operations.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions. Because of the Fund's indirect exposure to the global commodity markets, the value of its shares is affected by factors particular to the commodity markets and may fluctuate more than the value of shares of a fund with a broader range of investments.

13

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.45% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15%.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.45% of the Fund's average daily net assets.

14

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

The Fund incurs fees and expenses indirectly as a shareholder in the GMO Short-Duration Collateral Fund. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

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

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $846 and $301, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Consolidating Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

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

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	5,003,906	$	15,000,000
Investments (non-U.S. Government securities)		12,156,485		112,800,000

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.

15

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 83.43% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. 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 29, 2008, there were no shares held by related parties, and all of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
	Shares			Amount			Shares			Amount
Shares sold		117,663		$	3,431,990			142,196		$	4,000,000
Shares repurchased		(5,206,092	)		(145,526,957	)		(860,208	)		(23,957,500	)
Net increase (decrease)		(5,088,429	)	$	(142,094,967	)		(718,012	)	$	(19,957,500	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of the affiliated issuer during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	124,605,003	$	12,156,485	$	112,800,000	$	1,556,485	$	—	$	23,686,705
Totals	$	124,605,003	$	12,156,485	$	112,800,000	$	1,556,485	$	—	$	23,686,705

16

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Alternative Asset Opportunity Fund

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of GMO Alternative Asset Opportunity Fund (the "Fund") and subsidiary at February 29, 2008, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

17

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
1) Actual		0.60	%	$	1,000.00	$	1,181.20	$	3.25
2) Hypothetical		0.60	%	$	1,000.00	$	1,021.88	$	3.02

*  Expenses are calculated using the Fund's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

18

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

19

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

20

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

21

Principal Officers: — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

22

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Core Plus Bond Fund returned -2.6% for the fiscal year ended February 29, 2008, compared with the +7.3% return for the Lehman Brothers U.S. Aggregate Index. The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, primarily in the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 9.9%. Cash management was the primary contributor to negative performance for the fiscal year, followed by interest-rate strategy, currency selection, and emerging debt exposure losses.

More than 60% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the Fund invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, seeking to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 basis points, directly contributing to the Core Plus Bond Fund's underperformance given the Fund's 89% exposure to these two funds.

Further Fund underperformance was attributable to interest-rate and currency strategies. For much of the fiscal year, the Fund was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight. In addition, a drastic change in the relative volatilities of the currencies in August resulted in a shifting of risk positions into less advantageous, and ultimately unprofitable, intra-European trades.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class IV will vary due to different fees.

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		92.0	%
Short-Term Investments		8.3
Options Purchased		0.3
Forward Currency Contracts		0.3
Loan Participations		0.2
Preferred Stocks		0.1
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Futures		0.0
Written Options		(0.1	)
Reverse Repurchase Agreements		(0.7	)
Swaps		(1.2	)
Other		0.7
		100.0	%
Country / Region Summary**	% of Investments
United States		82.2	%
Japan		7.2
Australia		5.7
Canada		3.5
Euro Region***		2.9
Emerging		2.8
Switzerland		2.6
United Kingdom		(6.9	)
		100.0	%

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

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 7.5%
		Albania — 0.6%
		Foreign Government Obligations
USD	15,681,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		6,414,881
		Canada — 0.3%
		Foreign Government Obligations
CAD	4,000,000	Government of Canada (Cayman), 7.25%, due 06/01/08		4,098,511
		United States — 6.6%
		Corporate Debt — 2.3%
USD	5,000,000	Eastman Chemical Co., 7.25%, due 01/15/24		5,307,000
USD	10,000,000	General Electric Capital Corp. MTN, 5.88%, due 02/15/12		10,586,900
USD	5,000,000	Target Corp, 4.00%, due 06/15/13		4,891,000
USD	5,000,000	Verizon Global Funding Corp, 4.38%, due 06/01/13		5,012,700
				25,797,600
		U.S. Government — 4.3%
USD	10,000,000	U.S. Treasury Note, 3.25%, due 08/15/08 (c)		10,062,500
USD	12,000,000	U.S. Treasury Note, 3.13%, due 10/15/08 (c)		12,101,250
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/10 (b)		9,659,007
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/12 (b)		8,968,102
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 08/15/12 (b)		8,797,380
				49,588,239
		Total United States		75,385,839
		TOTAL DEBT OBLIGATIONS (COST $79,591,731)		85,899,231
		PREFERRED STOCKS — 0.1%
		United States — 0.1%
	10,000	Home Ownership Funding 2 Preferred 144A, 13.34%		1,544,497
		TOTAL PREFERRED STOCKS (COST $2,138,851)		1,544,497

See accompanying notes to the financial statements.

2

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 91.9%
		United States — 91.9%
		Affiliated Issuers
	3,732,555	GMO Emerging Country Debt Fund, Class IV		37,549,507
	32,466,982	GMO Short-Duration Collateral Fund		780,181,577
	93,858	GMO Special Purpose Holding Fund (b) (d)		118,261
	9,059,836	GMO World Opportunity Overlay Fund		232,656,595
		Total United States		1,050,505,940
		TOTAL MUTUAL FUNDS (COST $1,109,974,134)		1,050,505,940
		SHORT-TERM INVESTMENTS — 0.9%
	3,500,000	U.S. Treasury Bill, 1.78%, due 05/01/08 (c) (e)		3,489,504
	4,500,000	U.S. Treasury Bill, 1.78%, due 06/19/08 (c) (e)		4,475,898
		Money Market Funds — 0.2%
	1,713,958	State Street Institutional Liquid Reserves Fund-Institutional Class		1,713,958
		TOTAL SHORT-TERM INVESTMENTS (COST $9,652,102)		9,679,360
		TOTAL INVESTMENTS — 100.4% (Cost $1,201,356,818)		1,147,629,028
		Other Assets and Liabilities (net) — (0.4%)		(4,330,847	)
		TOTAL NET ASSETS — 100.0%	$	1,143,298,181

See accompanying notes to the financial statements.

3

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/04/08	AUD		24,500,000	$	22,822,975	$	1,159,094
3/04/08	AUD		14,200,000		13,228,010		58,149
5/06/08	AUD		15,300,000		14,138,098		(243,902	)
5/06/08	AUD		14,800,000		13,676,068		(66,028	)
3/11/08	CAD		16,400,000		16,660,031		536,073
4/01/08	CHF		97,600,000		93,730,832		3,906,895
4/15/08	EUR		46,500,000		70,501,453		3,308,953
3/03/08	GBP		4,800,000		9,537,840		9,360
3/25/08	GBP		7,700,000		15,279,264		344,645
3/25/08	GBP		9,800,000		19,446,336		18,816
3/25/08	GBP		7,500,000		14,882,400		2,700
4/22/08	JPY		120,000,000		1,158,464		40,792
4/08/08	NZD		10,100,000		8,032,563		179,813
4/08/08	NZD		13,800,000		10,975,185		(158,103	)
4/08/08	NZD		16,200,000		12,883,913		(228,043	)
						$	8,869,214
Sales
3/04/08	AUD		23,400,000	$	21,798,270	$	(1,382,238	)
3/04/08	AUD		15,300,000		14,252,715		246,177
3/11/08	CAD		40,100,000		40,735,808		(75,806	)
4/01/08	CHF		77,500,000		74,427,659		(2,409,893	)
4/15/08	EUR		15,700,000		23,803,716		(259,720	)
3/25/08	GBP		21,800,000		43,258,176		(403,736	)
4/22/08	JPY		1,460,000,000		14,094,649		(523,353	)
4/08/08	NZD		7,300,000		5,805,714		(78,937	)
						$	(4,887,506	)

See accompanying notes to the financial statements.

4

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
3/18/08	EUR	34,100,000	SEK	320,527,290	$	205,177
3/18/08	SEK	200,745,390	EUR	21,300,000		(214,605	)
4/29/08	EUR	34,300,000	NOK	270,524,100		(314,812	)
4/29/08	NOK	92,307,150	EUR	11,700,000		101,799
					$	(222,441	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	139	Australian Government Bond 10 Yr.	March 2008	$	12,719,919	$	10,872
	529	Australian Government Bond 3 Yr.	March 2008		48,446,800		98,786
	450	Canadian Government Bond 10 Yr.	June 2008		53,903,987		1,086,445
	104	Euro BOBL	March 2008		17,579,995		107,309
	236	Euro Bund	March 2008		41,940,655		233,270
	76	Japanese Government Bond 10 Yr. (TSE)	March 2008		101,296,756		967,196
	142	U.S. Long Bond (CBT)	June 2008		16,844,750		381,302
	67	U.S. Treasury Note 5 Yr. (CBT)	June 2008		7,654,750		102,966
				$	300,387,612	$	2,988,146
Sales
	20	Euro BOBL	March 2008	$	380,768	$	(15,517	)
	60	Euro Bund	March 2008		41,940,655		(90,274	)
	32	U.S. Treasury Note 10 Yr.	June 2008		3,753,000		(1,572	)
	324	U.S. Treasury Note 2 Yr. (CBT)	June 2008		69,634,688		(330,676	)
	618	UK Gilt Long Bond	June 2008		135,460,338		(2,315,604	)
				$	251,169,449	$	(2,753,643	)

See accompanying notes to the financial statements.

5

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	10,000,000	USD	12/20/2008	Lehman Brothers	Receive		0.27	%	Federal Home Loan
									Bank System	$	(10,538	)
	350,000,000	USD	12/20/2008	JP Morgan Chase Bank	(Pay)		0.15	%	Reference security within CDX Index		4,339,649
	5,000,000	USD	12/20/2009	Deutsche Bank AG	Receive		0.25	%	AT&T Wireless Services, Inc.		266
	5,000,000	USD	12/20/2009	Barclays Bank PLC	Receive		0.30	%	Boeing Capital Corp.		662
	5,000,000	USD	12/20/2009	Deutsche Bank AG	Receive		0.66	%	Daimler AG		5,304
	5,000,000	USD	12/20/2009	Barclays Bank PLC	Receive		0.39	%	SBC Communications, Inc.		(4,692	)
	5,000,000	USD	12/20/2009	Deutsche Bank AG	Receive		0.35	%	The Kroger Co.		(13,451	)
	5,000,000	USD	12/20/2009	Barclays Bank PLC	Receive		0.38	%	Weyerhaeuser Co.		(99,329	)
	5,000,000	USD	6/20/2010	Barclays Bank PLC	Receive		0.29	%	Merrill Lynch & Co., Inc.		(196,195	)
	5,000,000	USD	6/20/2010	Lehman Brothers	Receive		0.40	%	PSEG Power LLC		(60,559	)
	5,000,000	USD	6/20/2010	Lehman Brothers	Receive		0.20	%	Royal Bank of Scotland PLC		(80,253	)
	5,000,000	USD	6/20/2010	UBS AG	Receive		0.52	%	TXU Electric Delivery Co.		21,301
	5,000,000	USD	6/20/2010	Barclays Bank PLC	Receive		0.17	%	Wachovia Corp.		(141,374	)
	5,000,000	USD	12/20/2010	Barclays Bank PLC	Receive		0.20	%	Bank of America Corp.		(104,570	)
	5,000,000	USD	12/20/2010	Barclays Bank PLC	Receive		0.19	%	Citigroup, Inc.		(177,023	)
	5,000,000	USD	12/20/2010	Deutsche Bank AG	Receive		0.75	%	Enterprise Products Partners LP		(8,466	)
	5,000,000	USD	12/20/2010	Citigroup	Receive		0.39	%	Exelon Generation Co. LLC		(96,783	)
	5,000,000	USD	12/20/2010	Barclays Bank PLC	Receive		0.45	%	First Energy Corp.		(48,795	)
	5,000,000	USD	12/20/2010	Barclays Bank PLC	Receive		0.28	%	JP Morgan Chase Bank		(104,703	)
	5,000,000	USD	12/20/2010	UBS AG	Receive		0.47	%	Progress Energy, Inc.		7,807
	5,000,000	USD	3/20/2011	Barclays Bank PLC	Receive		0.25	%	Bell South		(17,484	)
	2,000,000	USD	6/20/2011	UBS AG	Receive		0.32	%	Boston Properties Limited Partnership		(81,994	)
	3,000,000	USD	6/20/2011	Bank of America, N.A.	Receive		0.14	%	Credit Suisse First Boston (USA), Inc.		(56,112	)
	5,000,000	USD	6/20/2011	Citigroup	Receive		0.37	%	Deutsche Telekom International Finance B.V.		(94,089	)

See accompanying notes to the financial statements.

6

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default		Market Value
	2,000,000	USD	6/20/2011	UBS AG	Receive		0.26	%	ERP Operating LP		$	(141,900	)
	4,000,000	USD	6/20/2011	Barclays Bank PLC	Receive		0.20	%	Morgan Stanley			(215,608	)
	2,000,000	USD	6/20/2011	Barclays Bank PLC	Receive		0.30	%	Prologis			(153,357	)
	5,000,000	USD	6/20/2011	Citigroup	Receive		0.49	%	Telecom Italia SpA			(133,756	)
	3,000,000	USD	6/20/2011	Barclays Bank PLC	Receive		0.08	%	US Bancorp			(51,142	)
	2,000,000	USD	12/20/2011	Barclays Bank PLC	Receive		0.04	%	UBS			(85,295	)
	2,000,000	USD	12/20/2011	Barclays Bank PLC	Receive		0.11	%	Wachovia			(102,012	)
	5,000,000	USD	3/20/2013	Barclays Bank PLC	Receive		0.25	%	Goldman Sachs Group, Inc.			(260,505	)
	2,000,000	USD	12/20/2013	UBS AG	Receive		0.34	%	CIT			(418,765	)
	3,000,000	USD	12/20/2013	Lehman Brothers	Receive		0.25	%	Mid America Energy			(68,616	)
	2,000,000	USD	12/20/2013	Barclays Bank PLC	Receive		0.25	%	SLM Corp.			(384,174	)
	9,920,000	USD	3/20/2015	JP Morgan Chase Bank	Receive		0.70	%	Reference security within CDX Index			61,897
	25,000,000	USD	6/20/2015	JP Morgan Chase Bank	Receive		0.65	%	Reference security within CDX Index			(1,695,365	)
	5,000,000	USD	6/20/2015	Lehman Brothers	Receive		0.65	%	Reference security within CDX Index			(339,073	)
	1,000,000	USD	12/20/2016	UBS AG	Receive		0.15	%	Bank of America Corp.			(53,596	)
	1,000,000	USD	12/20/2016	UBS AG	Receive		0.12	%	Citigroup Inc.			(90,650	)
	1,000,000	USD	12/20/2016	Bank of America, N.A.	Receive		0.17	%	General Electric Capital Corp.			(73,779	)
	1,000,000	USD	12/20/2016	Bank of America, N.A.	Receive		0.22	%	JP Morgan Chase Bank			(50,008	)
	1,000,000	USD	12/20/2016	Barclays Bank PLC	Receive		0.33	%	Pacific Gas			(47,521	)
	73,000,000	USD	12/20/2016	JP Morgan Chase Bank	Receive		0.65	%	Reference security within CDX Index			(5,051,016	)
	2,000,000	USD	12/20/2016	JP Morgan Chase Bank	Receive		0.65	%	Reference security within CDX Index			(138,384	)
	10,000,000	USD	12/20/2016	Lehman Brothers	Receive		0.65	%	Reference security within CDX Index			(691,920	)
	1,000,000	USD	12/20/2016	Bank of America, N.A.	Receive		0.33	%	Well Point			(75,369	)
	5,000,000	USD	1/20/2024	Goldman Sachs	(Pay)		1.11	%	Eastman Chemical Co.			1,604
						Premiums to (Pay) Receive			$	—	$	(7,279,731	)

See accompanying notes to the financial statements.

7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	10,100,000	USD	2/15/2010	JP Morgan
				Chase Bank	(Pay)		0.00	%	3 month LIBOR		$	(2,123,399	)
	10,100,000	USD	2/15/2012	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR			(2,200,564	)
	10,100,000	USD	8/15/2012	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR			(2,197,531	)
	46,700,000	CHF	3/19/2013	JP Morgan Chase Bank	Receive		3.00	%	6 month CHF LIBOR			307,654
	24,300,000	AUD	3/19/2018	JP Morgan Chase Bank	Receive		7.07	%	6 month AUD BBSW			(307,162	)
	15,680,000	USD	8/31/2025	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR			(2,015,196	)
						Premiums to (Pay) Receive(f)			$	7,027,963	$	(8,536,198	)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	103,000,000	USD	4/30/2008	JP Morgan	1 month	Lehman Aggregate
				Chase Bank	LIBOR - 0.01%	Total Return Index		$	(94,106	)
	85,000,000	USD	4/30/2008	JP Morgan Chase Bank	1 month LIBOR - 0.10%	Lehman Mortgage Total Return Index			(213,742	)
	55,000,000	USD	5/30/2008	JPMorgan Chase Bank	1 month LIBOR - 0.01%	Lehman Aggregate Total Return Index			—
	100,000,000	USD	5/30/2008	UBS AG	1 month LIBOR - 0.09%	Lehman Mortgage Total Return Index			(285,970	)
	245,000,000	USD	6/30/2008	UBS AG	1 month LIBOR - 0.09%	Lehman Mortgage Total Return Index			(700,627	)
	225,000,000	USD	7/31/2008	Lehman Brothers	1 month LIBOR - 0.05%	Lehman Brothers U.S. Government Index			1,630,090
	250,000,000	USD	8/19/2011	Morgan Stanley	3 month LIBOR - 0.01%	Lehman Aggregate Total Return Index			3,842,461
					Premiums to (Pay) Receive	$	—	$	4,178,106

See accompanying notes to the financial statements.

8

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

BBSW - Bank Bill Swap Reference Rate

LIBOR - London Interbank Offered Rate

MTN - Medium Term Note

(a)  Security is backed by the U.S. Government.

(b)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

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

(d)  Underlying investment represents interests in defaulted securities.

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

(f)  Includes accretion since inception for zero coupon interest rate swaps.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

9

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $91,382,684) (Note 2)	$	97,123,088
Investments in affiliated issuers, at value (cost $1,109,974,134) (Notes 2 and 8)		1,050,505,940
Interest receivable		551,942
Unrealized appreciation on open forward currency contracts (Note 2)		10,118,443
Receivable for variation margin on open futures contracts (Note 2)		773,193
Interest receivable for open swap contracts		4,259,412
Receivable for open swap contracts (Note 2)		10,218,695
Receivable for expenses reimbursed by Manager (Note 3)		54,214
Total assets		1,173,604,927
Liabilities:
Payable for investments purchased		1,400,000
Payable to broker for closed futures contracts		105,452
Payable to affiliate for (Note 3):
Management fee		227,954
Shareholder service fee		96,189
Trustees and Chief Compliance Officer of GMO Trust fees		1,296
Unrealized depreciation on open forward currency contracts (Note 2)		6,359,176
Payable for open swap contracts (Note 2)		21,856,518
Payable for closed swap contracts (Note 2)		24,662
Accrued expenses		235,499
Total liabilities		30,306,746
Net assets	$	1,143,298,181

See accompanying notes to the financial statements.

10

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	1,292,610,818
Distributions in excess of net investment income		(42,886,045	)
Accumulated net realized loss		(52,008,951	)
Net unrealized depreciation		(54,417,641	)
	$	1,143,298,181
Net assets attributable to:
Class III shares	$	125,505,802
Class IV shares	$	1,017,792,379
Shares outstanding:
Class III		13,317,527
Class IV		107,863,196
Net asset value per share:
Class III	$	9.42
Class IV	$	9.44

See accompanying notes to the financial statements.

11

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	48,204,847
Interest		6,983,074
Dividends		199,023
Total investment income		55,386,944
Expenses:
Management fee (Note 3)		3,505,853
Shareholder service fee – Class III (Note 3)		219,151
Shareholder service fee – Class IV (Note 3)		1,256,241
Custodian, fund accounting agent and transfer agent fees		519,492
Audit and tax fees		80,239
Legal fees		46,277
Trustees fees and related expenses (Note 3)		14,246
Registration fees		2,760
Miscellaneous		9,941
Total expenses		5,654,200
Fees and expenses reimbursed by Manager (Note 3)		(644,186	)
Expense reductions (Note 2)		(50,284	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(187,143	)
Shareholder service fee waived (Note 3)		(44,451	)
Net expenses		4,728,136
Net investment income (loss)		50,658,808
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(6,200,099	)
Investments in affiliated issuers		1,233,890
Realized gains distributions from affiliated issuers (Note 8)		2,411,835
Closed futures contracts		(49,427,272	)
Closed swap contracts		58,100,691
Foreign currency, forward contracts and foreign currency related transactions		(13,785,155	)
Net realized gain (loss)		(7,666,110	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		3,887,420
Investments in affiliated issuers		(54,389,587	)
Open futures contracts		3,163,853
Open swap contracts		(24,657,328	)
Foreign currency, forward contracts and foreign currency related transactions		(6,745,543	)
Net unrealized gain (loss)		(78,741,185	)
Net realized and unrealized gain (loss)		(86,407,295	)
Net increase (decrease) in net assets resulting from operations	$	(35,748,487	)

See accompanying notes to the financial statements.

12

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	50,658,808		$	119,373,878
Net realized gain (loss)		(7,666,110	)		64,383,082
Change in net unrealized appreciation (depreciation)		(78,741,185	)		(4,611,340	)
Net increase (decrease) in net assets from operations		(35,748,487	)		179,145,620
Distributions to shareholders from:
Net investment income
Class III		(12,275,863	)		(9,204,300	)
Class IV		(99,097,283	)		(140,512,830	)
Total distributions from net investment income		(111,373,146	)		(149,717,130	)
Net share transactions (Note 7):
Class III		(45,249,825	)		35,129,910
Class IV		(1,033,993,070	)		(461,382,628	)
Increase (decrease) in net assets resulting from net share transactions		(1,079,242,895	)		(426,252,718	)
Total increase (decrease) in net assets		(1,226,364,528	)		(396,824,228	)
Net assets:
Beginning of period		2,369,662,709			2,766,486,937
End of period (including distributions in excess of net investment income of $42,886,045 and $2,248,853, respectively)	$	1,143,298,181		$	2,369,662,709

See accompanying notes to the financial statements.

13

GMO Core Plus Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	10.49		$	10.32		$	10.35		$	10.40		$	9.95
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.37			0.43			0.15			0.18			0.25
Net realized and unrealized gain (loss)		(0.63	)		0.27			0.17			0.24			0.91
Total from investment operations		(0.26	)		0.70			0.32			0.42			1.16
Less distributions to shareholders:
From net investment income		(0.81	)		(0.53	)		(0.35	)		(0.25	)		(0.28	)
From net realized gains		—			—			—			(0.22	)		(0.43	)
Total distributions		(0.81	)		(0.53	)		(0.35	)		(0.47	)		(0.71	)
Net asset value, end of period	$	9.42		$	10.49		$	10.32		$	10.35		$	10.40
Total Return(b)		(2.56	)%		6.85	%		3.10	%		4.01	%		11.99	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	125,506		$	187,045		$	148,476		$	1,216,251		$	602,824
Net expenses to average daily net assets(c)		0.39	%(d)		0.39	%		0.39	%		0.39	%		0.39	%
Net investment income to average daily net assets(a)		3.70	%		4.11	%		1.40	%		1.77	%		2.43	%
Portfolio turnover rate		44	%		72	%		62	%		108	%		114	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%		0.06	%		0.06	%		0.07	%		0.09	%

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

14

GMO Core Plus Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	10.50		$	10.33		$	10.46
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.36			0.45			0.23
Net realized and unrealized gain (loss)		(0.61	)		0.26			(0.01	)(c)
Total from investment operations		(0.25	)		0.71			0.22
Less distributions to shareholders:
From net investment income		(0.81	)		(0.54	)		(0.35	)
Total distributions		(0.81	)		(0.54	)		(0.35	)
Net asset value, end of period	$	9.44		$	10.50		$	10.33
Total Return(d)		(2.42	)%		6.90	%		2.06	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,017,792		$	2,182,618		$	2,618,011
Net expenses to average daily net assets(e)		0.34	%(f)		0.34	%		0.34	%*
Net investment income to average daily net assets(b)		3.60	%		4.33	%		2.16	%(g)
Portfolio turnover rate		44	%		72	%		62	%‡
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%		0.06	%		0.07	%*

(a)  Period from July 26, 2005 (commencement of operations) through February 28, 2006.

(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(c)  The per share amount is not in accord with the net realized and unrealized gain (loss) on investments for the period because of the timing of sales of Fund shares and the amount of the per share realized and unrealized gains and losses at such time.

(d)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during periods shown and assumes the effect of reinvested distributions.

(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  The ratio for the period ended February 28, 2006 has not been annualized since the Fund believes it would not be appropriate because the Fund's net income is not earned ratably throughout the fiscal year.

†  Calculated using average shares outstanding throughout the period.

‡  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2006.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

15

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Core Plus Bond 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 Funds into classes.

The Fund seeks total return in excess of that of the Lehman Brothers U.S. Aggregate Index. The Fund typically invests in bonds included in the Lehman Brothers U.S. Aggregate Index and in securities and instruments with similar characteristics. The Fund seeks additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its total assets in shares of GMO Short-Duration Collateral Fund; in futures contracts, currency options, currency forwards, swap contracts, and other types of derivatives; in U.S. and foreign investment-grade bonds, including U.S. and foreign government securities and asset-backed securities issued by U.S. government agencies (including securities neither guaranteed nor insured by the U.S. government) and foreign governments, corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; to a significant extent in credit default swaps; in shares of GMO World Opportunity Overlay Fund; and up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder service fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request by calling (617) 346-7646 (collect). Shares of GMO Short-Duration Collateral Fund, GMO World Opportunity Overlay Fund and GMO Special Purpose Holding Fund are not publicly available for direct purchase.

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

16

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 30.14% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), is an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $608,760 through SPHF in conjunction with settlement agreements related to the default of those securities.

17

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

18

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

19

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

20

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

Delayed delivery commitments

The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Collateral consisting of liquid securities or cash and cash equivalents is maintained with the custodian in an amount at least equal to these commitments. There were no delayed delivery commitments outstanding at the end of the period.

21

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States.

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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions, partnership interest tax allocations, post-October capital losses and differing treatment of accretion and amortization.

22

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	20,077,146	$	(20,236,622	)	$	159,476

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	111,373,146	$	149,717,130
Total distributions	$	111,373,146	$	149,717,130

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 33,474,329

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $26,648,463.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2014	$	(34,693,380	)
2/28/2015		(2,795,728	)
2/29/2016		(33,008,915	)
Total	$	(70,498,023	)

23

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,228,297,977	$	6,561,625	$	(87,230,574	)	$	(80,668,949	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. securities. These risks may involve adverse political and economic developments

24

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.10% for Class IV shares; provided, however, that the amount of this waiver will not exceed the respective Class's shareholder service fee.

25

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 20, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's fees and expenses of the independent trustees of the Trust, fees for legal services not procured or provided by the Manager for the Trust, compensation and expenses of the Trust's CCO (excluding any employee benefits), and investment-related expenses such as brokerage commissions, hedging transaction fees, securities lending fees and expenses, interest expense and transfer taxes), exceeds 0.25% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.015	%		0.003	%		0.038	%		0.056	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $11,763 and $2,596, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

26

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	99,432,500	$	146,672,302
Investments (non-U.S. Government securities)		532,149,430		1,641,643,902

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 41.59% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.01% of the Fund's shares were held by six related parties comprised of certain GMO employee accounts, and 82.40% of the Fund's shares were held by accounts for which the Manager has investment discretion.

27

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		7,093,489		$	73,135,418			10,466,484		$	108,425,382
Shares issued to shareholders in reinvestment of distributions		1,115,417			10,882,545			574,344			5,967,454
Shares repurchased		(12,715,568	)		(129,267,788	)		(7,600,338	)		(79,262,926	)
Net increase (decrease)		(4,506,662	)	$	(45,249,825	)		3,440,490		$	35,129,910
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		12,016,620		$	125,053,877			90,465,074		$	952,490,812
Shares issued to shareholders in reinvestment of distributions		10,145,742			99,097,283			13,509,020			140,512,830
Shares repurchased		(122,110,610	)		(1,258,144,230	)		(149,605,257	)		(1,554,386,270	)
Net increase (decrease)		(99,948,248	)	$	(1,033,993,070	)		(45,631,163	)	$	(461,382,628	)

28

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the securities of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class IV	$	73,734,690	$	6,068,200	$	40,200,000	$	2,765,124	$	1,803,075	$	37,549,507
GMO Short- Duration Collateral Fund		1,648,269,872		483,339,722		1,302,350,000		45,439,723		—		780,181,577
GMO Special Purpose Holding Fund		132,340		—		—		—		608,760		118,261
GMO World Opportunity Overlay Fund		475,441,813		42,100,000		282,875,000		—		—		232,656,595
Totals	$	2,197,578,715	$	531,507,922	$	1,625,425,000	$	48,204,847	$	2,411,835	$	1,050,505,940

29

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Core Plus Bond 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 Core Plus Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

30

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.43	%	$	1,000.00	$	988.20	$	2.13
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16
Class IV
1) Actual		0.38	%	$	1,000.00	$	988.70	$	1.88
2) Hypothetical		0.38	%	$	1,000.00	$	1,022.97	$	1.91

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

31

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $36,269,952 or if determined to be different, the qualified interest income of such year.

32

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 Office1 and 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/oGMO 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

33

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/oGMO 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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

34

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002-2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001-2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

35

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

36

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

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 -18.7% for the fiscal year ended February 29, 2008, as compared to -15.5% for the Russell 2500 Value Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection added to returns relative to the Russell 2500 Value Index. Selections in Consumer Discretionary, Information Technology, and Telecommunication Services added to relative returns while selections in Industrials, Consumer Staples, and Health Care detracted. In terms of individual names, overweight positions in Commerce Group, CDW Corp, and Annaly Capital Management added to relative returns. Overweight positions in Liz Claiborne, PMI Group, and First Horizon National Group detracted.

Sector selection detracted from returns relative to the Russell 2500 Value Index. Sector weightings positively impacting relative performance included overweight positions in Consumer Staples and Health Care and an underweight in Financials. Sector weightings negatively impacting relative performance included an overweight in Consumer Discretionary and underweight positions in Energy and Utilities.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and 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. 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. All information is unaudited.

*   The Russell 2500 Value + Index represents the Russell 2500 Index prior to 12/31/96 and the Russell 2500 Value Index thereafter.

†   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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		99.0	%
Short-Term Investments		3.3
Other		(2.3	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Financials		27.7	%
Consumer Discretionary		22.2
Information Technology		9.6
Industrials		9.5
Consumer Staples		8.9
Health Care		8.4
Materials		6.8
Energy		4.8
Telecommunication Services		1.1
Utilities		1.0
		100.0	%

1

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 99.0%
		Consumer Discretionary — 22.0%
	5,600	Advance Auto Parts, Inc.		187,824
	1,800	Aeropostale, Inc. *		48,348
	960	AH Belo Corp.-Class A *		11,683
	3,200	American Axle & Manufacturing Holdings, Inc.		62,976
	5,700	American Eagle Outfitters, Inc.		121,809
	7,950	ArvinMeritor, Inc.		89,755
	6,000	Asbury Automotive Group, Inc.		84,120
	4,000	Autoliv, Inc.		199,600
	28,100	AutoNation, Inc. *		409,417
	4,800	Belo Corp.		56,496
	1,800	Big Lots, Inc. *		30,330
	7,200	Blyth, Inc.		142,776
	100	Bob Evans Farms, Inc.		2,895
	1,200	Borders Group, Inc.		11,112
	8,200	BorgWarner, Inc.		353,502
	4,900	Brinker International, Inc.		90,356
	9,100	Brunswick Corp.		148,239
	1,700	Callaway Golf Co.		25,908
	7,000	Career Education Corp. *		103,950
	2,600	CBRL Group, Inc.		94,692
	3,150	CEC Entertainment, Inc. *		84,514
	6,600	Chico's FAS, Inc. *		61,446
	2,500	Columbia Sportswear Co.		103,325
	4,100	Cooper Tire & Rubber Co.		74,087
	500	Core-Mark Holding Co., Inc. *		13,285
	3,800	Corinthian Colleges, Inc. *		30,210
	3,500	CSK Auto Corp. *		31,745
	5,100	Discovery Holding Co.-Class A *		115,107
	10,600	Dollar Tree Stores, Inc. *		284,398
	3,300	Ethan Allen Interiors, Inc.		89,892
	8,600	Family Dollar Stores, Inc.		164,690
	5,800	Foot Locker, Inc.		71,340

See accompanying notes to the financial statements.

2

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	2,000	Fossil, Inc. *		64,360
	5,390	Furniture Brands International, Inc.		70,070
	3,800	Group 1 Automotive, Inc.		93,100
	2,800	Hasbro, Inc.		72,156
	1,800	Hooker Furniture Corp.		36,882
	2,900	Interactive Data Corp.		84,854
	2,000	ITT Educational Services, Inc. *		110,440
	1,940	Jack in the Box, Inc. *		50,964
	900	Jakks Pacific, Inc. *		25,155
	100	Jarden Corp. *		2,409
	8,100	Jones Apparel Group, Inc.		114,291
	3,000	K-Swiss, Inc.-Class A		43,530
	4,300	Lear Corp. *		118,594
	5,100	Lee Enterprises, Inc.		52,581
	7,400	Leggett & Platt, Inc.		123,580
	1,900	Lithia Motors, Inc.-Class A		19,532
	13,300	Liz Claiborne, Inc.		236,474
	1,300	Matthews International Corp.-Class A		58,318
	5,124	MDC Holdings, Inc.		214,593
	2,600	Men's Wearhouse, Inc.		59,904
	200	National Presto Industries, Inc.		10,480
	8,100	New York Times Co.-Class A		150,903
	100	NVR, Inc. *		54,068
	5,600	Office Depot, Inc. *		63,672
	4,500	O'Reilly Automotive, Inc. *		121,320
	500	Oxford Industries, Inc.		10,570
	10,700	Penske Auto Group, Inc.		193,028
	2,000	Polaris Industries, Inc.		76,360
	3,100	Pomeroy IT Solutions, Inc. *		20,367
	800	Pre-Paid Legal Services, Inc. *		38,120
	1,100	R.H. Donnelley Corp. *		7,799
	7,700	RadioShack Corp.		134,365
	4,800	Regis Corp.		120,240
	7,200	Rent-A-Center, Inc. *		123,480

See accompanying notes to the financial statements.

3

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	4,200	Ross Stores, Inc.		116,970
	5,300	Ruby Tuesday, Inc.		37,683
	3,700	Service Corporation International		39,960
	1,100	Snap-On, Inc.		54,912
	5,000	Sonic Automotive, Inc.		88,900
	800	Standard Motor Products, Inc.		5,928
	1,500	Stanley Works (The)		72,810
	300	Stewart Enterprises, Inc.-Class A		1,791
	200	Strayer Education, Inc.		31,140
	2,000	Tenneco, Inc. *		50,500
	3,100	The Pep Boys - Manny, Moe & Jack		35,464
	3,700	Thor Industries, Inc.		112,776
	800	Tiffany & Co.		30,112
	4,000	Timberland Co.-Class A *		60,080
	10,100	Toll Brothers, Inc. *		214,221
	7,100	TRW Automotive Holdings Corp. *		156,768
	4,800	Tuesday Morning Corp.		25,872
	5,600	Tupperware Corp.		204,288
	1,300	Tween Brands, Inc. *		38,480
	3,900	Valassis Communications, Inc. *		43,758
	1,700	Westwood One, Inc.		3,009
	2,700	Williams-Sonoma, Inc.		63,072
	1,100	Wolverine World Wide, Inc.		29,150
	2,800	Zale Corp. *		54,096
		Total Consumer Discretionary		7,748,126
		Consumer Staples — 8.7%
	4,800	Alberto-Culver Co.		128,640
	8,800	BJ's Wholesale Club, Inc. *		277,728
	600	Chattem, Inc. *		46,740
	2,900	Chiquita Brands International, Inc. *		59,363
	800	Church & Dwight Co., Inc.		42,768
	2,500	Constellation Brands, Inc.-Class A *		48,025
	500	Corn Products International, Inc.		18,355

See accompanying notes to the financial statements.

4

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — continued
	7,400	Dean Foods Co.		159,248
	2,000	Del Monte Foods Co.		17,960
	1,000	Elizabeth Arden, Inc. *		18,220
	3,500	Energizer Holdings, Inc. *		324,905
	1,900	Estee Lauder Cos. (The), Inc.-Class A		80,902
	3,000	Flowers Foods, Inc.		67,980
	3,800	Fresh Del Monte Produce, Inc. *		126,198
	1,300	Hormel Foods Corp.		53,118
	3,600	Ingles Markets, Inc.-Class A		86,436
	2,400	JM Smucker Co. (The)		122,856
	1,900	Longs Drug Stores Corp.		91,257
	100	McCormick & Co., Inc. (Non Voting)		3,445
	1,900	Molson Coors Brewing Co.-Class B		102,524
	3,800	Nash Finch Co.		133,266
	3,000	NBTY, Inc. *		85,680
	400	Pantry (The), Inc. *		9,624
	5,200	PepsiAmericas, Inc.		131,560
	6,200	Performance Food Group Co. *		201,500
	2,700	Pilgrim's Pride Corp.		63,342
	200	Ralcorp Holdings, Inc. *		11,090
	2,550	Sanderson Farms, Inc.		88,893
	38	Seaboard Corp.		60,420
	700	Smithfield Foods, Inc. *		19,285
	2,900	Supervalu, Inc.		76,125
	15,700	Tyson Foods, Inc.-Class A		226,237
	1,500	Universal Corp.		85,365
	600	Weis Markets, Inc.		19,446
		Total Consumer Staples		3,088,501
		Energy — 4.8%
	1,200	Berry Petroleum Co.		49,332
	600	Bristow Group, Inc. *		31,656
	3,400	Cimarex Energy Co.		179,180
	1,000	Encore Acquisition Co. *		36,800

See accompanying notes to the financial statements.

5

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — continued
	1,000	Forest Oil Corp. *		49,330
	1,700	Golar LNG Ltd.		32,453
	700	Helix Energy Solutions Group, Inc. *		24,654
	3,600	Helmerich & Payne, Inc.		161,388
	1,500	Holly Corp.		80,085
	3,600	Oil States International, Inc. *		151,776
	2,200	Overseas Shipholding Group, Inc.		137,984
	8,900	Patterson-UTI Energy, Inc.		211,197
	800	Rowan Cos., Inc.		32,248
	600	Stone Energy Corp. *		30,456
	900	Teekay Corp.		38,682
	2,700	Tidewater, Inc.		151,605
	4,100	Unit Corp. *		226,115
	300	Whiting Petroleum Corp. *		18,366
	1,400	World Fuel Services Corp.		43,792
		Total Energy		1,687,099
		Financials — 27.6%
	300	Alleghany Corp. *		108,300
	1,700	Amcore Financial, Inc.		33,014
	6,950	American Financial Group, Inc.		179,797
	700	American National Insurance Co.		79,415
	3,800	Anchor Bancorp Wisconsin, Inc.		71,934
	21,100	Annaly Capital Management, Inc.		436,559
	4,800	Anthracite Capital, Inc. REIT		30,672
	3,300	Anworth Mortgage Asset Corp. REIT		31,317
	2,400	Arch Capital Group Ltd. *		164,352
	500	Aspen Insurance Holdings Ltd.		14,470
	9,300	Associated Banc Corp.		231,756
	3,050	Astoria Financial Corp.		79,819
	4,300	Axis Capital Holdings Ltd.		158,541
	4,000	Bancorpsouth, Inc.		89,920
	1,900	Bank of Hawaii Corp.		91,238
	3,700	Brown & Brown, Inc.		65,971

See accompanying notes to the financial statements.

6

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	700	CapitalSource, Inc.		11,088
	2,400	Cathay General Bancorp		52,608
	1,300	Central Pacific Financial Corp.		24,037
	3,300	Chemical Financial Corp.		73,326
	600	Citizens Republic Bancorp, Inc.		6,678
	1,000	City Holding Co.		37,240
	4,600	City National Corp.		235,750
	1,300	CNA Surety Corp. *		18,343
	2,300	Colonial BancGroup (The), Inc.		27,784
	3,196	Commerce Bancshares, Inc.		133,113
	11,200	Commerce Group, Inc.		405,888
	3,100	Community Bank System, Inc.		68,510
	2,900	Conseco, Inc. *		34,017
	4,900	Dime Community Bancshares		74,578
	3,300	Downey Financial Corp.		86,427
	1,800	Endurance Specialty Holdings Ltd.		70,740
	2,400	Erie Indemnity Co.-Class A		118,440
	900	F.N.B. Corp.		12,339
	1,900	FBL Financial Group, Inc.-Class A		55,879
	2,400	Federal Agricultural Mortgage Corp.-Class C		57,696
	9,316	First American Corp.		324,476
	6,300	First Bancorp Puerto Rico		56,952
	6,700	First Horizon National Corp.		108,808
	6,600	FirstMerit Corp.		123,882
	4,400	Flagstar Bancorp, Inc.		31,504
	800	Flushing Financial Corp.		13,040
	7,100	Fulton Financial Corp.		82,573
	1,300	Hanmi Financial Corp.		9,919
	300	Hanover Insurance Group (The), Inc.		13,107
	1,200	Harleysville Group, Inc.		40,296
	8,500	HCC Insurance Holdings, Inc.		204,510
	6,200	Horace Mann Educators Corp.		107,756
	700	Imperial Capital Bancorp, Inc.		15,652
	3,600	Independent Bank Corp., MI		35,136

See accompanying notes to the financial statements.

7

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	6,420	International Bancshares Corp.		139,186
	3,273	Kansas City Life Insurance Co.		135,273
	400	Markel Corp. *		185,900
	1,200	Max Capital Group Ltd.		33,288
	4,400	Mercury General Corp.		200,640
	2,566	MFA Mortgage Investments, Inc. REIT		24,531
	4,900	Nationwide Financial Services, Inc.-Class A		202,125
	200	Navigators Group, Inc. *		10,946
	2,500	Nelnet, Inc.-Class A		27,250
	100	New York Community Bancorp, Inc.		1,633
	400	Northwest Bancorp, Inc.		10,564
	1,900	Odyssey Re Holdings Corp.		68,742
	3,400	Old National Bancorp		52,768
	16,375	Old Republic International Corp.		224,665
	2,400	Oriental Financial Group, Inc.		49,968
	3,700	Pacific Capital Bancorp		77,515
	1,100	Park District National Corp.		66,550
	1,500	PartnerRe Ltd.		115,335
	8,500	Philadelphia Consolidated Holding Corp. *		288,320
	1,000	Platinum Underwriters Holdings Ltd.		34,500
	20,500	Popular, Inc.		226,320
	1,500	Presidential Life Corp.		25,140
	3,900	Protective Life Corp.		150,501
	600	Provident Bankshares Corp.		7,638
	6,800	Reinsurance Group of America, Inc.		372,028
	1,200	RenaissanceRe Holdings Ltd.		65,880
	2,500	RLI Corp.		130,575
	2,100	S&T Bancorp		59,535
	2,000	Safety Insurance Group, Inc.		74,180
	5,300	SEI Investment Co.		132,553
	3,700	Selective Insurance Group, Inc.		87,912
	800	South Financial Group (The), Inc.		11,544
	3,600	StanCorp Financial Group, Inc.		176,724
	2,200	State Auto Financial Corp.		59,708

See accompanying notes to the financial statements.

8

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	3,800	Stewart Information Services Corp.		113,126
	600	Student Loan Corp.		66,300
	1,300	SVB Financial Group *		58,890
	13,600	TCF Financial Corp.		253,096
	4,900	Transatlantic Holdings, Inc.		330,260
	3,100	Trustco Bank Corp., NY		26,815
	4,400	Trustmark Corp.		86,944
	2,000	United Bankshares, Inc.		52,540
	1,200	United Fire & Casualty Co.		41,220
	2,000	Unitrin, Inc.		71,200
	3,827	Washington Federal, Inc.		86,873
	1,800	Webster Financial Corp.		50,346
	2,100	Westamerica Bancorporation		99,393
	900	Whitney Holding Corp.		21,609
	2,900	Wilmington Trust Corp.		89,320
	3,000	Zenith National Insurance Corp.		102,240
		Total Financials		9,719,276
		Health Care — 8.3%
	1,200	AMERIGROUP Corp. *		43,200
	7,200	Apria Healthcare Group *		156,312
	400	Bio-Rad Laboratories, Inc. *		37,776
	1,000	Centene Corp. *		17,920
	1,600	Charles River Laboratories International, Inc. *		93,728
	2,400	Conmed Corp. *		64,704
	1,000	Covance, Inc. *		84,410
	3,000	Endo Pharmaceuticals Holdings, Inc. *		78,780
	11,200	Health Management Associates, Inc.-Class A		59,920
	1,800	Idexx Laboratories, Inc. *		99,846
	1,200	Immucor, Inc. *		35,760
	2,500	Invacare Corp.		62,400
	2,900	Invitrogen Corp. *		245,021
	800	Kinetic Concepts, Inc. *		41,112
	27,900	King Pharmaceuticals, Inc. *		295,740

See accompanying notes to the financial statements.

9

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	2,700	LifePoint Hospitals, Inc. *		67,662
	3,200	Lincare Holdings, Inc. *		104,000
	1,400	Molina Healthcare, Inc. *		44,310
	2,600	Omnicare, Inc.		54,548
	4,400	Owens & Minor, Inc.		189,068
	1,100	Par Pharmaceutical Cos., Inc. *		19,459
	4,100	Patterson Cos., Inc. *		144,320
	2,500	Pediatrix Medical Group, Inc. *		165,025
	4,100	PerkinElmer, Inc.		101,762
	1,600	Perrigo Co.		53,472
	1,400	Pharmaceutical Product Development, Inc.		63,098
	1,000	PharmaNet Development Group, Inc. *		28,830
	1,800	Respironics, Inc. *		118,224
	1,000	Techne Corp. *		68,390
	1,500	Universal American Corp. *		25,770
	500	Varian, Inc. *		27,075
	900	VCA Antech, Inc. *		28,899
	1,900	Waters Corp. *		113,259
	3,600	Watson Pharmaceuticals, Inc. *		100,116
		Total Health Care		2,933,916
		Industrials — 9.4%
	400	A.O. Smith Corp.		14,572
	3,800	ABM Industries, Inc.		75,468
	1,300	AGCO Corp. *		84,318
	900	Albany International Corp.		30,897
	2,000	Alliant Techsystems, Inc. *		209,880
	190	American Woodmark Corp.		3,606
	100	Applied Industrial Technologies, Inc.		2,764
	2,900	Arkansas Best Corp.		77,459
	8,500	Avis Budget Group, Inc. *		97,155
	2,300	Blount International, Inc. *		27,439
	1,100	CDI Corp.		25,025
	2,300	Ceradyne, Inc. *		71,553

See accompanying notes to the financial statements.

10

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	3,200	Copart, Inc. *		133,312
	2,700	Crane Co.		111,321
	1,100	Curtiss-Wright Corp.		46,266
	10,400	Deluxe Corp.		216,632
	900	Ducommun, Inc. *		24,957
	700	Ennis, Inc.		11,172
	1,000	EnPro Industries, Inc. *		29,530
	200	Esterline Technologies Corp. *		10,480
	400	FTI Consulting, Inc. *		25,400
	400	Gardner Denver, Inc. *		14,764
	1,700	Hubbell, Inc.-Class B		77,129
	800	Kaman Corp.-Class A		19,200
	4,700	Kelly Services, Inc.-Class A		90,287
	2,900	Kennametal, Inc.		88,073
	2,200	Lennox International, Inc.		82,808
	1,300	Manpower, Inc.		73,710
	400	Middleby Corp. *		27,200
	1,200	Mine Safety Appliances Co.		48,132
	2,300	Mueller Industries, Inc.		66,079
	1,200	Pall Corp.		47,244
	3,700	Pentair, Inc.		120,694
	2,100	Resources Connection, Inc.		33,810
	1,800	Rush Enterprises, Inc.-Class A *		26,676
	3,700	Simpson Manufacturing Co., Inc.		88,652
	2,300	Skywest, Inc.		50,876
	3,100	SPX Corp.		317,130
	2,900	Teleflex, Inc.		163,995
	300	Tennant Co.		10,824
	2,700	Timken Co. (The)		81,351
	1,500	United Rentals, Inc. *		30,150
	2,900	United Stationers, Inc. *		143,144
	700	Universal Forest Products, Inc.		19,446
	2,300	URS Corp. *		92,644
	500	Watson Wyatt Worldwide, Inc.		26,525

See accompanying notes to the financial statements.

11

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	2,400	Werner Enterprises, Inc.		42,696
	400	Woodward Governor Co.		11,428
	6,000	YRC Worldwide, Inc. *		82,560
		Total Industrials		3,306,433
		Information Technology — 9.5%
	5,800	ADC Telecommunications, Inc. *		79,286
	2,300	ADTRAN, Inc.		42,366
	2,200	Affiliated Computer Services, Inc.-Class A *		111,650
	800	Anixter International, Inc. *		52,312
	5,100	Arrow Electronics, Inc. *		166,311
	5,400	Avnet, Inc. *		182,034
	900	Brightpoint, Inc. *		9,306
	1,200	Cabot Microelectronics Corp. *		40,188
	1,100	CACI International, Inc.-Class A *		48,026
	1,700	Checkpoint Systems, Inc. *		41,140
	9,500	Compuware Corp. *		75,620
	3,100	Convergys Corp. *		44,764
	300	Diebold, Inc.		7,236
	2,400	Dycom Industries, Inc. *		27,456
	6,700	Earthlink, Inc. *		48,441
	1,850	Factset Research Systems, Inc.		97,384
	1,500	Foundry Networks, Inc. *		17,805
	1,400	Global Payments, Inc.		55,538
	1,200	Infospace, Inc.		12,228
	20,050	Ingram Micro, Inc.-Class A *		306,164
	4,800	Insight Enterprises, Inc. *		84,144
	5,800	Intersil Corp.-Class A		134,966
	1,800	j2 Global Communications, Inc. *		38,736
	4,500	Lexmark International, Inc. *		148,635
	1,900	Maximus, Inc.		69,008
	6,300	Novell, Inc. *		46,935
	100	Novellus System, Inc. *		2,208
	6,200	Plantronics, Inc.		116,932

See accompanying notes to the financial statements.

12

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	500	Plexus Corp. *		12,385
	900	ScanSource, Inc. *		30,573
	6,400	Semtech Corp. *		81,536
	3,000	Sybase, Inc. *		79,860
	3,200	SYNNEX Corp. *		66,592
	200	Synopsys, Inc. *		4,642
	9,497	Tech Data Corp. *		316,725
	6,100	Total System Services, Inc.		135,603
	15,800	Western Digital Corp. *		487,746
	2,100	Zoran Corp. *		28,833
		Total Information Technology		3,351,314
		Materials — 6.8%
	3,300	AptarGroup, Inc.		123,684
	1,000	Bemis Co., Inc.		24,820
	1,300	Cabot Corp.		35,620
	400	Carpenter Technology Corp.		25,132
	2,900	Celanese Corp.-Class A		112,810
	2,500	Commercial Metals Co.		76,150
	1,100	Cytec Industries, Inc.		63,008
	1,000	Eastman Chemical Co.		65,810
	3,600	FMC Corp.		203,796
	2,700	Headwaters, Inc. *		33,102
	5,200	Lubrizol Corp.		303,160
	3,800	Olin Corp		73,036
	1,200	Owens-IIlinois, Inc. *		67,740
	600	PolyOne Corp. *		3,900
	4,500	Quanex Corp.		231,525
	4,700	Reliance Steel & Aluminum Co.		260,897
	200	Rock-Tenn Co.-Class A		5,366
	1,200	Rockwood Holdings, Inc. *		36,828
	1,100	Schnitzer Steel Industries, Inc.-Class A		72,017
	300	Sealed Air Corp.		7,263
	3,500	Sensient Technologies Corp.		94,290

See accompanying notes to the financial statements.

13

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Materials — continued
	4,000	Sigma Aldrich Corp.		220,080
	300	Silgan Holdings, Inc.		14,022
	3,100	Smurfit-Stone Container Corp. *		24,645
	900	Sonoco Products Co.		25,353
	958	Stepan Co.		32,668
	4,100	Temple-Inland, Inc.		56,293
	5,500	Worthington Industries, Inc.		96,745
		Total Materials		2,389,760
		Telecommunication Services — 1.1%
	5,600	CenturyTel, Inc.		202,664
	5,100	Premiere Global Services, Inc. *		72,063
	2,200	Telephone & Data Systems, Inc.		103,180
		Total Telecommunication Services		377,907
		Utilities — 0.8%
	1,100	Central Vermont Public Service		26,345
	2,200	Energen Corp.		132,000
	2,000	Energy East Corp.		53,300
	300	Equitable Resources, Inc.		18,486
	700	ONEOK, Inc.		32,599
	700	TECO Energy, Inc.		10,486
		Total Utilities		273,216
		TOTAL COMMON STOCKS (COST $39,830,880)		34,875,548

See accompanying notes to the financial statements.

14

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.3%
	1,174,915	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $1,174,989 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 8.13%, maturity date of 08/15/19 and a market value, including accrued interest, of $1,187,212.		1,174,915
		TOTAL SHORT-TERM INVESTMENTS (COST $1,174,915)		1,174,915
		TOTAL INVESTMENTS — 102.3% (Cost $41,005,795)		36,050,463
		Other Assets and Liabilities (net) — (2.3%)		(820,442	)
		TOTAL NET ASSETS — 100.0%	$	35,230,021

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

See accompanying notes to the financial statements.

15

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $41,005,795) (Note 2)	$	36,050,463
Receivable for investments sold		3,241,235
Dividends and interest receivable		45,262
Receivable for expenses reimbursed by Manager (Note 3)		6,293
Total assets		39,343,253
Liabilities:
Payable for Fund shares repurchased		4,011,296
Payable to affiliate for (Note 3):
Management fee		9,923
Shareholder service fee		4,802
Trustees and Chief Compliance Officer of GMO Trust fees		54
Accrued expenses		87,157
Total liabilities		4,113,232
Net assets	$	35,230,021
Net assets consist of:
Paid-in capital	$	43,303,625
Accumulated undistributed net investment income		31,207
Distributions in excess of net realized gain		(3,149,479	)
Net unrealized depreciation		(4,955,332	)
	$	35,230,021
Net assets attributable to:
Class III shares	$	35,230,021
Shares outstanding:
Class III		4,789,671
Net asset value per share:
Class III	$	7.36

See accompanying notes to the financial statements.

16

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	877,942
Interest		66,984
Securities lending income		28,722
Total investment income		973,648
Expenses:
Management fee (Note 3)		158,341
Shareholder service fee – Class III (Note 3)		76,617
Custodian, fund accounting agent and transfer agent fees		46,710
Audit and tax fees		47,906
Legal fees		737
Trustees fees and related expenses (Note 3)		528
Miscellaneous		474
Total expenses		331,313
Fees and expenses reimbursed by Manager (Note 3)		(95,627	)
Net expenses		235,686
Net investment income (loss)		737,962
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(920,742	)
Closed futures contracts		(102,693	)
Net realized gain (loss)		(1,023,435	)
Change in net unrealized appreciation (depreciation) on:
Investments		(9,359,464	)
Open futures contracts		(2,261	)
Net unrealized gain (loss)		(9,361,725	)
Net realized and unrealized gain (loss)		(10,385,160	)
Net increase (decrease) in net assets resulting from operations	$	(9,647,198	)

See accompanying notes to the financial statements.

17

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	737,962		$	881,835
Net realized gain (loss)		(1,023,435	)		5,343,873
Change in net unrealized appreciation (depreciation)		(9,361,725	)		(1,717,958	)
Net increase (decrease) in net assets from operations		(9,647,198	)		4,507,750
Distributions to shareholders from:
Net investment income
Class III		(739,082	)		(1,160,532	)
Net realized gains
Class III		(4,151,014	)		(6,589,407	)
		(4,890,096	)		(7,749,939	)
Net share transactions (Note 7):
Class III		(8,753,035	)		8,181,959
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		68,226			123,054
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(8,684,809	)		8,305,013
Total increase (decrease) in net assets		(23,222,103	)		5,062,824
Net assets:
Beginning of period		58,452,124			53,389,300
End of period (including accumulated undistributed net investment income of $31,207 and $38,039, respectively)	$	35,230,021		$	58,452,124

See accompanying notes to the financial statements.

18

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	10.01		$	10.52		$	12.38		$	15.51		$	9.81
Income (loss) from investment operations:
Net investment income (loss)		0.13	†		0.15	†		0.20	†		0.19	†		0.17
Net realized and unrealized gain (loss)		(1.87	)		0.68			1.11			1.32			5.78
Total from investment operations		(1.74	)		0.83			1.31			1.51			5.95
Less distributions to shareholders:
From net investment income		(0.13	)		(0.20	)		(0.21	)		(0.16	)		(0.15	)
From net realized gains		(0.78	)		(1.14	)		(2.96	)		(4.48	)		(0.10	)
Total distributions		(0.91	)		(1.34	)		(3.17	)		(4.64	)		(0.25	)
Net asset value, end of period	$	7.36		$	10.01		$	10.52		$	12.38		$	15.51
Total Return(a)		(18.73	)%		8.71	%		11.67	%		14.98	%		61.14	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	35,230		$	58,452		$	53,389		$	80,084		$	179,268
Net expenses to average daily net assets		0.46	%		0.46	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.44	%		1.46	%		1.71	%		1.48	%		1.21	%
Portfolio turnover rate		63	%		79	%		48	%		66	%		86	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.19	%		0.22	%		0.19	%		0.12	%		0.08	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.02		$	0.04		$	0.09		$	0.04

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods. shown and assumes the effect of reinvested distributions. 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.

19

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks long-term capital growth. The Fund seeks to achieve its objective by outperforming the Russell 2500 Value Index. The Fund typically makes equity investments in U.S. companies that issue stocks included in the Russell 2500 Index, and companies with similar market capitalizations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Futures contracts

The Fund may purchase and sell futures contracts. 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

20

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

21

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

22

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess Of Net Realized Gain		Paid-in Capital
$	(5,712	)	$	5,712	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	1,572,310	$	2,676,756
Long-term capital gains		3,317,786		5,073,183
Total distributions	$	4,890,096	$	7,749,939

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 31,207

23

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $2,991,843.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	41,163,431	$	1,991,527	$	(7,104,495	)	$	(5,112,968	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash 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

24

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

premiums and redemption fees are paid to and recorded by the Fund as paid-in capital. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the

25

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) exceed 0.31% of the 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 29, 2008 was $436 and $199, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $30,911,328 and $42,286,364, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 61.48% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.14% of the Fund's shares were held by five related parties comprised of certain GMO employee accounts, and 61.14% of the Fund's shares were held by accounts for which the Manager has investment discretion.

26

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		3,584		$	31,432			1,190,034		$	12,827,643
Shares issued to shareholders in reinvestment of distributions		541,777			4,846,264			788,738			7,656,823
Shares repurchased		(1,595,273	)		(13,630,731	)		(1,212,411	)		(12,302,507	)
Purchase premiums		—			114			—			63,264
Redemption fees		—			68,112			—			59,790
Net increase (decrease)		(1,049,912	)	$	(8,684,809	)		766,361		$	8,305,013

27

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

28

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.46	%	$	1,000.00	$	859.20	$	2.13
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.58	$	2.31

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

29

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $3,317,786 from long-term capital gains.

For taxable, non-corporate shareholders, 49.65% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 49.89% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $26,374 and $840,947, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

30

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Note Concerning Distributions (Unaudited)

The Fund previously reported estimated sources of any dividends, short-term capital gains, and long-term capital gains distributions paid on a per share basis. Pursuant to Rule 19a-1(e) of the Investment Company Act, the following serves as a correction of such estimates. 0.37% of distributions to shareholders declared from net realized gains during the Fund's fiscal year were reclassified to distributions from net investment income and are reflected as such in the Statement of Changes in Net Assets.

31

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

32

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

33

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).
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).

⁵  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.

34

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

35

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Shares of the GMO Short-Duration Collateral Fund returned -1.1% for the fiscal year ended February 29, 2008, compared with the +5.8% for the JPMorgan U.S. 3 Month Cash Index.

The Fund underperformed the benchmark during the fiscal year by 6.9%, with negative performance mostly attributable to mark-to-market valuation in subprime and other asset-backed security holdings. The Short-Duration Collateral Fund primarily invests in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the Fund underperformed LIBOR by nearly 700 basis points.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		91.0	%
Short-Term Investments		9.0
Futures		(0.0	)
Forward Currency Contracts		(0.0	)
Swaps		(0.2	)
Other		0.2
		100.0	%
Industry Sector Summary	% of Debt Obligations
Credit Cards		19.8	%
Residential Asset-Backed Securities (United States)		19.5
Auto Financing		9.3
Business Loans		6.7
Insured Auto Financing		6.5
Residential Mortgage-Backed Securities (European)		5.9
Student Loans		5.3
CMBS		5.2
Residential Mortgage-Backed Securities (Australian)		3.9
Investment Grade Corporate Collateralized Debt Obligations		3.3
Insured Other		2.0
CMBS Collateralized Debt Obligations		1.4
Equipment Leases		1.3
Bank Loan Collateralized Debt Obligations		1.2
Rate Reduction Bonds		1.2
Trade Receivables		1.0
U.S. Government Agency		1.0
Insurance Premiums		0.8
Insured Residential Mortgage-Backed Securities (United States)		0.8
Corporate Debt		0.7
Insured Time Share		0.7
Insured High Yield Collateralized Debt Obligations		0.6
Insured Credit Cards		0.5
Airlines		0.4
U.S. Government		0.2
Emerging Markets Collateralized Debt Obligations		0.2
Insured Residential Asset-Backed Securities (United States)		0.2
ABS Collateralized Debt Obligations		0.1
Insured Transportation		0.1
Residential Mortgage-Backed Securities (United States)		0.1
Insured Business Loans		0.1
Collateralized Loan Obligations		0.0
High Yield Collateralized Debt Obligations		0.0
Insured Residential Asset-Backed Securities (European)		0.0
		100.0	%

1

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 91.0%
		Asset-Backed Securities — 89.2%
		ABS Collateralized Debt Obligations — 0.1%
	15,000,000	Paragon CDO Ltd., Series 04-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .65%, 4.54%, due 10/20/44		9,750,000
		Airlines — 0.3%
	23,000,000	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .48%, 3.60%, due 05/15/24		14,950,000
	11,240,415	Continental Airlines Inc., Series 991A, 6.55%, due 02/02/19		10,987,506
		Total Airlines		25,937,506
		Auto Financing — 8.5%
	49,000,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 08/15/13		48,112,120
	32,000,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, Variable Rate, 1 mo. LIBOR + .40%, 3.52%, due 02/18/14		31,017,600
	15,000,000	Capital Auto Receivables Asset Trust, Series 07-SN1, Class A4, Variable Rate, 1 mo. LIBOR + .10%, , 3.22%, due 02/15/11		14,583,000
	32,000,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 11/15/11		31,431,360
	31,500,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 02/15/12		30,650,130
	17,000,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, Variable Rate, 1 mo. LIBOR + .38%, 3.50%, due 07/15/12		16,565,730
	40,000,000	Ford Credit Floorplan Master Owner Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 05/15/10		39,816,000
	58,000,000	Ford Credit Floorplan Master Owner Trust, Series 06-3, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 06/15/11		55,956,628
	14,000,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 06/15/13		12,944,932
	5,589,935	Nissan Auto Receivables Owner Trust, Series 04-C, Class A4, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 03/15/10		5,554,998
	40,000,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, Variable Rate, 1 mo. LIBOR, 3.12%, due 06/17/13		38,673,600

See accompanying notes to the financial statements.

2

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Auto Financing — continued
	12,000,000	Nissan Master Owner Trust Receivables, Series 05-A, Class A, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 07/15/10		11,898,720
	37,000,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, Variable Rate, 1 mo. LIBOR, 3.12%, due 05/15/12		35,843,750
	69,250,000	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 08/15/11		67,338,700
	38,000,000	Superior Wholesale Inventory Financing Trust, Series 05-A12, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 06/15/10		37,696,646
	20,000,000	Swift Master Auto Receivables Trust, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .65%, 3.77%, due 10/15/12		19,456,000
	42,000,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 06/15/12		39,758,034
	32,000,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 12/15/16		30,121,600
	60,000,000	Volkswagen Credit Auto Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.13%, due 07/21/10		59,663,400
	23,000,000	World Omni Auto Receivables Trust, Series 07-A, Class A4, Variable Rate, 1 mo. LIBOR, 3.12%, due 11/15/12		22,250,453
		Total Auto Financing		649,333,401
		Bank Loan Collateralized Debt Obligations — 1.1%
	50,171,402	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, Variable Rate, 3 mo. LIBOR + .17%, 5.10%, due 06/20/25		49,356,116
	36,400,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .25%, 4.90%, due 07/05/11		35,278,516
		Total Bank Loan Collateralized Debt Obligations		84,634,632
		Business Loans — 6.1%
	30,961,943	ACAS Business Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .14%, 3.21%, due 08/16/19		29,918,526
	5,162,224	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .36%, 3.50%, due 04/25/34		4,792,878
	4,525,882	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .37%, 3.49%, due 01/25/35		4,382,865
	18,308,812	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .39%, 3.51%, due 01/25/36		16,977,762

See accompanying notes to the financial statements.

3

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Business Loans — continued
	13,515,851	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .24%, 3.38%, due 07/25/37		11,708,106
	40,000,000	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 1.30%, 4.42%, due 12/25/37		38,600,000
	11,655,715	Capitalsource Commercial Loan Trust, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 08/22/16		11,426,097
	13,947,219	Capitalsource Commercial Loan Trust, Series 07-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.24%, due 03/20/17		13,302,858
	20,000,000	CNH Wholesale Master Note Trust, Series 06-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 07/15/12		19,671,875
	6,528,360	GE Business Loan Trust, Series 04-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 05/15/32		6,282,400
	8,732,468	GE Business Loan Trust, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 11/15/33		8,207,042
	5,012,836	GE Commercial Loan Trust, Series 06-1, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .08%, 3.97%, due 04/19/17		4,822,281
	9,999,525	GE Commercial Loan Trust, Series 06-2, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.95%, due 04/19/15		9,938,528
	35,000,000	GE Dealer Floorplan Master Note Trust, Series 06-4, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.12%, due 10/20/11		34,170,150
	52,000,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 07/20/12		50,225,393
	12,016,843	Lehman Brothers Small Balance Commercial, Series 05-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 02/25/30		11,003,288
	11,452,768	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 09/25/30		10,377,568
	17,394,971	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, Variable Rate, 1 mo. LIBOR + .65%, 3.77%, due 10/25/37		17,013,149
	34,269,000	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, Variable Rate, 1 mo. LIBOR + .85%, 3.97%, due 10/25/37		31,735,686
	18,000,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 02/25/13		17,431,200
	39,000,000	Navistar Financial Dealer Note Master Trust, Series 98-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 07/25/11		38,855,310
	53,000,000	Textron Financial Floorplan Master Note, Series 05-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 05/13/10		52,801,250

See accompanying notes to the financial statements.

4

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Business Loans — continued
	25,000,000	Textron Financial Floorplan Master Note, Series 07-AA, Class A, 144A, Variable Rate, 1 mo. LIBOR + .06%, 3.20%, due 03/13/12		24,297,500
	1,462,248	The Money Store Business Loan Backed Trust, Series 99-1, Class AN, Variable Rate, 1 mo. LIBOR +.50%, 3.62%, due 09/15/17		1,443,638
		Total Business Loans		469,385,350
		CMBS — 4.8%
	14,500,000	Banc of America Commercial Mortgage, Inc., Series 06-3, Class A2, 5.81%, due 07/10/44		14,633,672
	10,781,668	Bear Stearns Commercial Mortgage Securities, Inc., Series 05-PW10, Class A1, 5.09%, due 12/11/40		10,713,097
	22,500,000	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 07/15/44		21,530,250
	43,000,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.25%, due 12/15/20		42,527,000
	32,000,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.30%, due 11/10/45		32,140,000
	19,850,000	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, Variable Rate, 5.34%, due 03/10/44		19,986,469
	8,380,931	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .09%, 3.31%, due 11/05/21		8,056,170
	32,000,000	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		31,638,750
	8,330,127	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .09%, 3.17%, due 03/06/20		7,830,319
	9,000,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.21%, due 03/06/20		8,280,000
	10,181,082	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-FL1A, Class A1B, 144A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 02/15/20		9,213,879
	57,000,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45		56,866,620
	6,985,033	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 09/15/21		6,954,833
	33,000,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, Variable Rate, 5.61%, due 05/12/39		32,862,070
	12,000,000	Morgan Stanley Capital I, Series 06-IQ11, Class A2, 5.69%, due 10/15/42		11,775,720
	13,000,000	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.74%, due 10/15/42		12,375,220

See accompanying notes to the financial statements.

5

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		CMBS — continued
	6,734,934	Morgan Stanley Dean Witter Capital I, Series 03-TOP9, Class A1, 3.98%, due 11/13/36		6,549,319
	32,935,773	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 09/15/21		30,465,590
		Total CMBS		364,398,978
		CMBS Collateralized Debt Obligations — 1.3%
	9,000,000	American Capital Strategies Ltd Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .80%, 3.89%, due 11/23/52		5,474,516
	17,167,710	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .35%, 5.19%, due 06/28/19		15,909,083
	20,000,000	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		19,894,000
	30,000,000	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .32%, 3.44%, due 08/26/30		27,450,000
	35,500,000	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .33%, 3.45%, due 05/25/46		31,240,000
		Total CMBS Collateralized Debt Obligations		99,967,599
		Collateralized Loan Obligations — 0.0%
	2,822,031	Archimedes Funding IV (Cayman) Ltd., Series 4A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .48%, 3.57%, due 02/25/13		2,787,064
		Credit Cards — 18.0%
	14,300,000	Advanta Business Card Master Trust, Series 05-A1, Class A1, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 04/20/11		14,240,655
	20,000,000	Advanta Business Card Master Trust, Series 05-A2, Class A2, Variable Rate, 1 mo. LIBOR + .13%, 3.24%, due 05/20/13		19,287,500
	7,000,000	Advanta Business Card Master Trust, Series 05-A5, Class A5, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 04/20/12		6,797,350
	30,000,000	Advanta Business Card Master Trust, Series 07-A4, Class A4, Variable Rate, 1 mo. LIBOR + .03%, 3.14%, due 04/22/13		29,137,500
	17,000,000	American Express Credit Account Master Trust, Series 04-1, Class A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 09/15/11		16,891,710
	25,000,000	American Express Credit Account Master Trust, Series 04-4, Class A, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 03/15/12		24,693,200

See accompanying notes to the financial statements.

6

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	19,055,000	American Express Credit Account Master Trust, Series 05-3, Class A, Variable Rate, 1 mo. LIBOR, 3.12%, due 01/18/11		19,003,552
	64,000,000	American Express Credit Account Master Trust, Series 05-5, Class A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 02/15/13		63,032,960
	1,900,000	American Express Credit Account Master Trust, Series 05-6, Class A, Variable Rate, 1 mo. LIBOR, 3.12%, due 03/15/11		1,893,616
	25,000,000	American Express Credit Account Master Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 12/15/13		24,339,750
	12,000,000	American Express Issuance Trust, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 09/15/11		11,774,280
	25,000,000	Arran, Series 2005-A, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 12/15/10		24,687,500
	26,175,000	Bank of America Credit Card Trust, Series 06-A10, Class A10, Variable Rate, 1 mo. LIBOR - .02%, 3.10%, due 02/15/12		25,891,238
	14,000,000	Bank of America Credit Card Trust, Series 07-A13, Class A13, Variable Rate, 1 mo. LIBOR + .22%, 3.34%, due 04/16/12		13,877,500
	11,670,000	Bank One Issuance Trust, Series 03-A10, Class A10, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 06/15/11		11,612,817
	38,635,000	Bank One Issuance Trust, Series 03-A3, Class A3, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 12/15/10		38,611,819
	5,710,000	Bank One Issuance Trust, Series 03-A6, Class A6, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 02/15/11		5,701,226
	10,000,000	Capital One Master Trust, Series 01-6, Class A, Variable Rate, 1 mo. LIBOR + .19%, 3.31%, due 06/15/11		9,958,700
	30,000,000	Capital One Master Trust, Series 02-1A, Class A, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 11/15/11		29,858,203
	15,000,000	Capital One Multi-Asset Execution Trust, Series 04-A2, Class A2, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 01/17/12		14,875,950
	15,000,000	Capital One Multi-Asset Execution Trust, Series 04-A3, Class A3, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 02/15/12		14,867,863
	26,275,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, Variable Rate, 3 mo. LIBOR + .15%, 3.22%, due 06/16/14		25,338,306
	30,000,000	Capital One Multi-Asset Execution Trust, Series 06-A14, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 08/15/13		29,106,000
	341,000	Capital One Multi-Asset Execution Trust, Series 06-A7, Class A7, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 03/17/14		329,962

See accompanying notes to the financial statements.

7

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	9,000,000	Capital One Multi-Asset Execution Trust, Series 07-A4, Class A4, Variable Rate, 1 mo. LIBOR + .03%, 3.15%, due 03/16/15		8,577,900
	20,000,000	Capital One Multi-Asset Execution Trust, Series 07-A6, Class A6, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 05/15/13		19,552,000
	49,000,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 1.25%, 4.37%, due 09/15/17		46,583,810
	14,000,000	Chase Credit Card Master Trust, Series 03-5, Class A, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 01/17/11		13,960,380
	30,000,000	Chase Issuance Trust, Series 05-A3, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 10/17/11		29,806,200
	14,000,000	Chase Issuance Trust, Series 05-A9, Class A9, Variable Rate, 1 mo. + .02%, 3.14%, due 11/15/11		13,762,000
	29,000,000	Chase Issuance Trust, Series 06-A7, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 02/15/13		28,312,990
	5,500,000	Chase Issuance Trust, Series 07-A1, Class A1, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 03/15/13		5,382,026
	17,500,000	Chase Issuance Trust, Series 07-A11, Class A11, Variable Rate, 1 mo. LIBOR, 3.12%, due 07/16/12		17,220,056
	16,000,000	Citibank Credit Card Issuance Trust, Series 01-A7, Class A7, Variable Rate, 3 mo. LIBOR + .14%, 3.20%, due 08/15/13		15,620,800
	20,000,000	Citibank Credit Card Issuance Trust, Series 04-A3, Class A3, Variable Rate, 3 mo. LIBOR + .07%, 3.79%, due 07/25/11		19,832,400
	10,000,000	Citibank Credit Card Issuance Trust, Series 05-A3, Class A3, Variable Rate, 1 mo. LIBOR + .07%, 3.21%, due 04/24/14		9,623,200
	27,000,000	Citibank Credit Card Issuance Trust, Series 06-A6, Class A6, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 05/24/12		26,546,400
	16,000,000	Citibank Credit Card Issuance Trust, Series 07-A1, Class A1, Variable Rate, 3 mo. LIBOR - .01%, 4.87%, due 03/22/12		15,774,400
	32,000,000	Citibank Credit Card Issuance Trust, Series 07-A2, Class A2, Variable Rate, 3 mo. LIBOR - .01%, 3.06%, due 05/21/12		31,459,200
	12,000,000	Discover Card Master Trust I, Series 03-4, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 05/15/11		11,923,080
	6,950,000	Discover Card Master Trust I, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 09/16/10		6,945,691
	46,700,000	Discover Card Master Trust I, Series 05-3, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 05/15/11		46,378,704

See accompanying notes to the financial statements.

8

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	13,000,000	Discover Card Master Trust I, Series 05-4, Class A1, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 06/18/13		12,658,750
	4,800,000	Discover Card Master Trust I, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR, 3.13%, due 08/15/12		4,707,024
	58,000,000	First National Master Note Trust, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .75%, 3.87%, due 11/15/12		57,492,500
	25,000,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 03/15/13		24,382,014
	45,000,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 06/15/13		44,156,250
	48,000,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 04/15/13		46,950,000
	24,000,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, Variable Rate, 1 mo. LIBOR + .55%, 3.67%, due 07/15/13		23,556,563
	3,000,000	MBNA Credit Card Master Note Trust Series 01-A5, Class A5, Variable Rate, 1 mo. LIBOR + .21%, 3.33%, due 03/15/11		2,996,460
	31,976,000	MBNA Credit Card Master Note Trust, Series 03-A3, Class A3, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 08/16/10		31,968,646
	14,000,000	MBNA Credit Card Master Note Trust, Series 04-A7, Class A7, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 12/15/11		13,877,500
	15,000,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 01/15/14		14,609,700
	19,000,000	MBNA Credit Card Master Note Trust, Series 05-A5, Class A5, Variable Rate, 1 mo. LIBOR, 3.12%, due 12/15/10		18,952,500
	75,675,000	MBNA Credit Card Master Note Trust, Series 06-A4, Class A4, Variable Rate, 1 mo. LIBOR - .01%, 3.11%, due 09/15/11		75,060,141
	25,000,000	Pillar Funding Plc, Series 04-2, Class A, 144A, Variable Rate, 3 mo. LIBOR + .14%, 5.13%, due 09/15/11		24,143,500
	60,500,000	Turquoise Card Backed Securities Plc, Series 06-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 05/16/11		59,791,016
	17,000,000	World Financial Network Credit Card Master Trust, Series 03-A, Class A2, Variable Rate, 1 mo. LIBOR + .37%, 3.49%, due 05/15/12		16,915,000
	54,100,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 03/15/13		52,633,349
	15,000,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .13%, 3.25%, due 02/15/17		13,403,550
		Total Credit Cards		1,381,324,857

See accompanying notes to the financial statements.

9

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Emerging Markets Collateralized Debt Obligations — 0.2%
	16,000,000	Santiago CDO Ltd., Series 05-1A, Class A, 144A, Variable Rate, 6 mo. LIBOR + .40%, 5.53%, due 04/18/17		14,720,000
		Equipment Leases — 1.2%
	4,372,043	CNH Equipment Trust, Series 04-A, Class A4A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 09/15/11		4,354,281
	21,325,258	CNH Equipment Trust, Series 05-A, Class A4A, Variable Rate, 1 mo. LIBOR + .04%, 3.16%, due 06/15/12		21,097,504
	24,500,000	CNH Equipment Trust, Series 07-B, Class A3B, Variable Rate, 1 mo. LIBOR + .60%, 3.72%, due 10/17/11		24,148,180
	45,000,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 06/14/11		43,931,250
		Total Equipment Leases		93,531,215
		High Yield Collateralized Debt Obligations — 0.0%
	645,070	SHYPPCO Finance Co., LLC, Series 1I, Class A2B, 6.64%, due 06/15/10		612,817
		Insurance Premiums — 0.7%
	16,000,000	AICCO Premium Finance Master Trust, Series 05-1, Class A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 04/15/10		15,894,400
	40,000,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 12/15/11		39,125,000
		Total Insurance Premiums		55,019,400
		Insured Auto Financing — 5.9%
	17,500,000	Aesop Funding II LLC, Series 03-5A, Class A2, 144A, XL, Variable Rate, 1 mo. LIBOR +.38%, 3.49%, due 12/20/09		16,967,635
	10,000,000	Aesop Funding II LLC, Series 05-1A, Class A3, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 04/20/11		9,121,300
	19,550,000	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, Variable Rate, 1 mo. LIBOR + .08%, 3.27%, due 05/06/12		18,009,888
	6,841,252	AmeriCredit Automobile Receivables Trust, Series 06-RM, Class A1, MBIA, 5.37%, due 10/06/09		6,826,986
	31,000,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, Variable Rate, 1 mo. LIBOR + .04%, 3.23%, due 10/06/13		27,512,500

See accompanying notes to the financial statements.

10

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	20,000,000	AmeriCredit Automobile Receivables Trust, Series 07-BF, Class A4, FSA, Variable Rate, 1 mo. LIBOR + .05%, 3.13%, due 12/06/13		18,800,000
	12,000,000	AmeriCredit Automobile Receivables Trust, Series 07-CM, Class A3B, MBIA, Variable Rate, 1 mo. LIBOR + .03%, 3.22%, due 05/07/12		10,947,444
	17,000,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, Variable Rate, 1 mo. LIBOR + .80%, 3.99%, due 06/06/14		15,790,728
	31,000,000	AmeriCredit Prime Automobile Receivables Trust, Series 07-2M, Class A4B, MBIA, Variable Rate, 1 mo. LIBOR + .50%, 3.69%, due 03/08/16		27,401,830
	30,000,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 05/20/10		28,006,510
	6,500,560	Capital One Auto Finance Trust, Series 04-A, Class A4, AMBAC, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 03/15/11		6,211,490
	5,535,997	Capital One Auto Finance Trust, Series 04-B, Class A4, MBIA, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 08/15/11		5,258,817
	37,000,000	Capital One Auto Finance Trust, Series 06-A, Class A4, AMBAC, Variable Rate, 1 mo. LIBOR + .01%, 3.13%, due 12/15/12		34,525,625
	29,000,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 07/15/13		27,415,730
	8,000,000	Capital One Auto Finance Trust, Series 07-A, Class A4, AMBAC, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 11/15/13		7,108,240
	28,000,000	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, Variable Rate, 1 mo. LIBOR + .51%, 3.63%, due 04/16/12		25,753,560
	9,000,000	Hertz Vehicle Financing LLC, Series 05-1A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 02/25/10		8,549,081
	2,000,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A3, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .20%, 3.34%, due 02/25/11		1,808,260
	10,000,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A5, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 11/25/11		8,477,208
	10,000,000	Rental Car Finance Corp., Series 04-1A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 06/25/09		9,894,320
	50,000,000	Santander Drive Auto Receivables Trust, Series 07-1, Class A4, FGIC, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 09/15/14		40,322,197
	29,500,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, Variable Rate, 1 mo. LIBOR + .65%, 3.77%, due 10/15/14		25,277,960
	65,000,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, Variable Rate, 1 mo. LIBOR + 1.20%, 4.33%, due 07/14/14		64,246,000

See accompanying notes to the financial statements.

11

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	8,740,000	UPFC Auto Receivables Trust, Series 06-B, Class A3, AMBAC, 5.01%, due 08/15/12		8,652,600
		Total Insured Auto Financing		452,885,909
		Insured Business Loans — 0.1%
	4,526,144	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 3.58%, due 10/25/30		4,337,139
	1,827,743	Golden Securities Corp., Series 03-A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .30%, 3.56%, due 12/02/13		1,823,375
		Total Insured Business Loans		6,160,514
		Insured Credit Cards — 0.4%
	35,000,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 03/15/11		33,966,798
		Insured High Yield Collateralized Debt Obligations — 0.6%
	25,576,923	Augusta Funding Ltd., Series 10A, Class F-1, 144A, CapMAC, Variable Rate, 3 mo. LIBOR +.25%, 5.33%, due 06/30/17		25,001,442
	1,086,305	Cigna CBO Ltd, Series 96-1, Class A2, 144A, Variable Rate, CapMAC, 6.46%, due 11/15/08		1,086,305
	10,000,000	GSC Partners CDO Fund Ltd, Series 03-4A, Class A3, 144A, AMBAC, Variable Rate, 3 mo. LIBOR + .46%, 4.39%, due 12/16/15		9,812,000
	8,991,902	GSC Partners CDO Fund Ltd, Series 2A, Class A, 144A, FSA, Variable Rate, 6 mo. LIBOR + .52%, 5.37%, due 05/22/13		8,345,190
		Total Insured High Yield Collateralized Debt Obligations		44,244,937
		Insured Other — 1.8%
	30,000,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		26,493,406
	60,000,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		51,861,048
	18,492,878	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 09/15/41		14,624,353
	17,761,817	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 12/15/41		14,077,305

See accompanying notes to the financial statements.

12

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Other — continued
	26,559,540	TIB Card Receivables Fund, 144A, FGIC, Variable Rate, 3 mo. LIBOR + .25%, 4.90%, due 01/05/14		25,380,296
	3,488,000	Toll Road Investment Part II, Series B, 144A, MBIA, Zero Coupon, due 02/15/30		735,305
	35,000,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		4,433,100
		Total Insured Other		137,604,813
		Insured Residential Asset-Backed Securities (European) — 0.0%
GBP	337,521	RMAC, Series 03-NS2A, Class A2A, 144A, AMBAC, Variable Rate, 3 mo. GBP LIBOR + .40%, 7.03%, due 09/12/35		670,537
		Insured Residential Asset-Backed Securities (United States) — 0.1%
	4,819,346	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, Variable Rate, 1 mo. LIBOR + .21%, 3.33%, due 07/25/34		4,218,374
	5,450,256	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .38%, 3.52%, due 12/25/33		4,626,177
	338,824	Quest Trust, Series 03-X4A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .43%, 3.57%, due 12/25/33		288,001
	1,418,024	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .33%, 3.47%, due 03/25/34		1,267,288
		Total Insured Residential Asset-Backed Securities (United States)		10,399,840
		Insured Residential Mortgage-Backed Securities (United States) — 0.7%
	931,654	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .34%, 3.48%, due 10/25/34		745,323
	2,152,419	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .33%, 3.47%, due 01/25/35		1,721,935
	31,078,145	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 11/15/32		25,333,770
	10,000,000	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + .23%, 3.37%, due 10/25/34		9,792,578
	1,052,848	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .23%, 3.60%, due 07/25/29		879,115
	958,820	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .28%, 3.68%, due 08/15/30		815,642

See accompanying notes to the financial statements.

13

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	2,203,804	Lehman ABS Corp., Series 04-2, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .22%, 3.58%, due 06/25/34		1,851,195
	724,063	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, Variable Rate, 1 mo. LIBOR + .29%, 3.43%, due 12/25/32		624,504
	6,681,158	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, Variable Rate, 1 mo. LIBOR + .19%, 3.31%, due 11/25/35		6,013,042
	3,912,101	Wachovia Asset Securitization, Inc., Series 02-HE1, Class A, AMBAC, Variable Rate, 1 mo. LIBOR + .37%, 3.51%, due 09/27/32		3,531,088
	3,767,923	Wachovia Asset Securitization, Inc., Series 04-HE1, Class A, MBIA, Variable Rate, 1 mo. LIBOR + .22%, 3.36%, due 06/25/34		3,403,592
		Total Insured Residential Mortgage-Backed Securities (United States)		54,711,784
		Insured Time Share — 0.7%
	2,673,670	Cendant Timeshare Receivables Funding LLC, Series 04-1A, Class A2, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .18%, 3.29%, due 05/20/16		2,389,803
	5,469,361	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 05/20/17		5,014,721
	9,086,393	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 05/20/18		7,694,994
	9,152,906	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, Variable Rate, 1 mo. LIBOR + .15%, 3.26%, due 03/20/19		8,140,366
	32,253,704	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, Variable Rate, 1 mo. LIBOR + 1.00%, 4.12%, due 09/20/19		27,797,887
		Total Insured Time Share		51,037,771
		Insured Transportation — 0.1%
	9,250,000	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .30%, 3.42%, due 04/17/19		8,301,875
		Investment Grade Corporate Collateralized Debt Obligations — 3.0%
	20,000,000	Counts Trust, Series 04-2, 144A, Variable Rate, 3 mo. LIBOR + .95%, 5.88%, due 09/20/09		19,601,000
	10,000,000	Morgan Stanley ACES SPC, Series 04-12, Class A, 144A, Variable Rate, 3 mo. LIBOR + .60%, 3.70%, due 08/05/09		9,415,000
	7,000,000	Morgan Stanley ACES SPC, Series 04-12, Class I, 144A, Variable Rate, 3 mo. LIBOR + 0.80%, 3.90%, due 08/05/09		6,405,000

See accompanying notes to the financial statements.

14

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Investment Grade Corporate Collateralized Debt Obligations — continued
	6,000,000	Morgan Stanley ACES SPC, Series 04-15, Class I, 144A, Variable Rate, 3 mo. LIBOR + .45%, 5.38%, due 12/20/09		5,673,000
	11,000,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, Variable Rate, 3 mo. LIBOR + .65%, 5.58%, due 12/20/09		9,933,000
	3,000,000	Morgan Stanley ACES SPC, Series 04-15, Class III, 144A, Variable Rate, 3 mo. LIBOR + .75%, 5.68%, due 12/20/09		2,595,000
	16,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .52%, 5.45%, due 03/20/10		14,472,000
	30,000,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, Variable Rate, 3 mo. LIBOR + .40%, 5.33%, due 12/20/10		27,600,000
	16,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .45%, 5.38%, due 03/20/10		14,728,000
	46,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, Variable Rate, 3 mo. LIBOR + .29%, 5.22%, due 06/20/13		33,276,400
	15,000,000	Prism Orso Trust, Series 04-MAPL, Class CERT, 144A, Variable Rate, 3 mo. LIBOR + .70%, 5.63%, due 08/01/11		13,902,000
	49,000,000	Reve SPC, 144A, Variable Rate, 3 mo. LIBOR + .22%, 5.15%, due 03/20/14		40,425,000
	30,000,000	Salisbury International Investments Ltd., Series EMTN, Variable Rate, 3 mo. LIBOR + .42%, 5.35%, due 06/22/10		28,989,000
		Total Investment Grade Corporate Collateralized Debt Obligations		227,014,400
		Rate Reduction Bonds — 1.0%
	2,078,523	Connecticut RRB Special Purpose Trust CL&P-1, Series 01-1, Class A4, Variable Rate, 3 mo. LIBOR + .31%, 5.14%, due 12/30/10		2,073,327
	23,000,000	Massachusetts RRB Special Purpose Trust, Series 05-1, Class A3, 4.13%, due 09/15/13		23,304,520
	30,000,000	PG&E Energy Recovery Funding LLC, Series 05-1, Class A4, 4.37%, due 06/25/14		29,850,000
	18,794,586	PG&E Energy Recovery Funding LLC, Series 05-2, Class A1, 4.85%, due 06/25/11		18,953,025
	6,318,850	PSE&G Transition Funding LLC, Series 01-1, Class A4, Variable Rate, 3 mo. LIBOR + .30%, 5.29%, due 06/15/11		6,304,443
		Total Rate Reduction Bonds		80,485,315

See accompanying notes to the financial statements.

15

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — 17.7%
	5,212,273	Accredited Mortage Loan Trust, Series 07-1, Class A1, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 02/25/37		5,016,676
	1,119,337	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, Variable Rate, 1 mo. LIBOR + .39%, 3.53%, due 01/25/35		1,018,815
	6,419,401	ACE Securities Corp., Series 05-AG1, Class A2B, Variable Rate, 1 mo. LIBOR + .21%, 3.33%, due 08/25/35		6,074,229
	7,013,541	ACE Securities Corp., Series 05-ASP1, Class A2B, Variable Rate, 1 mo. LIBOR + .21%, 3.35%, due 09/25/35		6,524,697
	7,000,000	ACE Securities Corp., Series 05-ASP1, Class A2C, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 09/25/35		5,791,660
	5,084,416	ACE Securities Corp., Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + .14%, 3.28%, due 02/25/36		3,050,650
	36,409,000	ACE Securities Corp., Series 06-ASP1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 3.29%, due 12/25/35		34,115,233
	30,000,000	ACE Securities Corp., Series 06-ASP2, Class A2B, Variable Rate, 1 mo. LIBOR + .14%, 3.28%, due 03/25/36		27,849,900
	10,000,000	ACE Securities Corp., Series 06-ASP2, Class A2C, Variable Rate, 1 mo. LIBOR + .18%, 3.32%, due 03/25/36		8,531,300
	17,000,000	ACE Securities Corp., Series 06-ASP4, Class A2B, Variable Rate, 1 mo. LIBOR + .10%, 3.24%, due 08/25/36		15,148,700
	24,000,000	ACE Securities Corp., Series 06-ASP5, Class A2C, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 10/25/36		19,562,880
	4,145,404	ACE Securities Corp., Series 06-CW1, Class A2A, Variable Rate, 1 mo. LIBOR + .05%, 3.17%, due 07/25/36		4,018,223
	22,000,000	ACE Securities Corp., Series 06-CW1, Class A2B, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 07/25/36		20,067,520
	7,000,000	ACE Securities Corp., Series 06-HE2, Class A2C, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 05/25/36		5,768,350
	17,500,000	ACE Securities Corp., Series 06-HE3, Class A2B, Variable Rate, 1 mo. LIBOR + .09%, 3.21%, due 06/25/36		16,047,325
	13,000,000	ACE Securities Corp., Series 06-OP1, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.29%, due 04/25/36		10,328,500
	6,625,191	ACE Securities Corp., Series 06-SL1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 09/25/35		4,306,374
	14,097,727	ACE Securities Corp., Series 06-SL3, Class A1, Variable Rate, 1 mo. LIBOR + .10%, 3.22%, due 06/25/36		5,639,091

See accompanying notes to the financial statements.

16

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	14,036,000	ACE Securities Corp., Series 06-SL3, Class A2, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 06/25/36		4,210,800
	34,668,278	ACE Securities Corp., Series 07-HE1, Class A2A, Variable Rate, 1 mo. LIBOR + .09%, 3.23%, due 01/25/37		30,242,872
	16,943,416	ACE Securities Corp., Series 07-WM1, Class A2A, Variable Rate, 1 mo. LIBOR + .07%, 3.19%, due 11/25/36		15,848,702
	1,821,915	Aegis Asset Backed Securities Trust, Series 05-5, Class 1A2, Variable Rate, 1 mo. LIBOR + .18%, 3.30%, due 12/25/35		1,816,504
	15,785,593	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .20%, 3.34%, due 05/25/37		6,314,237
	4,100,651	Argent Securities, Inc., Series 04-W8, Class A5, Variable Rate, 1 mo. LIBOR + .52%, 3.66%, due 05/25/34		3,247,203
	75,067,000	Argent Securities, Inc., Series 06-M1, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 07/25/36		55,744,754
	18,000,000	Argent Securities, Inc., Series 06-M2, Class A2B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 09/25/36		16,775,820
	30,513,634	Argent Securities, Inc., Series 06-W2, Class A2B, Variable Rate, 1 mo. LIBOR + .19%, 3.31%, due 03/25/36		28,362,423
	6,000,000	Argent Securities, Inc., Series 06-W4, Class A2B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 05/25/36		5,799,660
	13,000,000	Argent Securities, Inc., Series 06-W5, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/36		10,873,281
	19,000,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 10/25/36		17,432,500
	13,500,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 10/25/36		11,141,719
	5,430,975	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, Variable Rate, 1 mo. LIBOR + .06%, 3.18%, due 11/25/36		5,247,679
	57,744,841	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .22%, 3.34%, due 05/25/37		53,810,974
	10,000,000	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 3.63%, due 05/28/39		9,808,548
	10,400,000	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .65%, 3.78%, due 05/28/39		10,275,270
	15,000,000	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .50%, 3.62%, due 02/28/40		13,875,000

See accompanying notes to the financial statements.

17

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	7,891,358	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 11/25/36		7,549,741
	10,000,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 11/25/36		7,000,000
	12,093,974	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 02/25/37		5,079,469
	39,000,000	Carrington Mortgage Loan Trust, Series 06-NC1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 3.30%, due 01/25/36		38,134,200
	9,610,865	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, Variable Rate, 1 mo. LIBOR + .12%, 3.26%, due 02/25/37		9,304,518
	47,000,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, Variable Rate, 1 mo. LIBOR + .20%, 3.34%, due 02/25/37		41,595,940
	2,812,026	Centex Home Equity, Series 05-C, Class AV3, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 06/25/35		2,801,481
	16,500,000	Centex Home Equity, Series 06-A, Class AV3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 06/25/36		14,285,700
	641,073	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, Variable Rate, 1 mo. LIBOR + .27%, 3.68%, due 04/25/33		592,993
	202,624	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, Variable Rate, 1 mo. LIBOR + .41%, 3.55%, due 10/25/34		157,864
	14,500,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 12/25/36		10,367,500
	5,303,236	Citigroup Mortgage Loan Trust, Inc., Series 06-WMC1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 3.29%, due 12/25/35		5,234,824
	46,500,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 02/25/37		41,490,359
	23,199,364	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 03/25/37		22,383,649
	13,287,504	Credit-Based Asset Servicing & Securitization, Series 06-RP1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .11%, 3.23%, due 04/25/36		12,872,270
	634,090	Equity One ABS, Inc., Series 04-1, Class AV2, Variable Rate, 1 mo. LIBOR + .30%, 3.44%, due 04/25/34		486,664
	18,500,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, Variable Rate, 1 mo. LIBOR + .16%, 3.30%, due 04/25/36		15,730,781
	9,219,596	Fremont Home Loan Trust, Series 06-A, Class 1A2, Variable Rate, 1 mo. LIBOR + .19%, 3.33%, due 05/25/36		7,421,775

See accompanying notes to the financial statements.

18

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	10,000,000	Fremont Home Loan Trust, Series 06-B, Class 2A2, Variable Rate, 1 mo. LIBOR + .10%, 3.24%, due 08/25/36		9,600,000
	23,625,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 08/25/36		16,419,375
	20,497,697	GE-WMC Mortgage Securities, Series 05-2, Class A2B, Variable Rate, 1 mo. LIBOR + .17%, 3.29%, due 12/25/35		20,036,498
	19,000,000	GE-WMC Mortgage Securities, Series 06-1, Class A2B, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 08/25/36		15,027,100
	2,939,771	Home Equity Asset Trust, Series 05-4, Class 2A2, Variable Rate, 1 mo. LIBOR + .23%, 3.37%, due 10/25/35		2,910,374
	5,265,336	Household Home Equity Loan Trust, Series 05-2, Class A2, Variable Rate, 1 mo. LIBOR + .31%, 3.43%, due 01/20/35		4,807,087
	5,920,707	Household Home Equity Loan Trust, Series 05-3, Class A2, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 01/20/35		5,342,513
	18,176,742	Household Home Equity Loan Trust, Series 06-1, Class A1, Variable Rate, 1 mo. LIBOR + .16%, 3.27%, due 01/20/36		16,654,440
	5,271,576	IXIS Real Estate Capital Trust, Series 06-HE1, Class A2, Variable Rate, 1 mo. LIBOR + .14%, 3.28%, due 03/25/36		5,241,528
	38,000,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 12/25/36		31,612,200
	9,666,993	Long Beach Mortgage Loan Trust, Series 05-WL2, Class 3A1, Variable Rate, 1 mo. LIBOR + .18%, 3.32%, due 08/25/35		8,753,849
	10,000,000	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 10/25/35		9,000,000
	14,490,000	Master Asset-Backed Securities Trust, Series 06-AM3, Class A2, Variable Rate, 1 mo. LIBOR + .13%, 3.27%, due 10/25/36		13,403,250
	25,910,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 03/25/36		17,359,700
	14,300,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/36		9,867,000
	30,390,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 08/25/36		23,704,200
	17,000,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 10/25/36		11,560,000
	42,000,000	Master Asset-Backed Securities Trust, Series 06-WMC1, Class A2, Variable Rate, 1 mo. LIBOR + .11%, 3.25%, due 02/25/36		38,850,000

See accompanying notes to the financial statements.

19

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	10,267,067	Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 03/25/36		4,517,509
	29,517,584	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, Variable Rate, 1 mo. LIBOR + .12%, 3.26%, due 02/25/37		28,276,923
	5,679,211	Morgan Stanley ABS Capital I, Series 04-SD1, Class A, Variable Rate, 1 mo. LIBOR + .40%, 3.54%, due 08/25/34		5,310,063
	40,000,000	Morgan Stanley ABS Capital I, Series 07-HE4, Class A2C, Variable Rate, 1 mo. LIBOR + .23%, 3.37%, due 02/25/37		30,200,000
	27,500,000	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 04/25/36		21,312,500
	23,476,386	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, Variable Rate, 1 mo. LIBOR + .10%, 3.24%, due 04/25/37		22,478,639
	11,500,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 11/25/36		8,797,500
	16,016,000	Nomura Home Equity Loan, Inc., Series 06-FM1, Class 2A2, Variable Rate, 1 mo. LIBOR + .16%, 3.30%, due 11/25/35		15,542,402
	809,522	Option One Mortgage Loan Trust, Series 05-3, Class A4, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 08/25/35		777,774
	3,068,881	People's Choice Home Loan Securities Trust, Series 05-3, Class 1A2, Variable Rate, 1 mo. LIBOR + .27%, 3.39%, due 08/25/35		2,915,775
	17,919,917	People's Choice Home Loan Securities Trust, Series 05-4, Class 1A2, Variable Rate, 1 mo. LIBOR + .26%, 3.38%, due 12/25/35		16,038,326
	1,474,720	RAAC Series Trust, Series 05-RP3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 05/25/39		1,465,297
	24,235,000	RAAC Series Trust, Series 06-SP1, Class A2, Variable Rate, 1 mo. LIBOR + .19%, 3.33%, due 09/25/45		23,545,817
	7,664,240	Residential Asset Mortgage Products, Inc., Series 05-RS4, Class A3, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 04/25/35		7,018,767
	7,486,962	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, Variable Rate, 1 mo. LIBOR + .29%, 3.43%, due 10/25/33		7,178,125
	50,000,000	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class Al3, FGIC, Variable Rate, 1 mo. LIBOR + .22%, 3.36%, due 11/25/35		46,415,000
	19,386,897	Residential Asset Securities Corp., Series 07-KS3, Class AI1, Variable Rate, 1 mo. LIBOR + .11%, 3.25%, due 02/25/30		18,652,134
	279,557	Saxon Asset Securities Trust, Series 04-1, Class A, Variable Rate, 1 mo. LIBOR + .27%, 3.68%, due 03/25/35		209,667

See accompanying notes to the financial statements.

20

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	9,000,000	Securitized Asset Backed Receivables LLC, Series 06-NC1, Class A2, Variable Rate, 1 mo. LIBOR + .16%, 3.30%, due 03/25/36		8,105,182
	9,117	Security National Mortgage Loan Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 02/25/36		9,042
	8,061,229	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 10/25/36		7,779,086
	5,715,807	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, Variable Rate, 1 mo. LIBOR + .26%, 3.38%, due 10/25/35		5,376,402
	7,188,976	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, Variable Rate, 1 mo. LIBOR + .12%, 3.24%, due 01/25/37		6,827,280
	20,000,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 06/25/37		17,800,000
	13,000,000	Structured Asset Investment Loan Trust, Series 06-1, Class A3, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 01/25/36		11,315,391
	12,624,136	Structured Asset Securities Corp., Series 05-S6, Class A2, Variable Rate, 1 mo. LIBOR + .29%, 3.41%, due 11/25/35		11,701,373
	29,416,076	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .40%, 3.54%, due 06/25/37		27,945,273
		Total Residential Asset-Backed Securities (United States)		1,359,838,158
		Residential Mortgage-Backed Securities (Australian) — 3.5%
	9,534,095	Australian Mortgage Securities II, Series G3, Class A1A, Variable Rate, 3 mo. LIBOR + .21%, 4.72%, due 01/10/35		9,319,673
	10,031,544	Crusade Global Trust, Series 04-2, Class A1, Variable Rate, 3 mo. LIBOR + .13%, 3.20%, due 11/19/37		8,653,310
	4,799,440	Crusade Global Trust, Series 05-1, Class A1, Variable Rate, 3 mo. LIBOR + .06%, 5.05%, due 06/17/37		4,579,866
	16,125,204	Crusade Global Trust, Series 06-1, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.95%, due 07/20/38		15,200,746
	26,328,548	Crusade Global Trust, Series 07-1, Class A1, Variable Rate, 3 mo. LIBOR + .06%, 3.95%, due 04/19/38		25,258,477
	7,583,634	Interstar Millennium Trust Series 03-3G, Class A2, Variable Rate, 3 mo. LIBOR + .25%, 5.11%, due 09/27/35		7,076,440
	7,713,693	Interstar Millennium Trust, Series 03-5G, Class A2, Variable Rate, 3 mo. LIBOR + .25%, 4.18%, due 01/20/36		6,675,352
	7,885,299	Interstar Millennium Trust, Series 04-2G, Class A, Variable Rate, 3 mo. LIBOR + .20%, 5.26%, due 03/14/36		6,711,257

See accompanying notes to the financial statements.

21

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	3,772,383	Interstar Millennium Trust, Series 05-1G, Class A, Variable Rate, 3 mo. LIBOR + .12%, 3.11%, due 12/08/36		3,387,486
	5,275,524	Medallion Trust, Series 03-1G, Class A, Variable Rate, 3 mo. LIBOR + .19%, 5.10%, due 12/21/33		5,108,606
	7,184,698	Medallion Trust, Series 04-1G, Class A1, Variable Rate, 3 mo. LIBOR + .13%, 3.22%, due 05/25/35		6,698,293
	3,844,214	Medallion Trust, Series 05-1G, Class A1, Variable Rate, 3 mo. LIBOR + .08%, 3.18%, due 05/10/36		3,688,215
	18,138,482	Medallion Trust, Series 06-1G, Class A1, Variable Rate, 3 mo. LIBOR + .05%, 5.11%, due 06/14/37		17,192,923
	12,091,457	Medallion Trust, Series 07-1G, Class A1, Variable Rate, 3 mo. LIBOR + .04%, 3.13%, due 02/27/39		11,504,175
	11,115,338	National RMBS Trust, Series 04-1, Class A1, Variable Rate, 3 mo. LIBOR + .11%, 5.04%, due 03/20/34		10,610,702
	26,490,898	National RMBS Trust, Series 06-3, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .07%, 3.96%, due 10/20/37		25,099,066
	29,144,400	Puma Finance Ltd., Series G5, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .07%, 3.14%, due 02/21/38		26,737,073
	31,633,670	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, Variable Rate, 3 mo. LIBOR + .06%, 5.19%, due 12/12/35		29,971,795
	3,399,001	Superannuation Members Home Loans Global Fund, Series 4A, Class A, Variable Rate, 3 mo. LIBOR + .22%, 4.76%, due 10/09/29		3,280,036
	1,829,278	Superannuation Members Home Loans Global Fund, Series 6, Class A, Variable Rate, 3 mo. LIBOR + .16%, 3.26%, due 11/09/35		1,614,868
	4,092,489	Superannuation Members Home Loans Global Fund, Series 7, Class A1, Variable Rate, 3 mo. LIBOR + .14%, 3.13%, due 03/09/36		3,986,624
	3,590,379	Superannuation Members Home Loans Global Fund, Series 8, Class A1, Variable Rate, 3 mo. LIBOR + .07%, 4.45%, due 01/12/37		3,127,220
	10,534,039	Westpac Securitization Trust, Series 05-1G, Class A1, Variable Rate, 3 mo. LIBOR + .07%, 4.95%, due 03/23/36		10,092,979
	25,843,486	Westpac Securitization Trust, Series 07-1G, Class A2A, Variable Rate, 3 mo. LIBOR + .05%, 3.12%, due 05/21/38		23,016,467
		Total Residential Mortgage-Backed Securities (Australian)		268,591,649

See accompanying notes to the financial statements.

22

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — 5.4%
	16,600,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, Variable Rate, 3 mo. LIBOR + .11%, 5.04%, due 09/20/66		16,236,460
	20,000,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, Variable Rate, 3 mo. LIBOR + .09%, 5.02%, due 03/20/30		19,288,000
	16,000,000	Arkle Master Issuer Plc, Series 06-1A, Class 3A, 144A, Variable Rate, 3 mo. LIBOR + .05%, 3.12%, due 08/17/11		15,560,160
	16,000,000	Arkle Master Issuer Plc, Series 06-1A, Class 4A1, 144A, Variable Rate, 3 mo. LIBOR + .09%, 3.16%, due 02/17/52		15,168,000
	1,058,516	Arran Residential Mortgages Funding Plc, Series 06-1A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + .02%, 2.96%, due 04/12/36		1,052,895
	40,000,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, Variable Rate, 3 mo. LIBOR + .10%, 4.48%, due 01/13/39		37,460,000
	8,969,565	Gracechurch Mortgage Financing Plc, Series 06-1, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .03%, 3.10%, due 11/20/31		8,917,542
	6,581,352	Gracechurch Mortgage Funding Plc, Series 1A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .07%, 4.51%, due 10/11/41		6,405,959
	15,000,000	Granite Master Issuer Plc, Series 06-2, Class A4, Variable Rate, 3 mo. LIBOR + .04%, 3.93%, due 12/20/54		14,221,950
	4,658,689	Granite Master Issuer Plc, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + .03%, 3.14%, due 12/20/30		4,565,515
	9,727,112	Granite Mortgages Plc, Series 04-3, Class 2A1, Variable Rate, 3 mo. LIBOR + .14%, 5.07%, due 09/20/44		9,325,966
	49,000,000	Holmes Financing Plc, Series 10A, Class 4A1, 144A, Variable Rate, 3 mo. LIBOR + .08%, 4.34%, due 07/15/40		47,216,890
	4,744,101	Kildare Securities Ltd., Series 07-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .02%, 3.01%, due 06/10/14		4,740,780
	30,000,000	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, Variable Rate, 3 mo. LIBOR + .06%, 3.05%, due 12/10/43		29,628,000
	2,905,800	Leek Finance Plc, Series 14A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .18%, 5.09%, due 09/21/36		2,869,478
	7,238,750	Leek Finance Plc, Series 15A, Class AB, 144A, Variable Rate, 3 mo. LIBOR + .14%, 5.05%, due 03/21/37		7,112,072
	7,705,890	Leek Finance Plc, Series 17A, Class A2B, 144A, Variable Rate, 3 mo. LIBOR + .14%, 5.05%, due 03/23/09		7,582,596
	7,274,200	Lothian Mortgages Master Issuer Plc, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR - .03%, 3.12%, due 01/24/28		7,253,105

See accompanying notes to the financial statements.

23

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	633,949	Lothian Mortgages Plc, Series 3A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + .14%, 3.86%, due 07/24/19		632,166
	14,000,000	Mound Financing Plc, Series 5A, Class 2A, 144A, Variable Rate, 3 mo. LIBOR + .04%, 3.17%, due 05/08/16		13,632,500
	17,691,904	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, Variable Rate, 3 mo. LIBOR + .11%, 3.18%, due 11/15/38		15,772,509
	10,507,883	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, Variable Rate, 3 mo. LIBOR, 5.09%, due 09/15/39		9,392,261
	9,603,710	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR, 3.28%, due 05/15/34		9,069,648
	40,000,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, Variable Rate, 3 mo. LIBOR + .10%, 3.19%, due 02/12/16		38,696,000
	8,640,000	Permanent Financing Plc, Series 4, Class 3A, Variable Rate, 3 mo. LIBOR + .14%, 3.13%, due 03/10/24		8,539,128
	25,040,000	Permanent Financing Plc, Series 8, Class 2A, Variable Rate, 3 mo. LIBOR + .07%, 3.06%, due 06/10/14		24,917,304
	8,000,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, Variable Rate, 3 mo. LIBOR + .08%, 4.34%, due 10/15/33		7,589,600
	28,207,183	RMAC Securities Plc, Series 06-NS4A, Class A1B, 144A, Variable Rate, 3 mo. LIBOR + .07%, 5.20%, due 06/12/25		28,122,562
		Total Residential Mortgage-Backed Securities (European)		410,969,046
		Residential Mortgage-Backed Securities (United States) — 0.1%
	1,272,812	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.44%, due 08/25/35		1,018,250
	2,284,925	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 07/25/30		2,250,651
	4,847,018	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + .25%, 3.37%, due 02/26/34		4,198,730
		Total Residential Mortgage-Backed Securities (United States)		7,467,631
		Student Loans — 4.9%
	22,000,000	College Loan Corp. Trust, Series 04-1, Class A2, Variable Rate, 3 mo. LIBOR + .11%, 3.44%, due 04/25/16		21,920,938
	2,925,926	College Loan Corp. Trust, Series 05-1, Class A1, Variable Rate, 3 mo. LIBOR + .03%, 3.36%, due 01/25/14		2,923,878

See accompanying notes to the financial statements.

24

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Student Loans — continued
	15,500,000	College Loan Corp. Trust, Series 06-1, Class A2, Variable Rate, 3 mo. LIBOR + .02%, 3.35%, due 04/25/22		15,224,100
	7,720,000	College Loan Corp. Trust, Series 07-1, Class A1, Variable Rate, 3 mo. LIBOR + .01%, 3.34%, due 01/25/23		7,593,392
	26,000,000	College Loan Corp. Trust, Series 07-2, Class A1, Variable Rate, 3 mo. LIBOR + .25%, 3.58%, due 01/25/24		25,748,125
	1,548,408	Collegiate Funding Services Education Loan Trust I, Series 05-A, Class A1, Variable Rate, 3 mo. LIBOR + .02%, 4.86%, due 09/29/14		1,548,166
	10,808,927	Goal Capital Funding Trust, Series 06-1, Class A1, Variable Rate, 3 mo. LIBOR, 3.09%, due 08/25/20		10,728,077
	7,813,192	Goal Capital Funding Trust, Series 07-1, Class A1, Variable Rate, 3 mo. LIBOR + .02%, 4.88%, due 06/25/21		7,757,035
	8,514,043	Keycorp Student Loan Trust, Series 05-A, Class 2A1, Variable Rate, 3 mo. LIBOR + .05%, 4.91%, due 09/27/21		8,373,987
	6,461,830	Montana Higher Education Student Assistance Corp., Series 05-1, Class A, Variable Rate, 3 mo. LIBOR + .04%, 4.97%, due 06/20/15		6,383,642
	21,000,000	National Collegiate Student Loan Trust, Series 06-1, Class A2, Variable Rate, 1 mo. LIBOR + .14%, 3.26%, due 08/25/23		20,084,531
	23,468,924	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .08%, 3.20%, due 08/26/19		22,694,449
	20,000,000	Nelnet Education Loan Funding, Inc., Series 04-2A, Class A3, Variable Rate, 3 mo. LIBOR + .10%, 3.19%, due 11/25/15		19,792,600
	37,000,000	Nelnet Student Loan Trust, Series 05-3, Class A3, Variable Rate, 3 mo. LIBOR + .05%, 4.93%, due 06/22/17		36,739,844
	26,425,826	SLM Student Loan Trust, Series 05-1, Class A2, Variable Rate, 3 mo. LIBOR + .08%, 3.41%, due 04/27/20		25,368,793
	863,282	SLM Student Loan Trust, Series 05-10, Class A2, Variable Rate, 3 mo. LIBOR + .01%, 3.34%, due 04/25/15		862,742
	17,000,000	SLM Student Loan Trust, Series 05-3, Class A3, Variable Rate, 3 mo. LIBOR + .03%, 3.36%, due 07/25/16		16,490,000
	30,000,000	SLM Student Loan Trust, Series 05-3, Class A4, Variable Rate, 3 mo. LIBOR + .07%, 3.40%, due 04/27/20		29,175,000
	36,000,000	SLM Student Loan Trust, Series 06-A, Class A2, Variable Rate, 3 mo. LIBOR + .03%, 4.29%, due 10/15/15		35,640,000
	31,000,000	SLM Student Loan Trust, Series 07-2, Class A2, Variable Rate, 3 mo. LIBOR, 3.33%, due 07/25/17		30,418,750

See accompanying notes to the financial statements.

25

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Student Loans — continued
	1,912,533	SLM Student Loan Trust, Series 07-5, Class A1, Variable Rate, 3 mo. LIBOR - .01%, 3.32%, due 07/25/13		1,902,073
	7,500,000	SLM Student Loan Trust, Series 07-6, Class A2, Variable Rate, 3 mo. LIBOR + .25%, 3.58%, due 01/25/19		7,311,000
	19,325,099	SLM Student Loan Trust, Series 07-A, Class A1, Variable Rate, 3 mo. LIBOR, 5.02%, due 09/15/22		18,358,844
		Total Student Loans		373,039,966
		Trade Receivables — 0.9%
	55,000,000	ABS Global Finance Plc, Series 06-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .10%, 2.92%, due 12/17/10		54,087,000
	13,000,000	SSCE Funding LLC, Series 04-1A, Class A, 144A, Variable Rate, 1 mo. LIBOR + .23%, 3.35%, due 11/15/10		11,960,000
		Total Trade Receivables		66,047,000
		Total Asset-Backed Securities		6,844,840,762
		Corporate Debt — 0.7%
JPY	3,000,000,000	MBIA Global Funding LLC, Series EMTN, Variable Rate, JPY LIBOR, 1.03%, due 06/30/08		28,602,368
	22,000,000	TIAA Global Markets, 144A, Variable Rate, 3 mo. LIBOR + .10%, 4.48%, due 01/12/11		21,789,052
		Total Corporate Debt		50,391,420
		U.S. Government — 0.2%
	3,000,000	U.S. Treasury Note, 4.63%, due 03/31/08 (a)		2,999,175
	5,000,000	U.S. Treasury Note, 3.13%, due 09/15/08 (a)		5,035,156
	9,000,000	U.S. Treasury Note, 2.63%, due 05/15/08 (a)		9,012,656
		Total U.S. Government		17,046,987
		U.S. Government Agency — 0.9%
	10,928,000	Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR, 3.00%, due 07/01/23		10,859,809
	804,356	Agency for International Development Floater (Support of Honduras), Variable Rate, 3 mo. U.S. Treasury Bill x 117%, 4.11%, due 10/01/11		799,833

See accompanying notes to the financial statements.

26

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($) / Shares		Description	Value ($)
		U.S. Government Agency — continued
	14,250,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + .15%, 3.15%, due 10/29/26		14,232,330
	600,000	Agency for International Development Floater (Support of Belize), Variable Rate, 6 mo. U.S. Treasury Bill + .50%, 2.63%, due 01/01/14		600,006
	666,668	Agency for International Development Floater (Support of Zimbabwe), Variable Rate, 3 mo. U.S. Treasury Bill x 115%, 4.04%, due 01/01/12		659,585
	371,085	Agency for International Development Floater (Support of Peru), Series A, Variable Rate, 6 mo. U.S. Treasury Bill + .35%, 2.48%, due 05/01/14		369,233
	1,049,886	Agency for International Development Floater (Support of Peru), Series A, Variable Rate, 6 mo. U.S. Treasury Bill +.35%, 2.48%, due 05/01/14		1,044,647
	14,250,000	Agency for International Development Floater (Support of India), Variable Rate, 3 mo. LIBOR + .10%, 3.34%, due 02/01/27		14,161,080
	2,087,500	Agency for International Development Floater (Support of C.A.B.E.I.), Variable Rate, 6 mo. U.S. Treasury Bill + .40%, 2.53%, due 10/01/12		2,082,302
	784,560	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. U.S. Treasury Bill + .45%, 2.58%, due 11/15/14		781,625
	3,615,987	Agency for International Development Floater (Support of Jamaica), Variable Rate, 6 mo. U.S. Treasury Bill + .75%, 2.88%, due 03/30/19		3,631,861
	17,000,000	Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - .015%, 2.98%, due 02/01/25		16,798,142
		Total U.S. Government Agency		66,020,453
		TOTAL DEBT OBLIGATIONS (COST $7,456,658,419)		6,978,299,622
		SHORT-TERM INVESTMENTS — 9.0%
		Money Market Funds — 1.6%
	121,924,841	State Street Institutional Liquid Reserves Fund-Institutional Class		121,924,841
		Other Short-Term Investments — 7.4%
	50,000,000	Amsterdam Funding Corp. Commercial Paper, 3.22%, due 03/10/08		49,959,750
	75,000,000	Barton Capital Commercial Paper, 3.27%, due 03/14/08		74,911,437
	34,279,000	Kittyhawk Funding Corp. Commercial Paper, 3.27%, due 03/19/08		34,222,954
	25,000,000	Liberty Funding LLC Commercial Paper, 3.25%, due 03/07/08		24,986,458
	50,000,000	Liberty Funding LLC Commercial Paper, 3.35%, due 03/25/08		49,888,333
	75,000,000	Nieuw Amsterdam Receivables Commercial Paper, 3.25%, due 03/18/08		74,884,896

See accompanying notes to the financial statements.

27

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value ($)		Description	Value ($)
		Other Short-Term Investments — continued
	30,000,000	Nieuw Amsterdam Receivables Commercial Paper, 3.30%, due 03/12/08		29,969,750
	100,000,000	Nieuw Amsterdam Receivables Commercial Paper, 3.40%, due 03/03/08		99,981,111
	30,333,000	Old Line Funding LLC Commercial Paper, 3.25%, due 03/03/08		30,327,523
	18,706,000	Old Line Funding LLC Commercial Paper, 3.30%, due 03/17/08		18,678,565
	75,000,000	Sheffield Receivables Commercial Paper, 3.25%, due 03/06/08		74,966,146
	2,000,000	U.S. Treasury Bill, 1.78%, due 05/22/08 (b)		1,991,956
	5,000,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (b)		4,964,645
		Total Other Short-Term Investments		569,733,524
		TOTAL SHORT-TERM INVESTMENTS (COST $691,643,575)		691,658,365
		TOTAL INVESTMENTS — 100.0% (Cost $8,148,301,994)		7,669,957,987
		Other Assets and Liabilities (net) — 0.0%		1,456,776
		TOTAL NET ASSETS — 100.0%	$	7,671,414,763

See accompanying notes to the financial statements.

28

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
3/25/08	GBP		10,000,000	$	19,843,200	$	(185,200	)
4/22/08	JPY		2,988,000,000		28,845,761		(1,071,082	)
						$	(1,256,282	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Sales
	579	U.S. Treasury Note 5 Yr. (CBT)	June 2008	$	66,150,750	$	(892,437	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default		Market Value
	60,000,000	USD	9/20/2010	Morgan Stanley	Receive		0.40	%	Credit Swap		$	(4,536,284	)
				Capital Services Inc.					Eagle Creek CDO
	31,000,000	USD	3/20/2013	Morgan Stanley Capital Services Inc.	Receive		0.25	%	MS Synthetic 2006-1			(4,453,652	)
	28,000,000	USD	3/20/2015	Lehman Brothers	Receive		0.88	%	Credit Swap AAA CDO			(6,671,404	)
						Premiums to (Pay) Receive			$	—	$	(15,661,340	)

See accompanying notes to the financial statements.

29

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	45,000,000	USD	3/4/2008	JP Morgan	(Pay)		3.10	%	3 month LIBOR		$	123,953	*
				Chase Bank
	40,000,000	USD	1/24/2011	Goldman Sachs	(Pay)		6.07	%	3 month LIBOR			1,219,090	**
	30,000,000	USD	2/7/2012	Deutsche Bank AG	(Pay)		4.33	%	3 month LIBOR			(1,426,254	)
	38,100,000	USD	2/24/2013	JP Morgan	(Pay)		4.54	%	3 month LIBOR			(1,660,431	)*
				Chase Bank
						Premiums to (Pay) Receive			$	—	$	(1,743,642	)

*  Excludes unrealized losses of $513,041 incurred by GMO Alpha LIBOR Fund prior to transfer to the Fund on March 31, 2004.

**  Excludes unrealized losses of $4,887,149 incurred by GMO Alpha LIBOR Fund prior to transfer to the Fund on November 27, 2002.

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

ACES - Aerolineas Centrales de Colombia

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

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

CapMAC - Insured as to the payment of principal and interest by Capital Markets Assurance Corporation.

CDO - Collateralized Debt Obligation

CMBS - Collateralized Mortgage Backed Security

EMTN - Euromarket Medium Term Note

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

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

LIBOR - London Interbank Offered Rate

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

RMAC - Residential Mortgage Acceptance Corp.

See accompanying notes to the financial statements.

30

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

RMBS - Residential Mortgage Backed Security

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

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

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

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

Currency Abbreviations:

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

See accompanying notes to the financial statements.

31

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $8,148,301,994) (Note 2)	$	7,669,957,987
Receivable for Fund shares sold		16,350,000
Interest receivable		20,512,341
Receivable for open swap contracts (Note 2)		15,848
Receivable for expenses reimbursed by Manager (Note 3)		96,890
Total assets		7,706,933,066
Liabilities:
Payable for Fund shares repurchased		10,300,000
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		8,690
Unrealized depreciation on open forward currency contracts (Note 2)		1,256,282
Interest payable for open swap contracts		133,968
Payable for open swap contracts (Note 2)		22,821,020
Payable for variation margin on open futures contracts (Note 2)		615,188
Accrued expenses		383,155
Total liabilities		35,518,303
Net assets	$	7,671,414,763
Net assets consist of:
Paid-in capital	$	8,162,231,630
Accumulated undistributed net investment income		44,272,074
Accumulated net realized loss		(37,186,473	)
Net unrealized depreciation		(497,902,468	)
	$	7,671,414,763
Net assets attributable to:	$	7,671,414,763
Shares outstanding:		319,302,054
Net asset value per share:	$	24.03

See accompanying notes to the financial statements.

32

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Interest	$	411,292,442
Dividends		2,197,347
Total investment income		413,489,789
Expenses:
Custodian, fund accounting agent and transfer agent fees		819,209
Audit and tax fees		64,917
Legal fees		200,064
Trustees fees and related expenses (Note 3)		72,655
Miscellaneous		68,199
Total expenses		1,225,044
Fees and expenses reimbursed by Manager (Note 3)		(1,090,039	)
Expense reductions (Note 2)		(17,498	)
Net expenses		117,507
Net investment income (loss)		413,372,282
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		3,932,724
Closed futures contracts		(5,787,157	)
Closed swap contracts		3,081,467
Foreign currency, forward contracts and foreign currency related transactions		(3,242,428	)
Net realized gain (loss)		(2,015,394	)
Change in net unrealized appreciation (depreciation) on:
Investments		(487,034,708	)
Open futures contracts		36,846
Open swap contracts		(26,083,894	)
Foreign currency, forward contracts and foreign currency related transactions		85,048
Net unrealized gain (loss)		(512,996,708	)
Net realized and unrealized gain (loss)		(515,012,102	)
Net increase (decrease) in net assets resulting from operations	$	(101,639,820	)

See accompanying notes to the financial statements.

33

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	413,372,282		$	320,575,277
Net realized gain (loss)		(2,015,394	)		(6,328,968	)
Change in net unrealized appreciation (depreciation)		(512,996,708	)		10,162,741
Net increase (decrease) in net assets from operations		(101,639,820	)		324,409,050
Distributions to shareholders from:
Net investment income		(418,731,518	)		(323,728,016	)
Net share transactions (Note 7):		1,588,185,799			2,122,606,885
Total increase (decrease) in net assets		1,067,814,461			2,123,287,919
Net assets:
Beginning of period		6,603,600,302			4,480,312,383
End of period (including accumulated undistributed net investment income of $44,272,074 and $52,429,506, respectively)	$	7,671,414,763		$	6,603,600,302

See accompanying notes to the financial statements.

34

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	25.66		$	25.60		$	25.33		$	25.18		$	25.01
Income (loss) from investment operations:
Net investment income (loss)†		1.38			1.43			1.01			0.59			0.56
Net realized and unrealized gain (loss)		(1.64	)		0.00	(a)		(0.03	)		(0.09	)		0.06	(b)
Total from investment operations		(0.26	)		1.43			0.98			0.50			0.62
Less distributions to shareholders:
From net investment income		(1.37	)		(1.37	)		(0.71	)		(0.34	)		(0.45	)
From net realized gains		—			—			—			(0.01	)		—
Total distributions		(1.37	)		(1.37	)		(0.71	)		(0.35	)		(0.45	)
Net asset value, end of period	$	24.03		$	25.66		$	25.60		$	25.33		$	25.18
Total Return(c)		(1.14	)%		5.68	%		3.89	%		2.01	%		2.48	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	7,671,415		$	6,603,600		$	4,480,312		$	3,483,889		$	1,751,535
Net operating expenses to average daily net assets(d)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Interest expense to average daily net assets		—			0.01	%		0.02	%		—			0.00	%(f)
Total net expenses to average daily net assets		0.00	%(e)		0.01	%		0.02	%		0.00	%(g)		0.00	%(g)
Net investment income to average daily net assets		5.41	%		5.50	%		3.96	%		2.31	%		2.51	%
Portfolio turnover rate		27	%		68	%		45	%		34	%		33	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.02	%		0.02	%		0.02	%

(a)  Net realized and unrealized gain (loss) was less than $0.01 per shares.

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

(c)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(d)  Net operating expenses were less than 0.01% to average daily net assets.

(e)  The net expense ratio does not include the effect of expense reductions.

(f)  Interest expense was less than 0.01% to average daily net assets.

(g)  Total net expenses were less than 0.01% to average daily net assets.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

35

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Short-Duration Collateral 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 Funds into classes.

The Fund seeks total return greater than that of the JPMorgan U.S. 3 Month Cash Index. The Fund seeks to achieve its investment objective by investing primarily in high quality U.S. and foreign floating rate fixed income securities. Fixed income securities in which the Fund invests include securities issued by a wide range of private issuers and, to a lesser extent, securities issued by federal, state, local, and foreign governments (including securities neither guaranteed nor insured by the U.S. government). The Fund may invest a substantial portion of its assets in asset-backed securities, including, but not limited to, securities backed by pools of residential and commercial mortgages, credit-card receivables, home equity loans, automobile loans, educational loans, corporate and sovereign bonds, and bank loans made to corporations. In addition, the Fund may invest in government securities, corporate debt securities, money market instruments, and commercial paper, and enter into credit default swaps, reverse repurchase agreements, and repurchase agreements. The Fund also may use exchange-traded and over-the-counter ("OTC") derivatives, including swap contracts, futures contracts, options on futures, options on swaps (or "swaptions"), and other types of options, and forward currency contracts. The Fund's fixed income securities primarily have floating interest rates (or may be hedged using derivatives to convert the fixed rate interest payments into floating rate interest payments), but may also include all types of interest rate, payment, and reset terms, including fixed rate, zero coupon, contingent, deferred, and payment-in-kind features. From time to time, the Fund may hold fixed income securities that are rated below investment grade.

Shares of the Fund are not publicly offered and are principally available only to other funds of the Trust and certain accredited investors.

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. The accounting records of the Fund are maintained in U.S. dollars.

36

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 32.05% of net assets.

The Fund invests in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

Foreign currency translation

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,

37

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of investment income and foreign withholding taxes recorded on the Fund's accounting records and the U.S. dollar equivalent amounts actually received or paid.

Forward currency contracts

The Fund may enter into forward currency contracts including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

38

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of

39

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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.

40

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Gains or losses are realized upon early termination of the swap agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund's expenses. There were no reverse repurchase agreements outstanding at the end of the period.

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

41

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions, differing treatment of accretion and amortization and capital loss carryforwards.

42

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(2,798,196	)	$	1,208,194	$	1,590,002

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	418,731,518	$	323,728,016
Total distributions	$	418,731,518	$	323,728,016

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 46,368,001

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $633,765.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2011	$	(29,576,884	)
2/29/2012		(142,552	)
2/28/2014		(614,650	)
2/28/2015		(5,952,458	)
2/29/2016		(1,158,601	)
Total	$	(37,445,145	)

43

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	8,148,649,258	$	5,265,256	$	(483,956,527	)	$	(478,691,271	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered

44

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO does not charge the Fund any management or service fees for its services. In addition, the Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $62,995 and $31,179, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	14,948,320	$	1,000,000
Investments (non-U.S. Government securities)		3,036,951,445		1,963,179,785

45

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 66.39% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Each of the shareholders are other funds of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties, and 99.99% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
	Shares			Amount			Shares			Amount
Shares sold		333,248,563		$	8,426,752,200			219,917,838		$	5,677,261,801
Shares issued to shareholders in reinvestment of distributions		16,958,629			418,731,518			12,712,127			323,728,016
Shares repurchased		(288,235,189	)		(7,257,297,919	)		(150,328,858	)		(3,878,382,932	)
Net increase (decrease)		61,972,003		$	1,588,185,799			82,301,107		$	2,122,606,885

46

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Short-Duration Collateral 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 Short-Duration Collateral Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

47

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, and (2) ongoing costs. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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(a)			Beginning Account Value		Ending Account Value		Net Expense Incurred*(a)
1) Actual		0.00	%	$	1,000.00	$	975.20	$	0.00
2) Hypothetical		0.00	%	$	1,000.00	$	1,024.86	$	0.00

(a)  Annualized net expense ratio rounds to less than 0.01% and net expense incurred rounds to less than $0.01.

*  Expenses are calculated using the annualized net expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

48

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $283,376,042 or if determined to be different, the qualified interest income of such year.

49

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 Office1 and 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– Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

50

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

51

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004– present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001– 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007– present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

52

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003– January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

53

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Shares of the GMO Short-Duration Collateral Share Fund returned -1.3% for the fiscal year ended February 29, 2008, compared with the +5.8% for the JPMorgan U.S. 3 Month Cash Index. The Fund underperformed the benchmark during the fiscal year by 7.1%.

The fiscal year's underperformance stemmed from mark-to-market losses in the GMO Short-Duration Collateral Fund (SDCF), the cash collateral pool in which the Fund invests a substantial portion of its total assets. SDCF primarily invests in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, seeking to earn a LIBOR-type return.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, SDCF underperformed LIBOR by nearly 700 basis points, directly contributing to the Short-Duration Collateral Share Fund's underperformance given the latter's 99% exposure to the former.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

*  Class III performance information represents Class VI performance from March 1, 2006 to December 28, 2006 and Class III performance thereafter.

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.0	%
Short-Term Investments		9.0
Futures		(0.0	)
Forward Currency Contracts		(0.0	)
Swaps		(0.2	)
Other		0.2
		100.0	%

*  The table above incorporates aggregate indirect asset class exposure associated with investments in GMO Short-Duration Collateral Fund.

1

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Industry Sector Summary**	% of Debt Obligations
Credit Cards		19.8	%
Residential Asset-Backed Securities (United States)		19.5
Auto Financing		9.3
Business Loans		6.7
Insured Auto Financing		6.5
Residential Mortgage-Backed Securities (European)		5.9
Student Loans		5.3
CMBS		5.2
Residential Mortgage-Backed Securities (Australian)		3.9
Investment Grade Corporate Collateralized Debt Obligations		3.3
Insured Other		2.0
CMBS Collateralized Debt Obligations		1.4
Equipment Leases		1.3
Bank Loan Collateralized Debt Obligations		1.2
Rate Reduction Bonds		1.2
Trade Receivables		1.0
U.S. Government Agency		1.0
Insurance Premiums		0.8
Insured Residential Mortgage-Backed Securities (United States)		0.8
Corporate Debt		0.7
Insured Time Share		0.7
Insured High Yield Collateralized Debt Obligations		0.6
Insured Credit Cards		0.5
Airlines		0.4
U.S. Government		0.2
Emerging Markets Collateralized Debt Obligations		0.2
Insured Residential Asset-Backed Securities (United States)		0.2
ABS Collateralized Debt Obligations		0.1
Insured Transportation		0.1
Residential Mortgage-Backed Securities (United States)		0.1
Insured Business Loans		0.1
Collateralized Loan Obligations		0.0
High Yield Collateralized Debt Obligations		0.0
Insured Residential Asset-Backed Securities (European)		0.0
		100.0	%

**  The table above incorporates aggregate industry sector exposure associated with investments in GMO Short-Duration Collateral Fund.

2

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.4%
		Affiliated Issuers — 100.4%
	444,357	GMO Short-Duration Collateral Fund		10,677,894
		TOTAL MUTUAL FUNDS (COST $11,334,706)		10,677,894
		TOTAL INVESTMENTS — 100.4% (Cost $11,334,706)		10,677,894
		Other Assets and Liabilities (net) — (0.4%)		(40,694	)
		TOTAL NET ASSETS — 100.0%	$	10,637,200

See accompanying notes to the financial statements.

3

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in affiliated issuers, at value (cost $11,334,706) (Notes 2 and 8)	$	10,677,894
Cash		10,697
Interest receivable		15
Receivable for expenses reimbursed by Manager (Note 3)		5,133
Total assets		10,693,739
Liabilities:
Payable to affiliate for (Note 3):
Management fee		428
Shareholder service fee		1,282
Trustees and Chief Compliance Officer of GMO Trust fees		197
Accrued expenses		54,632
Total liabilities		56,539
Net assets	$	10,637,200
Net assets consist of:
Paid-in capital	$	15,648,449
Accumulated undistributed net investment income		61,322
Accumulated net realized loss		(4,415,759	)
Net unrealized depreciation		(656,812	)
	$	10,637,200
Net assets attributable to:
Class III shares	$	10,637,200
Shares outstanding:
Class III		454,859
Net asset value per share:
Class III	$	23.39

See accompanying notes to the financial statements.

4

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	1,626,959
Interest		689
Total investment income		1,627,648
Expenses:
Management fee (Note 3)		18,299
Shareholder service fee – Class III (Note 3)		54,896
Custodian, fund accounting agent and transfer agent fees		16,533
Audit and tax fees		32,602
Legal fees		1,995
Trustees fees and related expenses (Note 3)		150
Registration fees		3,220
Miscellaneous		349
Total expenses		128,044
Fees and expenses reimbursed by Manager (Note 3)		(55,261	)
Net expenses		72,783
Net investment income (loss)		1,554,865
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(422,578	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(877,706	)
Net realized and unrealized gain (loss)		(1,300,284	)
Net increase (decrease) in net assets resulting from operations	$	254,581

See accompanying notes to the financial statements.

5

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Period from March 1, 2006 (commencement of operations) through February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,554,865		$	28,764,726
Net realized gain (loss)		(422,578	)		(3,989,905	)
Change in net unrealized appreciation (depreciation)		(877,706	)		220,894
Net increase (decrease) in net assets from operations		254,581			24,995,715
Distributions to shareholders from:
Net investment income
Class III		(1,493,543	)		—
Class VI		—			(28,768,002	)
Total distributions from net investment income		(1,493,543	)		(28,768,002	)
Return of capital
Class VI		—			(36,666	)
		(1,493,543	)		(28,804,668	)
Net share transactions (Note 7):
Class III		(28,686,720	)		40,536,328
Class VI		—			3,835,507
Increase (decrease) in net assets resulting from net share transactions		(28,686,720	)		44,371,835
Total increase (decrease) in net assets		(29,925,682	)		40,562,882
Net assets:
Beginning of period		40,562,882			—
End of period (including accumulated undistributed net investment income of $61,322 and $0, respectively)	$	10,637,200		$	40,562,882

See accompanying notes to the financial statements.

6

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from December 28, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.05		$	24.82
Income (loss) from investment operations:
Net investment income (loss)†(a)		1.07			(0.01	)
Net realized and unrealized gain (loss)		(1.38	)		0.24
Total from investment operations		(0.31	)		0.23
Less distributions to shareholders:
From net investment income		(1.35	)		—
Total distributions		(1.35	)		—
Net asset value, end of period	$	23.39		$	25.05
Total Return(b)		(1.33	)%		0.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	10,637		$	40,563
Net expenses to average daily net assets		0.20	%		0.21	%*
Net investment income to average daily net assets		4.25	%		(0.21	)%*
Portfolio turnover rate		127	%		125	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.15	%		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by GMO Short-Duration Collateral Fund.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover of the Fund for the period from March 1, 2006 (commencement of operations) through February 28, 2007.

See accompanying notes to the financial statements.

7

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Short-Duration Collateral Share 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 Funds into classes.

The Fund seeks total return in excess of that of the JPMorgan U.S. 3 Month Cash Index. The Fund invests substantially all of its assets in GMO Short-Duration Collateral Fund (an arrangement often referred to as a "master-feeder" structure) ("SDCF") and, to a limited extent, in cash and cash equivalents. The Fund's investment objective and principal investment strategies are identical to those of SDCF. SDCF seeks to achieve its investment objective by investing primarily in high quality U.S. and foreign floating rate fixed income securities. SDCF may invest a substantial portion of its assets in asset-backed securities.

As of February 29, 2008, the Fund had one class of shares outstanding, Class III. Class III shares commenced operations on December 28, 2006. Class VI shares were liquidated on February 26, 2007.

The financial statements of SDCF should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of SDCF are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of SDCF are valued at their net asset value.

Investments held by SDCF are valued as follows. 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 generally valued at the most

8

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 32.17% of net assets.

The fund indirectly invests through SDCF in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

9

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions and post-October capital losses.

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	1,493,543	$	28,768,002
	$	1,493,543	$	28,768,002
Tax return of capital		—		36,666
Total distributions	$	1,493,543	$	28,804,668

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 61,322

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $858,383.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/29/2016	$	(3,417,986	)
Total	$	(3,417,986	)

10

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	11,474,096	$	—	$	(796,202	)	$	(796,202	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from SDCF are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in SDCF (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

11

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.05% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in SDCF. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.002	%		0.000	%		0.000	%		0.002	%

12

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $150 and $0, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the period ended February 29, 2008 aggregated $42,887,159 and $71,516,250, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 65.95% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 83.57% of the Fund's shares were held by twenty-two related parties comprised of certain GMO employee accounts.

13

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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:

	Year Ended February 29, 2008						Period from December 28, 2006 (commencement of operations) through February 28, 2007
Class III	Shares			Amount			Shares			Amount
Shares sold		1,953,067		$	49,066,088			1,619,496		$	40,541,330
Shares issued to shareholders in reinvestment of distributions		62,533			1,492,040			—			—
Shares repurchased		(3,180,036	)		(79,244,848	)		(201	)		(5,002	)
Net increase (decrease)		(1,164,436	)	$	(28,686,720	)		1,619,295		$	40,536,328
	Year Ended February 29, 2008						Period from March 1, 2006 (commencement of operations) through February 28, 2007*
Class VI	Shares			Amount			Shares			Amount
Shares sold		—		$	—			22,535,851		$	565,101,317
Shares issued to shareholders in reinvestment of distributions		—			—			1,160,507			28,803,789
Shares repurchased		—			—			(23,696,358	)		(590,069,599	)
Net increase (decrease)		—		$	—			—		$	3,835,507

*  Effective February 26, 2007, all shareholders redeemed or exchanged out of Class VI.

8.  Investments in Affiliated Issuers

A summary of the Fund's transactions in the shares of the affiliated issuer during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	40,607,270	$	42,887,159	$	71,516,250	$	1,626,959	$	—	$	10,677,894
Totals	$	40,607,270	$	42,887,159	$	71,516,250	$	1,626,959	$	—	$	10,677,894

14

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Short-Duration Collateral Share 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 Short-Duration Collateral Share Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

15

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.20	%	$	1,000.00	$	974.30	$	0.98
2) Hypothetical		0.20	%	$	1,000.00	$	1,023.87	$	1.01

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

16

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $961,842 or if determined to be different, the qualified interest income of such year.

17

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 Office1 and 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/oGMO 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

18

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

19

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

20

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

21

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

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 -7.3% for the fiscal year ended February 29, 2008, as compared to -3.6% for the S&P 500 Index. The Fund was invested substantially in U.S. equity securities throughout the period.

Stock selection detracted from returns relative to the S&P 500 Index. Selections in Telecommunication Services and Information Technology added to relative returns while selections in Consumer Discretionary, Financials, and Energy detracted. Individual names adding to relative returns included overweight positions in Exxon Mobil and Merck and an underweight in Wachovia. Names detracting from relative returns included overweight positions in Home Depot, Citigroup, and Lowe's Companies.

Sector selection added to returns relative to the S&P 500 Index. Sector weightings positively impacting relative performance included an underweight position in Financials and overweight positions in Health Care and Consumer Staples. Sector weightings negatively impacting relative performance included an overweight in Consumer Discretionary and underweight positions in Industrials and Materials.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Classes IV, VI and M will vary due to different fees.

†   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 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.4	%
Short-Term Investments		4.4
Futures		(0.0	)
Other		0.2
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.0	%
Energy		17.2
Information Technology		16.8
Consumer Staples		15.0
Consumer Discretionary		9.2
Industrials		7.0
Financials		6.2
Materials		2.4
Telecommunication Services		2.2
Utilities		1.0
		100.0	%

1

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		COMMON STOCKS — 95.4%
		Consumer Discretionary — 8.8%
	70,000	Abercrombie & Fitch Co.-Class A		5,427,100
	10,600	Advance Auto Parts, Inc.		355,524
	300,400	Amazon.com, Inc. *		19,366,788
	255,500	American Eagle Outfitters, Inc.		5,460,035
	368,000	Apollo Group, Inc.-Class A *		22,587,840
	16,600	Autoliv, Inc.		828,340
	135,500	AutoNation, Inc. *		1,974,235
	49,000	AutoZone, Inc. *		5,638,920
	206,600	Bed Bath & Beyond, Inc. *		5,855,044
	22,000	Best Buy Co., Inc.		946,220
	23,600	BorgWarner, Inc.		1,017,396
	23,400	Carnival Corp.		920,790
	365,000	Coach, Inc. *		11,066,800
	138,300	Discovery Holding Co.-Class A *		3,121,431
	169,100	Expedia, Inc. *		3,877,463
	79,800	Family Dollar Stores, Inc.		1,528,170
	886,711	Ford Motor Co. *		5,790,223
	52,200	GameStop Corp.-Class A *		2,211,192
	201,300	Gannett Co., Inc.		6,069,195
	119,200	General Motors Corp.		2,774,976
	88,600	Goodyear Tire & Rubber Co. (The) *		2,401,060
	149,500	Harley-Davidson, Inc.		5,555,420
	5,400	Harman International Industries, Inc.		222,480
	69,100	Hasbro, Inc.		1,780,707
	2,600,304	Home Depot, Inc.		69,038,071
	34,600	IAC/InterActive Corp. *		688,540
	107,900	ITT Educational Services, Inc. *		5,958,238
	312,100	Johnson Controls, Inc.		10,255,606
	214,100	Kohl's Corp. *		9,514,604
	62,000	Liberty Global, Inc.-Class A *		2,331,200
	12,400	Liberty Media Holding Corp. Capital-Class A *		1,439,764
	81,600	Liz Claiborne, Inc.		1,450,848

See accompanying notes to the financial statements.

2

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Discretionary — continued
	1,438,400	Lowe's Cos., Inc.		34,478,448
	59,000	Mattel Co.		1,139,880
	274,200	McDonald's Corp.		14,836,962
	21,300	McGraw-Hill Cos., Inc.		871,809
	81,473	MGM Mirage *		5,017,922
	11,800	Mohawk Industries, Inc. *		842,638
	126,000	Nike, Inc.-Class B		7,585,200
	19,300	Nordstrom, Inc.		714,679
	490,500	Office Depot, Inc. *		5,576,985
	19,800	Polo Ralph Lauren Corp.		1,231,362
	11,500	R.H. Donnelley Corp. *		81,535
	48,400	RadioShack Corp.		844,580
	266,500	Staples, Inc.		5,929,625
	19,100	Starbucks Corp. *		343,227
	287,000	Target Corp.		15,099,070
	76,900	Tiffany & Co.		2,894,516
	35,500	Toll Brothers, Inc. *		752,955
	91,600	VF Corp.		6,965,264
	9,500	Wynn Resorts Ltd.		956,650
	31,400	Yum! Brands, Inc.		1,081,730
		Total Consumer Discretionary		324,699,257
		Consumer Staples — 14.3%
	828,300	Altria Group, Inc.		60,581,862
	216,700	Anheuser-Busch Cos., Inc.		10,204,403
	86,100	Avon Products, Inc.		3,276,966
	5,800	Clorox Co.		337,502
	30,300	Coca Cola Enterprises, Inc.		740,229
	2,039,600	Coca-Cola Co. (The)		119,235,016
	116,200	Colgate-Palmolive Co.		8,841,658
	27,900	Costco Wholesale Corp.		1,727,568
	56,300	CVS Caremark Corp.		2,273,394
	92,300	Energizer Holdings, Inc. *		8,568,209
	55,700	Estee Lauder Cos. (The), Inc.-Class A		2,371,706

See accompanying notes to the financial statements.

3

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Consumer Staples — continued
	20,400	Kellogg Co.		1,034,688
	197,800	Kimberly-Clark Corp.		12,892,604
	254,606	Kraft Foods, Inc.		7,936,069
	199,900	Kroger Co.		4,847,575
	10,400	Pepsi Bottling Group, Inc.		353,704
	11,600	PepsiAmericas, Inc.		293,480
	980,600	PepsiCo, Inc.		68,210,536
	581,600	Procter & Gamble Co. (The)		38,490,288
	150,400	Safeway, Inc.		4,322,496
	95,225	Supervalu, Inc.		2,499,656
	169,000	Tyson Foods, Inc.-Class A		2,435,290
	67,500	UST, Inc.		3,664,575
	561,300	Walgreen Co.		20,493,063
	2,828,400	Wal-Mart Stores, Inc.		140,260,356
	42,900	WM Wrigley Jr. Co.		2,567,994
		Total Consumer Staples		528,460,887
		Energy — 16.4%
	121,300	Anadarko Petroleum Corp.		7,731,662
	130,700	Apache Corp.		14,992,597
	18,200	Baker Hughes, Inc.		1,224,678
	111,300	Cameron International Corp. *		4,728,024
	1,574,600	Chevron Corp.		136,454,836
	607,468	ConocoPhillips		50,243,678
	26,000	Denbury Resources, Inc. *		829,140
	81,300	Devon Energy Corp.		8,351,136
	49,400	Diamond Offshore Drilling, Inc.		5,969,002
	2,422,100	Exxon Mobil Corp.		210,746,921
	40,900	FMC Technologies, Inc. *		2,317,394
	7,900	Forest Oil Corp. *		389,707
	104,200	Halliburton Co.		3,990,860
	57,800	Hess Corp.		5,385,804
	36,400	Marathon Oil Corp.		1,935,024
	48,800	Murphy Oil Corp.		3,922,544

See accompanying notes to the financial statements.

4

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Energy — continued
	63,200	Noble Corp.		3,106,280
	397,300	Occidental Petroleum Corp.		30,739,101
	9,600	Rowan Cos., Inc.		386,976
	587,900	Schlumberger Ltd.		50,823,955
	108,300	Smith International, Inc.		6,826,149
	49,600	Sunoco, Inc.		3,029,568
	167,429	Transocean, Inc. *		23,525,449
	324,100	Valero Energy Corp.		18,723,257
	137,800	Weatherford International Ltd. *		9,497,176
		Total Energy		605,870,918
		Financials — 5.9%
	69,400	ACE Ltd.		3,903,056
	136,900	Aflac, Inc.		8,543,929
	425,900	Allstate Corp. (The)		20,328,207
	558,500	American International Group, Inc.		26,171,310
	97,200	AON Corp.		4,044,492
	820,777	Bank of America Corp.		32,617,678
	88,800	BB&T Corp.		2,764,344
	86,000	Brown & Brown, Inc.		1,533,380
	44,500	Charles Schwab Corp. (The)		872,645
	102,300	Chubb Corp.		5,207,070
	2,109,100	Citigroup, Inc.		50,006,761
	32,200	CNA Financial Corp.		858,130
	56,300	Comerica, Inc.		2,040,312
	40,100	Eaton Vance Corp.		1,277,185
	26,800	Fidelity National Title Group, Inc.-Class A		471,948
	13,300	Fifth Third Bancorp		304,570
	30,500	First American Corp.		1,062,315
	16,600	First Horizon National Corp.		269,584
	35,600	Franklin Resources, Inc.		3,359,572
	3,500	Goldman Sachs Group, Inc.		593,705
	32,400	Hartford Financial Services Group, Inc.		2,264,760
	80,600	Leucadia National Corp.		3,647,956

See accompanying notes to the financial statements.

5

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Financials — continued
	800	Markel Corp. *		371,800
	10,900	Moody's Corp.		413,982
	85,900	Morgan Stanley		3,618,108
	303,400	National City Corp.		4,811,924
	38,300	Old Republic International Corp.		525,476
	220,200	Progressive Corp. (The)		4,036,266
	54,800	Prudential Financial, Inc.		3,998,756
	20,800	Safeco Corp.		962,208
	45,100	SEI Investment Co.		1,127,951
	6,500	T. Rowe Price Group, Inc.		328,445
	51,600	Torchmark Corp.		3,109,416
	254,300	Travelers Cos. (The), Inc.		11,802,063
	7,800	UnionBanCal Corp.		363,246
	182,200	Unum Group		4,174,202
	158,100	US Bancorp		5,062,362
	13,150	W.R. Berkley Corp.		378,589
	164,804	Washington Mutual, Inc.		2,439,099
		Total Financials		219,666,802
		Health Care — 21.9%
	442,100	Abbott Laboratories		23,674,455
	141,800	Aetna, Inc.		7,033,280
	156,100	AmerisourceBergen Corp.		6,512,492
	269,800	Amgen, Inc. *		12,281,296
	15,200	Baxter International, Inc.		897,104
	116,100	Biogen Idec, Inc. *		6,775,596
	81,652	Bristol-Myers Squibb Co.		1,846,152
	150,900	Cardinal Health, Inc.		8,924,226
	21,400	Cerner Corp. *		929,830
	101,000	Cigna Corp.		4,502,580
	8,900	Covance, Inc. *		751,249
	237,600	Coventry Health Care, Inc. *		12,324,312
	8,800	DENTSPLY International, Inc.		343,552
	384,400	Eli Lilly & Co.		19,227,688

See accompanying notes to the financial statements.

6

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Health Care — continued
	545,600	Express Scripts, Inc. *		32,244,960
	305,900	Forest Laboratories, Inc. *		12,165,643
	100,300	Gilead Sciences, Inc. *		4,746,196
	26,600	Intuitive Surgical, Inc. *		7,499,072
	8,500	Invitrogen Corp. *		718,165
	1,845,800	Johnson & Johnson		114,365,768
	7,300	Kinetic Concepts, Inc. *		375,147
	70,100	King Pharmaceuticals, Inc. *		743,060
	251,800	McKesson Corp.		14,795,768
	355,900	Medco Health Solutions, Inc. *		15,769,929
	410,200	Medtronic, Inc.		20,247,472
	2,123,700	Merck & Co., Inc.		94,079,910
	161,400	Patterson Cos., Inc. *		5,681,280
	6,277,680	Pfizer, Inc.		139,866,710
	71,400	Quest Diagnostics, Inc.		3,403,638
	413,100	Schering-Plough Corp.		8,964,270
	81,600	St. Jude Medical, Inc. *		3,507,168
	353,200	Stryker Corp.		22,996,852
	2,376,102	UnitedHealth Group, Inc.		110,441,221
	15,000	Waters Corp. *		894,150
	367,400	WellPoint, Inc. *		25,747,392
	378,200	Wyeth		16,497,084
	634,100	Zimmer Holdings, Inc. *		47,741,389
		Total Health Care		809,516,056
		Industrials — 6.7%
	611,000	3M Co.		47,902,400
	4,400	Boeing Co.		364,276
	165,700	Caterpillar, Inc.		11,985,081
	6,500	CH Robinson Worldwide, Inc.		330,005
	17,300	CSX Corp.		839,396
	224,600	Danaher Corp.		16,654,090
	241,700	Deere & Co.		20,595,257
	19,000	Eaton Corp.		1,531,970

See accompanying notes to the financial statements.

7

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Industrials — continued
	24,500	Emerson Electric Co.		1,248,520
	30,300	Fastenal Co.		1,231,998
	26,100	FedEx Corp.		2,300,193
	12,900	Flowserve Corp.		1,404,810
	60,900	Fluor Corp.		8,480,325
	17,000	General Dynamics Corp.		1,391,450
	67,400	Goodrich Corp.		3,992,102
	6,100	Harsco Corp.		344,589
	320,800	Honeywell International, Inc.		18,458,832
	27,900	Illinois Tool Works, Inc.		1,369,053
	94,600	Ingersoll-Rand		3,959,956
	52,200	ITT Industries, Inc.		2,935,728
	93,400	Jacobs Engineering Group, Inc. *		7,499,086
	99,400	L-3 Communications Holdings, Inc.		10,565,226
	12,700	Manpower, Inc.		720,090
	63,700	Masco Corp.		1,190,553
	74,900	McDermott International, Inc. *		3,911,278
	4,900	Northrop Grumman Corp.		385,189
	8,300	Oshkosh Truck Corp.		332,581
	292,800	Paccar, Inc.		12,701,664
	53,300	Pall Corp.		2,098,421
	97,000	Parker-Hannifin Corp.		6,269,110
	90,000	Precision Castparts Corp.		9,935,100
	23,100	Rockwell Collins, Inc.		1,360,590
	25,300	RR Donnelley & Sons Co.		805,299
	14,000	SPX Corp.		1,432,200
	6,600	Stericycle, Inc. *		355,674
	93,100	Textron, Inc.		5,043,227
	43,400	Trane, Inc.		1,955,170
	43,000	Tyco International Ltd.		1,722,580
	26,300	Union Pacific Corp.		3,281,188
	107,800	United Parcel Service, Inc.-Class B		7,571,872
	277,800	United Technologies Corp.		19,587,678
	6,000	W.W. Grainger, Inc.		441,960
		Total Industrials		246,485,767

See accompanying notes to the financial statements.

8

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — 16.0%
	18,200	Activision, Inc. *		495,950
	10,600	Adobe Systems, Inc. *		356,690
	128,700	Affiliated Computer Services, Inc.-Class A *		6,531,525
	35,800	Analog Devices, Inc.		963,736
	411,000	Apple, Inc. *		51,383,220
	26,500	Arrow Electronics, Inc. *		864,165
	27,500	Autodesk, Inc. *		854,975
	70,200	Avnet, Inc. *		2,366,442
	96,100	CA, Inc.		2,198,768
	22,800	Cadence Design Systems, Inc. *		242,136
	2,577,600	Cisco Systems, Inc. *		62,816,112
	121,100	Citrix Systems, Inc. *		3,987,823
	30,200	Cognizant Technologies Solutions Corp.-Class A *		912,342
	220,600	Corning, Inc.		5,124,538
	16,400	Cypress Semiconductor Corp. *		356,536
	1,842,500	Dell, Inc. *		36,573,625
	5,100	DST Systems, Inc. *		358,326
	1,178,600	eBay, Inc. *		31,067,896
	1,750,400	EMC Corp. *		27,201,216
	270,100	Fiserv, Inc. *		14,212,662
	23,600	FLIR Systems, Inc. *		671,656
	79,500	Google, Inc.-Class A *		37,458,810
	148,900	Hewlett-Packard Co.		7,112,953
	1,007,500	Intel Corp.		20,099,625
	473,500	International Business Machines Corp.		53,912,710
	16,200	Intersil Corp.-Class A		376,974
	47,300	Intuit, Inc. *		1,256,288
	95,200	Juniper Networks, Inc. *		2,553,264
	36,100	KLA-Tencor Corp.		1,516,561
	26,100	Lexmark International, Inc. *		862,083
	50,100	McAfee, Inc. *		1,666,827
	3,578,000	Microsoft Corp.		97,393,160
	17,900	National Semiconductor Corp.		294,813
	59,300	NCR Corp. *		1,314,088

See accompanying notes to the financial statements.

9

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares		Description	Value ($)
		Information Technology — continued
	1,796,600	Oracle Corp. *		33,776,080
	1,698,800	Qualcomm, Inc.		71,978,156
	59,000	Texas Instruments, Inc.		1,767,640
	70,600	Total System Services, Inc.		1,569,438
	12,900	Trimble Navigation Ltd. *		352,686
	81,500	VeriSign, Inc. *		2,836,200
	55,600	Western Digital Corp. *		1,716,372
	54,200	Xilinx, Inc.		1,211,912
		Total Information Technology		590,566,979
		Materials — 2.3%
	43,600	Air Products & Chemicals, Inc.		3,981,988
	183,900	Alcoa, Inc.		6,830,046
	10,700	Ball Corp.		471,870
	76,800	Celanese Corp.-Class A		2,987,520
	15,200	Crown Holdings, Inc. *		378,632
	47,500	Dow Chemical Co. (The)		1,790,275
	6,900	FMC Corp.		390,609
	59,600	Freeport-McMoRan Copper & Gold, Inc.		6,011,256
	25,400	Lubrizol Corp.		1,480,820
	21,400	Martin Marietta Materials, Inc.		2,302,640
	341,400	Monsanto Co.		39,493,152
	108,200	Owens-IIlinois, Inc. *		6,107,890
	83,100	Praxair, Inc.		6,671,268
	14,500	Reliance Steel & Aluminum Co.		804,895
	42,700	Temple-Inland, Inc.		586,271
	22,400	Vulcan Materials Co.		1,570,240
	50,500	Weyerhaeuser Co.		3,090,600
		Total Materials		84,949,972
		Telecommunication Services — 2.1%
	618,767	AT&T, Inc.		21,551,655
	1,582,422	Verizon Communications, Inc.		57,473,567
		Total Telecommunication Services		79,025,222

See accompanying notes to the financial statements.

10

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Utilities — 1.0%
	35,300	American Electric Power Co., Inc.		1,444,476
	22,700	Centerpoint Energy, Inc.		333,236
	37,000	Constellation Energy Group, Inc.		3,268,950
	244,400	Duke Energy Corp.		4,286,776
	51,700	Dynegy, Inc.-Class A *		382,580
	63,400	Edison International		3,131,960
	24,800	Entergy Corp.		2,547,952
	7,100	Equitable Resources, Inc.		437,502
	36,800	FPL Group, Inc.		2,218,672
	68,000	Mirant Corp. *		2,516,000
	35,600	Northeast Utilities		903,172
	82,500	NRG Energy, Inc. *		3,404,775
	29,800	PPL Corp.		1,352,324
	142,800	Public Service Enterprise Group, Inc.		6,297,480
	176,200	Reliant Energy, Inc. *		4,017,360
		Total Utilities		36,543,215
		TOTAL COMMON STOCKS (COST $3,783,532,273)		3,525,785,075
		SHORT-TERM INVESTMENTS — 4.4%
	90,856,052	Citigroup Global Markets Repurchase Agreement, dated 02/29/08, due 03/03/08, with a maturity value of $90,861,730 and an effective yield of 0.75%, collateralized by a U.S. Treasury Bond with a rate of 11.25%, maturity date of 02/15/15 and a market value, including accrued interest, of $92,363,688.		90,856,052
	73,310,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (a)		72,791,625
		TOTAL SHORT-TERM INVESTMENTS (COST $163,495,774)		163,647,677
		TOTAL INVESTMENTS — 99.8% (Cost $3,947,028,047)		3,689,432,752
		Other Assets and Liabilities (net) — 0.2%		8,532,048
		TOTAL NET ASSETS — 100.0%	$	3,697,964,800

See accompanying notes to the financial statements.

11

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	1,768	S&P 500 E-Mini	March 2008	$	117,686,920	$	(1,464,323	)

As of February 29, 2008, for the futures contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

*  Non-income producing security.

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

See accompanying notes to the financial statements.

12

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $3,947,028,047) (Note 2)	$	3,689,432,752
Receivable for Fund shares sold		1,042,783
Dividends and interest receivable		7,779,448
Receivable for collateral on open futures contracts (Note 2)		6,364,800
Receivable for expenses reimbursed by Manager (Note 3)		64,757
Total assets		3,704,684,540
Liabilities:
Payable for Fund shares repurchased		2,209,736
Payable to affiliate for (Note 3):
Management fee		926,413
Shareholder service fee		268,228
Administration fee – Class M		9,393
Trustees and Chief Compliance Officer of GMO Trust fees		4,249
Payable for 12b-1 fee – Class M		25,363
Payable for variation margin on open futures contracts (Note 2)		3,049,800
Accrued expenses		226,558
Total liabilities		6,719,740
Net assets	$	3,697,964,800

See accompanying notes to the financial statements.

13

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	3,980,067,311
Accumulated undistributed net investment income		8,762,323
Accumulated net realized loss		(31,805,216	)
Net unrealized depreciation		(259,059,618	)
	$	3,697,964,800
Net assets attributable to:
Class III shares	$	1,131,799,994
Class IV shares	$	478,084,132
Class VI shares	$	2,031,658,641
Class M shares	$	56,422,033
Shares outstanding:
Class III		93,941,066
Class IV		39,766,699
Class VI		168,995,706
Class M		4,691,430
Net asset value per share:
Class III	$	12.05
Class IV	$	12.02
Class VI	$	12.02
Class M	$	12.03

See accompanying notes to the financial statements.

14

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends	$	86,437,648
Interest		5,104,394
Securities lending income		147,149
Total investment income		91,689,191
Expenses:
Management fee (Note 3)		14,228,468
Shareholder service fee – Class III (Note 3)		2,447,692
Shareholder service fee – Class IV (Note 3)		569,013
Shareholder service fee – Class VI (Note 3)		1,255,511
12b-1 fee – Class M (Note 3)		265,683
Administration fee – Class M (Note 3)		212,547
Custodian, fund accounting agent and transfer agent fees		600,666
Audit and tax fees		55,263
Legal fees		103,407
Trustees fees and related expenses (Note 3)		45,529
Registration fees		15,262
Miscellaneous		36,743
Total expenses		19,835,784
Fees and expenses reimbursed by Manager (Note 3)		(797,455	)
Expense reductions (Note 2)		(48,087	)
Net expenses		18,990,242
Net investment income (loss)		72,698,949
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		351,184,479
Closed futures contracts		(2,132,587	)
Net realized gain (loss)		349,051,892
Change in net unrealized appreciation (depreciation) on:
Investments		(612,193,297	)
Open futures contracts		(1,464,323	)
Net unrealized gain (loss)		(613,657,620	)
Net realized and unrealized gain (loss)		(264,605,728	)
Net increase (decrease) in net assets resulting from operations	$	(191,906,779	)

See accompanying notes to the financial statements.

15

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	72,698,949		$	98,496,318
Net realized gain (loss)		349,051,892			341,469,404
Change in net unrealized appreciation (depreciation)		(613,657,620	)		(59,935,270	)
Net increase (decrease) in net assets from operations		(191,906,779	)		380,030,452
Distributions to shareholders from:
Net investment income
Class III		(28,161,365	)		(31,321,178	)
Class IV		(10,426,216	)		(10,898,489	)
Class VI		(43,036,312	)		(53,275,433	)
Class M		(1,560,161	)		(1,646,618	)
Total distributions from net investment income		(83,184,054	)		(97,141,718	)
Net realized gains
Class III		(171,156,746	)		(47,632,225	)
Class IV		(61,162,205	)		(18,340,801	)
Class VI		(291,784,061	)		(88,828,637	)
Class M		(10,886,017	)		(3,334,260	)
Total distributions from net realized gains		(534,989,029	)		(158,135,923	)
		(618,173,083	)		(255,277,641	)
Net share transactions (Note 7):
Class III		(378,601,907	)		(1,095,758,448	)
Class IV		(15,629,517	)		(159,761,538	)
Class VI		(1,232,938,512	)		1,061,683,678
Class M		(60,272,243	)		(27,519,549	)
Increase (decrease) in net assets resulting from net share transactions		(1,687,442,179	)		(221,355,857	)
Total increase (decrease) in net assets		(2,497,522,041	)		(96,603,046	)
Net assets:
Beginning of period		6,195,486,841			6,292,089,887
End of period (including accumulated undistributed net investment income of $8,762,323 and $19,373,690, respectively)	$	3,697,964,800		$	6,195,486,841

See accompanying notes to the financial statements.

16

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	14.77		$	14.50		$	14.28		$	13.54		$	9.98
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.22			0.24			0.19			0.16
Net realized and unrealized gain (loss)		(1.10	)		0.64			0.54			0.73			3.56
Total from investment operations		(0.88	)		0.86			0.78			0.92			3.72
Less distributions to shareholders:
From net investment income		(0.25	)		(0.22	)		(0.24	)		(0.18	)		(0.16	)
From net realized gains		(1.59	)		(0.37	)		(0.32	)		—			—
Total distributions		(1.84	)		(0.59	)		(0.56	)		(0.18	)		(0.16	)
Net asset value, end of period	$	12.05		$	14.77		$	14.50		$	14.28		$	13.54
Total Return(a)		(7.33	)%		5.97	%		5.60	%		6.89	%		37.50	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,131,800		$	1,789,872		$	2,841,959		$	1,739,392		$	1,517,458
Net expenses to average daily net assets		0.46	%(b)		0.46	%		0.47	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.55	%		1.51	%		1.69	%		1.46	%		1.32	%
Portfolio turnover rate		71	%		78	%		65	%		65	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.03	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

17

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	14.75		$	14.48		$	14.26		$	13.52		$	9.97
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.22			0.25			0.20			0.16
Net realized and unrealized gain (loss)		(1.10	)		0.65			0.54			0.73			3.55
Total from investment operations		(0.88	)		0.87			0.79			0.93			3.71
Less distributions to shareholders:
From net investment income		(0.26	)		(0.23	)		(0.25	)		(0.19	)		(0.16	)
From net realized gains		(1.59	)		(0.37	)		(0.32	)		—			—
Total distributions		(1.85	)		(0.60	)		(0.57	)		(0.19	)		(0.16	)
Net asset value, end of period	$	12.02		$	14.75		$	14.48		$	14.26		$	13.52
Total Return(a)		(7.36	)%		6.05	%		5.66	%		6.96	%		37.50	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	478,084		$	602,048		$	749,822		$	866,206		$	709,525
Net expenses to average daily net assets		0.41	%(b)		0.41	%		0.43	%		0.44	%		0.44	%
Net investment income to average daily net assets		1.57	%		1.55	%		1.76	%		1.49	%		1.36	%
Portfolio turnover rate		71	%		78	%		65	%		65	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.03	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

18

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,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	14.75		$	14.47		$	14.26		$	13.52		$	11.54
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.23			0.25			0.21			0.10
Net realized and unrealized gain (loss)		(1.11	)		0.65			0.54			0.72			2.01
Total from investment operations		(0.88	)		0.88			0.79			0.93			2.11
Less distributions to shareholders:
From net investment income		(0.26	)		(0.23	)		(0.26	)		(0.19	)		(0.13	)
From net realized gains		(1.59	)		(0.37	)		(0.32	)		—			—
Total distributions		(1.85	)		(0.60	)		(0.58	)		(0.19	)		(0.13	)
Net asset value, end of period	$	12.02		$	14.75		$	14.47		$	14.26		$	13.52
Total Return(b)		(7.32	)%		6.17	%		5.64	%		7.01	%		18.41	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,031,659		$	3,671,926		$	2,543,300		$	1,750,325		$	542,274
Net expenses to average daily net assets		0.37	%(c)		0.37	%		0.38	%		0.39	%		0.39	%*
Net investment income to average daily net assets		1.63	%		1.61	%		1.78	%		1.56	%		1.17	%*
Portfolio turnover rate		71	%		78	%		65	%		65	%		57	%***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		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 periods shown and assumes the effect of reinvested distributions.

(c)  The net expense ratio does not include the effect of expense reductions.

†  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.

19

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,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	14.75		$	14.47		$	14.26		$	13.52		$	9.96
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.18			0.20			0.16			0.12
Net realized and unrealized gain (loss)		(1.11	)		0.64			0.53			0.72			3.57
Total from investment operations		(0.93	)		0.82			0.73			0.88			3.69
Less distributions to shareholders:
From net investment income		(0.20	)		(0.17	)		(0.20	)		(0.14	)		(0.13	)
From net realized gains		(1.59	)		(0.37	)		(0.32	)		—			—
Total distributions		(1.79	)		(0.54	)		(0.52	)		(0.14	)		(0.13	)
Net asset value, end of period	$	12.03		$	14.75		$	14.47		$	14.26		$	13.52
Total Return(a)		(7.64	)%		5.73	%		5.22	%		6.61	%		37.23	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	56,422		$	131,640		$	157,009		$	171,316		$	141,188
Net expenses to average daily net assets		0.76	%(b)		0.76	%		0.77	%		0.78	%		0.78	%
Net investment income to average daily net assets		1.23	%		1.22	%		1.41	%		1.17	%		0.98	%
Portfolio turnover rate		71	%		78	%		65	%		65	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.03	%

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(b)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

20

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its objective by outperforming the S&P 500 Index. The Fund typically makes equity investments in companies that issue stocks included in the S&P 500 Index, and companies with similar market capitalizations.

Throughout the year ended February 29, 2008, the Fund had four classes of shares outstanding: Class III, Class IV, Class VI, and Class M. Class M shares bear an administration fee and a 12b-1 fee while Classes III, IV and VI bear a shareholder service fee (See Note 3). The principal economic difference among the classes of shares is the type and level of fees borne by the classes.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

21

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Swap agreements

The Fund may enter into swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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

22

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. Repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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, 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 29, 2008, the Fund had no securities on loan.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and net realized short-term and long-term capital gains, if any, after giving

23

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

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

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(126,262	)	$	126,263	$	(1	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	241,940,523	$	109,569,744
Long-term capital gains		376,232,560		145,707,897
Total distributions	$	618,173,083	$	255,277,641

24

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 8,762,323

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $10,237,100.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,970,060,485	$	124,096,384	$	(404,724,117	)	$	(280,627,733	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on

25

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.10% for Class IV shares and 0.055% for Class VI shares.

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.

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 Class M net assets. This fee may be spent on personal services rendered to Class M shareholders of the Fund and/or maintenance of Class M shareholder accounts.

26

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees (Classes III, IV and VI only), administration and distribution (12b-1) fees (Class M only), fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.31% of the 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 29, 2008 was $38,169 and $13,801, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $3,193,581,503 and $5,540,595,234, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 28.99% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

27

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, less than 0.01% of the Fund's shares were held by three related parties comprised of certain GMO employee accounts, and 59.31% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		10,821,336		$	155,921,642			13,256,030		$	195,569,666
Shares issued to shareholders in reinvestment of distributions		13,691,161			193,621,517			5,013,426			73,333,042
Shares repurchased		(51,723,168	)		(728,145,066	)		(93,168,340	)		(1,364,661,156	)
Net increase (decrease)		(27,210,671	)	$	(378,601,907	)		(74,898,884	)	$	(1,095,758,448	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		7,471,098		$	107,806,250			7,111,440		$	106,906,188
Shares issued to shareholders in reinvestment of distributions		5,018,252			70,729,411			1,932,166			28,224,553
Shares repurchased		(13,542,835	)		(194,165,178	)		(20,022,880	)		(294,892,279	)
Net increase (decrease)		(1,053,485	)	$	(15,629,517	)		(10,979,274	)	$	(159,761,538	)
	Year Ended February 29, 2008						Year Ended February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		51,884,829		$	705,180,355			78,510,638		$	1,137,111,843
Shares issued to shareholders in reinvestment of distributions		23,622,907			334,820,373			9,735,284			142,104,070
Shares repurchased		(155,480,537	)		(2,272,939,240	)		(14,993,541	)		(217,532,235	)
Net increase (decrease)		(79,972,801	)	$	(1,232,938,512	)		73,252,381		$	1,061,683,678

28

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class M:	Shares			Amount			Shares			Amount
Shares sold		124,923		$	1,799,606			191,371		$	2,781,373
Shares issued to shareholders in reinvestment of distributions		874,683			12,446,178			340,717			4,980,879
Shares repurchased		(5,233,840	)		(74,518,027	)		(2,454,991	)		(35,281,801	)
Net increase (decrease)		(4,234,234	)	$	(60,272,243	)		(1,922,903	)	$	(27,519,549	)

29

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") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

30

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, shareholder service fees, distribution (12b-1) and/or administration fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period, September 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

31

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 29, 2008 (Unaudited)

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	Annualized Net Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.46	%	$	1,000.00	$	901.60	$	2.17
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.58	$	2.31
Class IV
1) Actual		0.41	%	$	1,000.00	$	901.00	$	1.94
2) Hypothetical		0.41	%	$	1,000.00	$	1,022.82	$	2.06
Class VI
1) Actual		0.37	%	$	1,000.00	$	901.30	$	1.75
2) Hypothetical		0.37	%	$	1,000.00	$	1,023.02	$	1.86
Class M
1) Actual		0.76	%	$	1,000.00	$	900.00	$	3.59
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.08	$	3.82

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

32

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $376,232,560 from long-term capital gains.

For taxable, non-corporate shareholders, 40.43% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 39.56% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $5,271,063 and $158,689,922, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

33

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

34

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

37

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Portfolio Managers

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 Currency Hedged International Equity Fund returned -6.8% for the fiscal year ended February 29, 2008, as compared to -8.5% for the MSCI EAFE Index (Hedged). During the fiscal year the Fund was fully exposed to international equity securities through its investment in underlying GMO mutual funds.

The Fund's exposure to international equities was achieved indirectly through investments in the GMO International Intrinsic Value Fund and the GMO International Growth Equity Fund. The Fund also held currency hedges in addition to the shares of those Funds, which make predominantly unhedged investments.

Currency hedging had a negative impact on the Fund. The U.S. dollar fell against most foreign currencies, but hedging insulated the Fund's return from those gains. In U.S. dollar terms the unhedged MSCI EAFE Index returned +0.8% during the period, 9.3% more than the hedged benchmark.

The Fund is fairly evenly allocated between the GMO International Intrinsic Value Fund, which returned -1.1%, and the GMO International Growth Equity Fund, which returned +5.1% during the period. The Fund outperformed as the Growth Fund outperformed the unhedged EAFE by more than the Value Fund underperformed.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.9	%
Short-Term Investments		7.0
Preferred Stocks		0.5
Rights and Warrants		0.0
Futures		(0.6	)
Forward Currency Contracts		(2.4	)
Other		1.6
		100.0	%
Country / Region Summary**	% of Investments
Euro Region***		37.2	%
United Kingdom		21.4
Japan		20.5
Australia		4.9
Switzerland		4.9
Canada		4.5
Hong Kong		2.2
Singapore		2.2
Sweden		1.3
Norway		0.8
Denmark		0.1
		100.0	%

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

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.3%
		United States — 99.3% Affiliated Issuers
	543,215	GMO International Growth Equity Fund, Class IV		15,047,067
	501,229	GMO International Intrinsic Value Fund, Class IV		15,016,826
				30,063,893
		TOTAL MUTUAL FUNDS (COST $35,247,560)		30,063,893
		SHORT-TERM INVESTMENTS — 3.3%
	1,000,000	Royal Bank of Scotland Time Deposit, 3.10%, due 03/03/08		1,000,000
		TOTAL SHORT-TERM INVESTMENTS (COST $1,000,000)		1,000,000
		TOTAL INVESTMENTS — 102.6% (Cost $36,247,560)		31,063,893
		Other Assets and Liabilities (net) — (2.6%)		(790,847	)
		TOTAL NET ASSETS — 100.0%	$	30,273,046

See accompanying notes to the financial statements.

2

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	AUD		144,000	$	132,705	$	2,134
5/23/08	EUR		365,000		552,535		18,245
5/23/08	SGD		1,140,416		820,320		9,784
				$	1,505,560	$	30,163
Sales
5/23/08	AUD		1,999,261	$	1,842,446	$	(22,979	)
5/23/08	CAD		433,000		439,225		(13,375	)
5/23/08	CHF		167,000		160,415		(8,701	)
5/23/08	CHF		1,498,193		1,439,122		(70,016	)
5/23/08	CHF		1,498,193		1,439,122		(66,258	)
5/23/08	DKK		7,987,333		1,622,650		(48,202	)
5/23/08	EUR		1,722,922		2,608,148		(76,269	)
5/23/08	EUR		1,722,922		2,608,148		(77,511	)
5/23/08	EUR		1,775,132		2,687,183		(78,928	)
5/23/08	GBP		408,000		805,992		(18,866	)
5/23/08	GBP		932,584		1,842,292		(34,719	)
5/23/08	GBP		932,584		1,842,292		(34,230	)
5/23/08	GBP		960,844		1,898,119		(35,801	)
5/23/08	HKD		4,963,379		638,769		(1,262	)
5/23/08	JPY		47,502,000		459,384		(17,998	)
5/23/08	JPY		203,741,650		1,970,351		(68,090	)
5/23/08	JPY		203,741,650		1,970,351		(63,318	)
5/23/08	JPY		209,915,640		2,030,059		(69,930	)
5/23/08	NOK		8,526,433		1,624,805		(40,614	)
5/23/08	SEK		4,605,797		744,148		(17,754	)
5/23/08	SGD		152,000		109,336		(1,209	)
				$	30,782,357	$	(866,030	)

See accompanying notes to the financial statements.

3

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

As of February 29, 2008, 88.66% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar

See accompanying notes to the financial statements.

4

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $1,000,000) (Note 2)	$	1,000,000
Investments in affiliated issuers, at value (cost $35,247,560) (Notes 2 and 8)		30,063,893
Cash		53,379
Foreign currency, at value (cost $54,478) (Note 2)		56,322
Receivable for Fund shares sold		1,799
Unrealized appreciation on open forward currency contracts (Note 2)		30,163
Receivable for expenses reimbursed by Manager (Note 3)		32,191
Total assets		31,237,747
Liabilities:
Payable to affiliate for (Note 3):
Management fee		13,100
Shareholder service fee		3,642
Trustees and Chief Compliance Officer of GMO Trust fees		108
Unrealized depreciation on open forward currency contracts (Note 2)		866,030
Accrued expenses		81,821
Total liabilities		964,701
Net assets	$	30,273,046
Net assets consist of:
Paid-in capital	$	28,611,695
Accumulated undistributed net investment income		794,785
Accumulated net realized gain		6,884,256
Net unrealized depreciation		(6,017,690	)
	$	30,273,046
Net assets attributable to:
Class III shares	$	30,273,046
Shares outstanding:
Class III		5,690,948
Net asset value per share:
Class III	$	5.32

See accompanying notes to the financial statements.

5

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	575,809
Interest		288,601
Total investment income		864,410
Expenses:
Management fee (Note 3)		925,645
Shareholder service fee – Class III (Note 3)		257,124
Custodian and fund accounting agent fees		68,816
Transfer agent fees		26,873
Audit and tax fees		64,241
Legal fees		4,363
Trustees fees and related expenses (Note 3)		1,846
Registration fees		3,001
Miscellaneous		2,349
Total expenses		1,354,258
Fees and expenses reimbursed by Manager (Note 3)		(168,949	)
Expense reductions (Note 2)		(1,056	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(893,852	)
Shareholder service fee waived (Note 3)		(151,805	)
Net expenses		138,596
Net investment income (loss)		725,814
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		37,704,150
Realized gains distributions from affiliated issuers (Note 8)		10,472,304
Foreign currency, forward contracts and foreign currency related transactions		(14,266,724	)
Net realized gain (loss)		33,909,730
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(24,991,539	)
Foreign currency, forward contracts and foreign currency related transactions		914,740
Net unrealized gain (loss)		(24,076,799	)
Net realized and unrealized gain (loss)		9,832,931
Net increase (decrease) in net assets resulting from operations	$	10,558,745

See accompanying notes to the financial statements.

6

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended			Year Ended
	February 29, 2008			February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	725,814		$	3,614,363
Net realized gain (loss)		33,909,730			139,338,705
Change in net unrealized appreciation (depreciation)		(24,076,799	)		(77,805,071	)
Net increase (decrease) in net assets from operations		10,558,745			65,147,997
Distributions to shareholders from:
Net investment income
Class III		—			(9,318,611	)
Net realized gains
Class III		(48,200,678	)		(155,726,954	)
		(48,200,678	)		(165,045,565	)
Net share transactions (Note 7):
Class III		(159,181,264	)		(401,820,578	)
Total increase (decrease) in net assets		(196,823,197	)		(501,718,146	)
Net assets:
Beginning of period		227,096,243			728,814,389
End of period (including accumulated undistributed net investment income of $794,785 and distributions in excess of net investment income of $862,825, respectively)	$	30,273,046		$	227,096,243

See accompanying notes to the financial statements.

7

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	7.45		$	9.07		$	8.38		$	7.33		$	5.54
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.03			0.10			0.07			0.21			0.20
Net realized and unrealized gain (loss)		(0.29	)		1.17			2.17			0.84			1.59
Total from investment operations		(0.26	)		1.27			2.24			1.05			1.79
Less distributions to shareholders:
From net investment income		—			(0.12	)		(0.71	)(b)		—			—
From net realized gains		(1.87	)		(2.77	)		(0.84	)		—			—
Total distributions		(1.87	)		(2.89	)		(1.55	)		—			—
Net asset value, end of period	$	5.32		$	7.45		$	9.07		$	8.38		$	7.33
Total Return(c)		(6.75	)%		15.60	%		28.42	%		14.32	%		32.31	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	30,273		$	227,096		$	728,814		$	580,905		$	160,586
Net expenses to average daily net assets(d)		0.08	%(e)		0.07	%		0.05	%		0.04	%		0.04	%
Net investment income to average daily net assets(a)		0.42	%		1.23	%		0.82	%		2.64	%		2.98	%
Portfolio turnover rate		11	%		18	%		36	%		3	%		5	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.71	%		0.68	%		0.67	%		0.71	%		0.87	%

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  Distributions from net investment income include amounts (approximately $0.07 per share) from foreign currency transactions which are treated as realized capital gain for book purposes.

(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

8

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Currency Hedged International 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, 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 Funds into classes.

The Fund seeks high total return. The Fund seeks to achieve its investment objective by outperforming the MSCI EAFE Index (Europe, Australasia, and Far East) (Hedged). The Fund is a fund of funds and invests in other GMO Funds. The Fund may invest to varying extents in GMO International Core Equity Fund, GMO International Intrinsic Value Fund, GMO International Growth Equity Fund, and GMO International Small Companies Fund ("underlying funds"). GMO attempts to hedge at least 70% of the foreign currency exposure in the underlying funds' investments relative to the U.S. dollar.

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

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. Securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as

9

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

determined in good faith by the Trustees or other persons acting at their direction pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

10

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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

11

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

loss. The risk associated with purchasing put and call options is limited to the premium paid. There were no purchased option contracts outstanding at the end of the period.

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

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

12

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital 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 and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carry forwards, derivative contract transactions, differing treatment of mutual fund distributions received, foreign currency transactions, losses on wash sale transactions and net operating losses.

13

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain		Paid-in Capital
$	931,796	$	10,181,236	$	(11,113,032	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	—	$	13,117,818
Long-term capital gains		48,200,678		151,927,747
Total distributions	$	48,200,678	$	165,045,565

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 6,991,877

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2011	$	(64,645	)
Total	$	(64,645	)

14

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	36,290,535	$	—	$	(5,226,642	)	$	(5,226,642	)

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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.

15

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No.48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No.109 ("FIN48"). FIN48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No.109, Accounting for Income Taxes. FIN48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN48 and has determined that the adoption of FIN48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No.157 ("FAS157"), "Fair Value Measurements." FAS157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS157 will have on the Fund's financial statement disclosures.

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 average daily net assets at the annual rate of 0.15% for Class III shares.

The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes,

16

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses") exceed 0.54% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in the underlying funds (excluding these Funds' Excluded Fund Fees and Expenses)), exceeds 0.54% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.54% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.522	%		0.088	%		0.610	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $1,570 and $693, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $18,258,114 and $225,370,000, 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.

17

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 93.62% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.02% of the Fund's shares were held by one related party comprised of a certain GMO employee account, and 93.62% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		839,414		$	6,424,624			4,383,950		$	35,031,290
Shares issued to shareholders in reinvestment of distributions		7,433,717			47,788,021			20,822,962			163,736,057
Shares repurchased		(33,056,614	)		(213,393,909	)		(75,107,197	)		(600,587,925	)
Net increase (decrease)		(24,783,483	)	$	(159,181,264	)		(49,900,285	)	$	(401,820,578	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO International Growth Equity Fund, Class IV	$	111,898,773	$	10,105,728	$	115,160,000	$	193,866	$	6,181,862	$	15,047,067
GMO International Intrinsic Value Fund, Class IV		112,564,395		8,152,386		110,210,000		381,943		4,290,442		15,016,826
Totals	$	224,463,168	$	18,258,114	$	225,370,000	$	575,809	$	10,472,304	$	30,063,893

18

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Currency Hedged International 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 Currency Hedged International Equity Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

19

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.69	%	$	1,000.00	$	887.30	$	3.24
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.43	$	3.47

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

20

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $48,200,678 from long-term capital gains.

21

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 Office1 and 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 theBoard of Trustees	Chairman of the Board of Trustees since March 2005; Lead Independent Trustee (September 2004 – March 2005); Trustee since December 2000.	Consultant – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

22

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

23

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

24

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

25

GMO Special Situations Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Special Situations Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team within the Quantitative Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Since its inception on July 31, 2007, the GMO Special Situations Fund returned +6.6% for the period ended February 29, 2008, compared with the +2.3% return for the Citigroup 3-Month Treasury Bill Index.

Asset allocation was responsible for the entirety of the outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end please call 1-617-346-7646 (collect). Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class VI shares will vary due to different fees.

*  Class III performance information represents Class VI performance from July 31, 2007 to August 13, 2007 and Class III performance thereafter.

GMO Special Situations Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		88.1	%
Forward Currency Contracts		1.1
Other		10.8
		100.0	%

1

GMO Special Situations Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 88.1%
		Money Market Funds — 0.3%
	2,053,391	State Street Institutional Liquid Reserves Fund-Institutional Class		2,053,391
		Other Short-Term Investments — 87.8%
	465,000,000	U.S Treasury Bill, 3.11%, due 03/27/08 (a)		463,937,088
	135,000,000	U.S Treasury Bill, 1.76%, due 05/08/08 (a)		134,554,500
		Total Other Short-Term Investments		598,491,588
		TOTAL SHORT-TERM INVESTMENTS (COST $600,472,829)		600,544,979
		TOTAL INVESTMENTS — 88.1% (Cost $600,472,829)		600,544,979
		Other Assets and Liabilities (net) — 11.9%		80,789,763
		TOTAL NET ASSETS — 100.0%	$	681,334,742

See accompanying notes to the financial statements.

2

GMO Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	JPY		12,407,014,233	$	119,969,847	$	3,839,534
5/23/08	JPY		10,339,178,528		99,974,873		3,430,768
5/23/08	JPY		10,339,178,528		99,974,873		3,441,765
5/23/08	JPY		8,271,342,822		79,979,898		2,734,444
				$	399,899,491	$	13,446,511
Sales
5/23/08	AUD		112,241,486	$	103,467,127	$	(1,380,128	)
5/23/08	CAD		37,756,166		38,300,653		(959,533	)
5/23/08	GBP		45,823,770		90,539,742		(1,722,232	)
5/23/08	GBP		45,823,770		90,539,742		(1,698,220	)
5/23/08	NZD		51,859,670		40,933,670		25,408
				$	363,780,934	$	(5,734,705	)

Note to Schedule of Investments:

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

GBP - British Pound

JPY - Japanese Yen

NZD - New Zealand Dollar

See accompanying notes to the financial statements.

3

GMO Special Situations Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments, at value (cost $600,472,829) (Note 2)	$	600,544,979
Cash		101,222,292
Interest receivable		119,972
Unrealized appreciation on open forward currency contracts (Note 2)		13,471,919
Receivable for expenses reimbursed by Manager (Note 3)		22,417
Total assets		715,381,579
Liabilities:
Payable for Fund shares repurchased		27,922,601
Payable to affiliate for (Note 3):
Management fee		206,144
Shareholder service fee		37,225
Trustees and Chief Compliance Officer of GMO Trust fees		751
Unrealized depreciation on open forward currency contracts (Note 2)		5,760,113
Accrued expenses		120,003
Total liabilities		34,046,837
Net assets	$	681,334,742
Net assets attributable to:
Class III shares	$	88,204,052
Class VI shares	$	593,130,690
Shares outstanding:
Class III		4,137,904
Class VI		27,807,186
Net asset value per share:
Class III	$	21.32
Class VI	$	21.33

See accompanying notes to the financial statements.

4

GMO Special Situations Fund

(A Series of GMO Trust)

Statement of Operations — Period from July 31, 2007
(commencement of operations) through February 29, 2008

Investment Income:
Dividends	$	77,313
Interest		9,566,216
Total investment income		9,643,529
Expenses:
Management fee (Note 3)		1,092,706
Shareholder service fee – Class III (Note 3)		38,058
Shareholder service fee – Class VI (Note 3)		148,475
Custodian, fund accounting agent and transfer agent fees		36,878
Audit and tax fees		93,232
Legal fees		9,629
Trustees fees and related expenses (Note 3)		2,724
Miscellaneous		9,429
Total expenses		1,431,131
Fees and expenses reimbursed by Manager (Note 3)		(145,170	)
Net expenses		1,285,961
Net investment income (loss)		8,357,568
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		11,527
Foreign currency, forward contracts and foreign currency related transactions		28,520,798
Net realized gain (loss)		28,532,325
Change in net unrealized appreciation (depreciation) on:
Investments		72,150
Foreign currency, forward contracts and foreign currency related transactions		7,711,806
Net unrealized gain (loss)		7,783,956
Net realized and unrealized gain (loss)		36,316,281
Net increase (decrease) in net assets resulting from operations	$	44,673,849

See accompanying notes to the financial statements.

5

GMO Special Situations Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Period from July 31, 2007 (commencement of operations) through February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	8,357,568
Net realized gain (loss)		28,532,325
Change in net unrealized appreciation (depreciation)		7,783,956
Net increase (decrease) in net assets from operations		44,673,849
Net share transactions (Note 7):
Class III		85,973,660
Class VI		550,687,233
Increase (decrease) in net assets resulting from net share transactions		636,660,893
Total increase (decrease) in net assets		681,334,742
Net assets:
Beginning of period		—
End of period	$	681,334,742

See accompanying notes to the financial statements.

6

GMO Special Situations Fund

(A Series of GMO Trust)

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

	Period from August 13, 2007 (commencement of operations) through February 29, 2008
Net asset value, beginning of period	$	20.09
Income (loss) from investment operations:
Net investment income (loss)†		0.31
Net realized and unrealized gain (loss)		0.92
Total from investment operations		1.23
Net asset value, end of period	$	21.32
Total Return(a)		6.12	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	88,204
Net expenses to average daily net assets		0.53	%*
Net investment income to average daily net assets		2.71	%*
Portfolio turnover rate		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*

(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.

††  Calculation represents portfolio turnover rate of the Fund for the period from July 31, 2007 (commencement of operations) through February 29, 2008.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

7

GMO Special Situations Fund

(A Series of GMO Trust)

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

	Period from July 31, 2007 (commencement of operations) through February 29, 2008
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.34
Net realized and unrealized gain (loss)		0.99
Total from investment operations		1.33
Net asset value, end of period	$	21.33
Total Return(a)		6.65	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	593,131
Net expenses to average daily net assets		0.43	%*
Net investment income to average daily net assets		2.84	%*
Portfolio turnover rate		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%*

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

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover rate of the Fund for the period from July 31, 2007 (commencement of operations) through February 29, 2008.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

8

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008 (Unaudited)

1.  Organization

GMO Special Situations Fund (the "Fund"), which commenced operations on July 31, 2007, 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 Funds into classes.

The Fund's investment objectives are capital appreciation and capital preservation. The Fund seeks to achieve its investment objectives by implementing investment strategies that are intended to complement long-only investments in global equities and fixed income instruments. The Fund may have long or short exposure to foreign and U.S. equity securities (including both growth and value style equities and equities of any market capitalization), foreign and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), currencies, and, from time to time, other alternative asset classes (e.g., instruments that seek exposure to or hedge risks of market volatility). The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially exposed (long or short) to a single asset class (e.g., equity securities or fixed income securities). In addition, the Fund is not restricted in its exposure to any particular market. The Fund may have substantial exposure (long or short) to a particular country or type of country (e.g., emerging countries). The Fund could be subject to material losses from a single investment. The Fund does not seek to control risk relative to a particular securities market index or benchmark. In addition, the Fund does not seek to outperform a particular securities market index or blend of market indices.

For the period July 31, 2007 through February 29, 2008, the Fund's Class VI shares were operational and for the period August 13, 2007 through February 29, 2008, the Fund's Class III shares were operational. Each class of shares bears a different level of shareholder service fees.

Shares of the Fund are not publicly offered and are principally available only to other funds of the Trust and certain accredited investors.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

9

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

10

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

Futures contracts

The Fund may purchase and sell futures contracts. 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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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

11

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

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. There were no purchased option contracts outstanding at the end of the period.

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.

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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

12

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. There were no swap agreements outstanding at the end of the period.

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. There were no repurchase agreements outstanding at the end of the period.

13

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

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, 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 29, 2008, the Fund did not participate in securities lending.

Taxes

The Fund elected to be taxed 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 and state income taxes is reflected in the accompanying financial statements.

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)		Net Unrealized Appreciation (Depreciation)
$	600,472,829	$	72,150	$	—	$	72,150

Distributions

The Fund does not intend to make any distributions to its shareholders but may do so at the sole discretion of the Trustees.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

14

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations.

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Investment risks

There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value

15

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.37% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in other Funds of the Trust, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)) exceed 0.37% of the 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 period ended February 29, 2008 was $2,048 and $1,997, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 29, 2008 aggregated $0 and $0, 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

16

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008 (Unaudited)

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 shareholders and related parties

As of February 29, 2008, 78.48% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, there were no shares held by related parties, and all of the Fund's shares were held by accounts for which the Manager has investment discretion.

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 August 13, 2007, (commencement of operations) through February 29, 2008
Class III:	Shares			Amount
Shares sold		4,137,904		$	85,973,660
Shares issued to shareholders in reinvestment of distributions		—			—
Shares repurchased		—			—
Net increase (decrease)		4,137,904		$	85,973,660
	Period from July 31, 2007, (commencement of operations) through February 29, 2008
Class VI:	Shares			Amount
Shares sold		30,240,773		$	602,709,982
Shares issued to shareholders in reinvestment of distributions		—			—
Shares repurchased		(2,433,587	)		(52,022,749	)
Net increase (decrease)		27,807,186		$	550,687,233

17

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Special Situations 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 Special Situations Fund (the "Fund") at February 29, 2008, the results of its operations for the period then ended, the changes in its net assets for the period then ended 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 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 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

18

GMO Special Situations Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below for each class provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below for each class 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		0.53	%	$	1,000.00	$	1,035.00	$	2.68
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.23	$	2.66
Class VI
1) Actual		0.43	%	$	1,000.00	$	1,035.40	$	2.18
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16

*  Expenses are calculated using the annualized expense ratio for the six months ended February 29,2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

19

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

20

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

21

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Emerging Country Debt Fund returned +5.1% for the fiscal year ended February 29, 2008, as compared to +5.5% for the JPMorgan Emerging Markets Bond Index Global (EMBIG).

The Fund underperformed the benchmark during the fiscal year by 0.4%. EMBIG spreads over U.S. Treasuries widened 119 basis points to 306 basis points, while the yield on the 10-year U.S. Treasury bond fell by 105 basis points to 3.51%. The EMBIG return of +5.5% was less than its average yield of 6.6% due to the net effect of the two components of return.

The biggest gainers of the fiscal year were Ivory Coast (+53.0%), Ecuador (+26.4%), and Iraq (+23.0%). The worst performing countries for the year were Argentina (-18.9%), Venezuela (-9.7%), and Pakistan (-3.9%). Latin American countries underperformed those outside the region, +4.0% to +7.1%.

Market selection subtracted value, primarily from the Argentina and Uruguay overweights and Malaysia underweight. Overweighting Ivory Coast and underweighting Venezuela partially offset these effects. Security selection added 21 basis points of positive alpha in total. The largest contribution came from the Republic of Congo defaulted bank loans that were restructured into performing global bonds in December. Credit default swap protection helped in Turkey and Brazil, and bond selection was positive in Pakistan and Ecuador.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .50% on the purchase and .25% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited. Performance for Class IV shares will vary due to different fees.

*  JPMorgan EMBIG + represents the JPMorgan EMBI+ prior to 12/31/99 and the JPMorgan EMBIG thereafter. The Manager changed the benchmark due to the belief that the EMBIG is more diversified and representative of the universe of emerging country debt.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		105.4	%
Loan Participations		5.1
Options Purchased		3.7
Short-Term Investments		2.9
Loan Assignments		1.7
Swaps		0.8
Rights and Warrants		0.7
Promissory Notes		0.3
Futures		(0.0	)
Forward Currency Contracts		(0.4	)
Written Options		(0.8	)
Reverse Repurchase Agreements		(19.9	)
Other		0.5
		100.0	%

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

1

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
Russia		13.4	%
Mexico		12.5
Brazil		11.1
Turkey		8.8
Philippines		6.3
Colombia		5.4
Argentina		5.1
Venezuela		5.0
Uruguay		4.9
Ukraine		3.3
Africa		2.3
Indonesia		2.2
Ecuador		1.8
El Salvador		1.7
Ivory Coast		1.6
Dominican Republic		1.6
South Africa		1.5
Vietnam		1.5
Iraq		0.9
Qatar		0.8
Jamaica		0.7
Kazakhstan		0.7
South Korea		0.7
Peru		0.6
Gabon		0.6
Egypt		0.6
Pakistan		0.6
Aruba		0.5
Panama		0.4
Serbia		0.4
India		0.4
Poland		0.3
Chile		0.3
Bosnia		0.3
Guatemala		0.3
Tunisia		0.2
Costa Rica		0.2
Trinidad		0.2
China		0.1
Thailand		0.1
Belize		0.1
Nicaragua		0.1
Malaysia		0.1
Lebanon		(0.1	)
Sri Lanka		(0.1	)
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

2

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 99.3%
		Argentina — 10.6%
		Foreign Government Obligations
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, Variable Rate, 3.00%, due 05/15/35		3,352,500
USD	24,087	Republic of Argentina, 8.28%, due 12/31/33		18,330
USD	45,719,999	Republic of Argentina Capitalization Bond, Series 2031, 12.00%, due 06/19/31 (a)		15,087,600
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, Variable Rate, 6 mo. LIBOR + .81%, 5.44%, due 03/31/23 (a)		16,000,000
DEM	3,830,000	Republic of Argentina Discount Bond, Variable Rate, 6 mo. DEM LIBOR + .81%, 3.00%, due 03/31/23 (a)		1,486,457
EUR	214,800,000	Republic of Argentina GDP Linked, Variable Rate, 1.26%, due 12/15/35 (b)		36,359,996
USD	71,474	Republic of Argentina GDP Linked, Variable Rate, 1.32%, due 12/15/35 (b)		8,791
ARS	28,000,000	Republic of Argentina GDP Linked, Variable Rate, 1.38%, due 12/15/35 (b)(c)		704,397
DEM	5,000,000	Republic of Argentina Global Bond, 9.00%, due 11/19/08 (a)(c)		1,125,516
ARS	5,999,662	Republic of Argentina Global Bond, 2.00%, due 02/04/18 (c)		1,951,480
USD	26,545,000	Republic of Argentina Global Bond, 12.13%, due 02/25/19 (a)		8,494,400
USD	6,931,000	Republic of Argentina Global Bond, 12.00%, due 02/01/20 (a)		2,217,920
USD	13,540,000	Republic of Argentina Global Bond, 8.88%, due 03/01/29 (a)		4,332,800
USD	31,390,000	Republic of Argentina Global Bond, EMTN, Reg. S, Variable Rate, 3 mo. LIBOR + .58%, 10.29%, due 04/06/04 (a)		10,044,800
USD	198,230	Republic of Argentina Global Bond, Series 2008, Step Up, 15.50%, due 12/19/08 (a)		65,416
USD	28,054,525	Republic of Argentina Global Bond, Series 2018, 12.25%, due 06/19/18 (a)		9,257,993
USD	8,000,000	Republic of Argentina Global Bond, Series BT04, 9.75%, due 09/19/27 (a)		2,640,000
DEM	20,000,000	Republic of Argentina Global Bond, Series DM, 5.87%, due 03/31/23 (a)		7,762,178
EUR	3,500,000	Republic of Argentina Global Bond, Series FEB, Step Down, 8.00%, due 02/26/08 (a)		1,663,133
ARS	28,000,000	Republic of Argentina Global Bond, Step Up, 0.63%, due 12/31/38 (c)		2,888,859
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (a)		7,500,000
USD	2,000,000	Republic of Argentina Pro 4, 2.00%, due 12/28/10 (a)		319,800
USD	7,211,000	Republic of Argentina, Series BGLO, 8.38%, due 12/20/03 (a)		2,379,630
USD	46,000,000	Republic of Argentina, Series F, 0.00%, due 10/15/04 (a)		11,500,000
EUR	284,000,000	Republic of Argentina, Step Up, 1.20%, due 12/31/38		149,179,492
USD	17,000,000	Republic of Argentina, Step Up, 1.33%, due 12/31/38 (d)		5,635,500
		Total Argentina		301,976,988

See accompanying notes to the financial statements.

3

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Aruba — 1.2%
		Foreign Government Obligations
USD	5,000,000	Government of Aruba, 6.19%, due 10/30/12		5,000,000
USD	3,500,000	Government of Aruba, 6.71%, due 10/15/13		3,605,000
USD	3,752,000	Government of Aruba, 6.80%, due 04/02/14		3,752,000
USD	20,000,000	Government of Aruba, Reg S, 6.40%, due 09/06/15		20,400,000
		Total Aruba		32,757,000
		Belize — 0.1%
		Foreign Government Obligations
USD	4,023,400	Government of Belize, Reg S, Step Up, 4.25%, due 02/20/29		2,937,082
		Bosnia & Herzegovina — 0.5%
		Foreign Government Obligations
DEM	23,224,480	Bosnia & Herzegovina, Series A, Step Up, Variable Rate, 6 mo. DEM LIBOR + .81%, 5.65%, due 12/11/17		14,692,212
		Brazil — 4.6%
		Foreign Government Obligations
USD	10,100,000	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		10,100,000
USD	395,455	Brazilian Government International Exit Bonds Odd Lot, 6.00%, due 09/15/13		395,455
EUR	8,000,000	Republic of Brazil, 8.50%, due 09/24/12		13,513,964
USD	12,500,000	Republic of Brazil, 8.00%, due 01/15/18 (d)		14,156,250
USD	14,000,000	Republic of Brazil, 8.75%, due 02/04/25 (d)		17,325,000
USD	64,000,000	Republic of Brazil, 8.25%, due 01/20/34 (d)		76,960,000
		Total Brazil		132,450,669
		China — 0.3%
		Foreign Government Obligations
USD	7,500,000	China Government International Bond, 6.80%, due 05/23/11		8,330,142

See accompanying notes to the financial statements.

4

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Colombia — 0.5%
		Foreign Government Obligations
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		9,280,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28		4,921,000
		Total Colombia		14,201,000
		Congo Republic (Brazzaville) — 2.1%
		Foreign Government Obligations
USD	109,865,600	Republic of Congo, 2.50%, due 06/30/29		59,327,424
		Costa Rica — 0.3%
		Foreign Government Obligations
USD	3,000,000	Republic of Costa Rica, Reg S, 8.05%, due 01/31/13		3,307,500
USD	3,710,000	Republic of Costa Rica, Reg S, 10.00%, due 08/01/20		4,850,825
		Total Costa Rica		8,158,325
		Dominican Republic — 2.3%
		Asset-Backed Securities — 0.4%
USD	12,941,042	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 04/15/24		12,682,221
		Foreign Government Obligations — 1.9%
USD	1,231,853	Dominican Republic Bond, Variable Rate, 6 mo. LIBOR + .81%, 3.88%, due 08/30/09		1,228,773
USD	42,557,000	Dominican Republic Bond, Variable Rate, 6 mo. LIBOR + .81%, 5.72%, due 08/30/24		42,450,608
USD	9,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		9,810,000
				53,489,381
		Total Dominican Republic		66,171,602

See accompanying notes to the financial statements.

5

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Ecuador — 1.8%
		Foreign Government Obligations
USD	47,087,000	Republic of Ecuador, 10.00%, due 08/15/30 (d)		46,145,260
USD	2,349,332	Republic of Ecuador PDI (Global Bearer Capitalization Bond), PIK, Variable Rate, 6 mo. LIBOR + .81%, 3.88%, due 02/27/15 (c)		1,825,666
USD	2,000,000	Republic of Ecuador, Reg S, 9.38%, due 12/15/15 (d)		2,045,000
		Total Ecuador		50,015,926
		Egypt — 0.1%
		Corporate Debt
USD	1,698,396	Petroleum Export, 144A, 5.27%, due 06/15/11		1,694,150
		El Salvador — 1.4%
		Foreign Government Obligations
USD	37,000,000	Republic of El Salvador, Reg S, 7.65%, due 06/15/35		39,775,000
		Gabon — 0.8%
		Foreign Government Obligations
USD	21,000,000	Gabonese Republic, 144A, 8.20%, due 12/12/17		22,023,750
		Grenada — 0.1%
		Foreign Government Obligations
USD	6,000,000	Government of Grenada, Reg S, Step Up, 1.00%, due 09/15/25		3,240,000
		Guatemala — 0.3%
		Foreign Government Obligations
USD	6,750,000	Republic of Guatemala, Reg S, 8.13%, due 10/06/34		7,897,500
		Indonesia — 1.3%
		Corporate Debt — 1.0%
USD	31,000,000	Majapahit Holding BV, 144A, 7.88%, due 06/29/37 (d)		28,830,000
		Foreign Government Obligations — 0.3%
USD	8,000,000	Republic of Indonesia, 144A, 7.75%, due 01/17/38		8,380,000
		Total Indonesia		37,210,000

See accompanying notes to the financial statements.

6

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Iraq — 0.4%
		Foreign Government Obligations
USD	16,000,000	Republic of Iraq, Reg S, 5.80%, due 01/15/28		11,700,000
		Ivory Coast — 1.9%
		Foreign Government Obligations
FRF	37,500,000	Ivory Coast Discount Bond, Series FRF, Variable Rate, Step Up, 3.00%, due 03/31/28 (a)		3,862,163
FRF	85,905,000	Ivory Coast FLIRB, Series FRF, Variable Rate, Step Up, 2.50%, due 03/29/18 (a)		6,759,844
USD	69,850,000	Ivory Coast FLIRB, Variable Rate, Step Up, 3.00%, due 03/30/18 (a)		24,447,500
FRF	256,889,500	Ivory Coast PDI, Series FRF, Variable Rate, Step Up, 1.90%, due 03/30/18 (a)		20,214,574
		Total Ivory Coast		55,284,081
		Jamaica — 0.7%
		Corporate Debt — 0.4%
USD	12,000,000	Air Jamaica Ltd., Reg S, 9.38%, due 07/08/15		12,720,000
		Foreign Government Obligations — 0.3%
USD	9,000,000	Government of Jamaica, 8.00%, due 03/15/39		8,640,000
		Total Jamaica		21,360,000
		Malaysia — 1.1%
		Corporate Debt
MYR	45,000,000	Transshipment Megahub Berhad, Series C, 5.45%, due 11/03/09		14,220,535
MYR	50,000,000	Transshipment Megahub Berhad, Series F, 6.70%, due 11/03/12		16,638,754
		Total Malaysia		30,859,289
		Mexico — 8.1%
		Corporate Debt — 3.9%
GBP	7,689,000	Pemex Project Funding Master Trust, EMTN, 7.50%, due 12/18/13		15,679,486
EUR	30,000,000	Pemex Project Funding Master Trust, Reg S, 6.38%, due 08/05/16		46,906,281

See accompanying notes to the financial statements.

7

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Corporate Debt — continued
EUR	26,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25		35,805,568
ITL	16,955,000,000	Petroleos Mexicanos, EMTN, Variable Rate, 12 mo. EUR LIBOR, 7.12%, due 03/04/08		13,260,487
				111,651,822
		Foreign Government Obligations — 4.2%
USD	58,000,000	United Mexican States, 6.05%, due 01/11/40 (d)		57,420,000
GBP	29,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24		61,089,567
				118,509,567
		Total Mexico		230,161,389
		Nicaragua — 0.2%
		Foreign Government Obligations
USD	6,173,169	Republic of Nicaragua BPI, Series E, 5.00%, due 02/01/11		5,442,451
		Pakistan — 0.6%
		Foreign Government Obligations
USD	20,000,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		17,800,000
		Peru — 4.2%
		Asset-Backed Securities — 0.2%
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., 144A, 0.00%, due 05/31/25		4,669,500
		Foreign Government Obligations — 4.0%
USD	20,217,000	Peru FLIRB, Series 20 Yr., Variable Rate, Step Up, 6.44%, due 03/07/17		20,166,458
USD	25,000,000	Peru Par Bond, Series 30 Yr., Step Up, 3.00%, due 03/07/27		20,000,000
USD	1,726,769	Peru Trust II, Series 98-A LB, 0.00%, due 02/28/16		1,396,438
USD	4,748,850	Peru Trust, Series 97-I-P, Class A3, 0.00%, due 12/31/15		3,231,592
USD	2,011,034	Racers, Series 1998 I-P, 0.00%, due 03/10/16		1,330,419
USD	5,000,000	Republic of Peru, 7.35%, due 07/21/25		5,600,000

See accompanying notes to the financial statements.

8

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
USD	40,381,000	Republic of Peru Discount Bond, Variable Rate, 6 mo. LIBOR + .81%, 6.44%, due 03/07/27		40,280,048
EUR	13,700,000	Republic of Peru Global Bond, 7.50%, due 10/14/14		22,371,033
				114,375,988
		Total Peru		119,045,488
		Philippines — 6.0%
		Corporate Debt — 1.8%
USD	6,000,000	National Power Corp., 9.88%, due 03/16/10		6,540,000
USD	31,600,000	National Power Corp., 9.63%, due 05/15/28		37,209,000
USD	8,500,000	National Power Corp., Global Bond, 8.40%, due 12/15/16		9,388,165
				53,137,165
		Foreign Government Obligations — 4.2%
USD	59,501,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		69,318,665
EUR	12,000,000	Republic of Philippines, 9.13%, due 02/22/10		19,425,640
USD	27,843,000	Republic of Philippines, 8.38%, due 02/15/11 (d)		30,383,674
				119,127,979
		Total Philippines		172,265,144
		Poland — 0.6%
		Foreign Government Obligations
USD	10,000,000	Delphes Co. No. 2 Ltd., EMTN, Reg S, 7.75%, due 05/05/09		10,536,480
USD	6,000,000	Poland Government International Bond, 6.25%, due 07/03/12		6,618,000
		Total Poland		17,154,480
		Qatar — 0.5%
		Foreign Government Obligations
USD	10,000,000	State of Qatar, Reg S, 9.75%, due 06/15/30		15,575,000

See accompanying notes to the financial statements.

9

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Russia — 15.3%
		Corporate Debt — 9.4%
EUR	40,000,000	Gaz Capital (Gazprom), EMTN, 5.36%, due 10/31/14		54,805,215
EUR	38,000,000	Gaz Capital (Gazprom), EMTN, Reg S, 5.88%, due 06/01/15		53,651,421
EUR	21,000,000	Gaz Capital (Gazprom), Reg S, 5.44%, due 11/02/17		27,138,829
USD	14,553,795	Gazprom International SA, Reg S, 7.20%, due 02/01/20		14,935,832
USD	31,433,816	Gazstream SA, Reg S, 5.63%, due 07/22/13 (d)		31,314,211
USD	50,000,000	RSHB Capital SA, 144A, 6.30%, due 05/15/17		46,640,000
USD	14,000,000	RSHB Capital SA, Reg S, 7.18%, due 05/16/13 (d)		14,332,500
USD	8,000,000	Sberbank Capital SA, EMTN, 6.48%, due 05/15/13		8,115,040
USD	19,000,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		17,739,236
				268,672,284
		Foreign Government Obligations — 5.9%
USD	146,017,921	Russian Federation, Reg S, Step Up, 7.50%, due 03/31/30 (d)		167,007,998
		Total Russia		435,680,282
		Serbia — 0.5%
		Foreign Government Obligations
USD	14,966,026	Republic of Serbia, Reg S, Step Up, 3.75%, due 11/01/24		14,030,649
		South Africa — 1.3%
		Foreign Government Agency — 0.1%
ZAR	163,000,000	Eskom Holdings Ltd., 0.00%, due 12/31/32		2,018,866
		Foreign Government Obligations — 1.2%
USD	8,000,000	Republic of South Africa, 5.88%, due 05/30/22		7,520,000
EUR	20,000,000	Republic of South Africa, EMTN, 4.50%, due 04/05/16		27,144,522
				34,664,522
		Total South Africa		36,683,388
		Sri Lanka — 0.6%
		Foreign Government Obligations
USD	19,000,000	Republic of Sri Lanka, 144A, 8.25%, due 10/24/12		16,910,000

See accompanying notes to the financial statements.

10

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Thailand — 0.2%
		Corporate Debt
USD	5,000,000	PTT Public Co. Ltd., 5.75%, due 08/01/14		5,186,645
		Trinidad & Tobago — 0.5%
		Corporate Debt
USD	8,000,000	First Citizens St. Lucia, Reg S, 5.13%, due 02/14/11		8,153,680
USD	7,000,000	First Citizens St. Lucia, Reg S, 5.46%, due 02/01/12		7,207,480
		Total Trinidad & Tobago		15,361,160
		Tunisia — 0.1%
		Foreign Government Agency
JPY	360,000,000	Banque Centrale De Tunisie, Series 6BR, 4.35%, due 08/15/17		3,846,376
		Turkey — 2.5%
		Foreign Government Obligations
USD	18,000,000	Republic of Turkey, 7.38%, due 02/05/25 (d)		18,337,500
USD	56,000,000	Republic of Turkey, 6.88%, due 03/17/36 (d)		51,660,000
		Total Turkey		69,997,500
		Ukraine — 4.7%
		Foreign Government Agency — 0.7%
USD	9,000,000	Credit Suisse First Boston, The EXIM of Ukraine, 6.80%, due 10/04/12		8,719,200
USD	10,000,000	Dresdner Kleinwort Wasserstein for CJSC, The EXIM of Ukraine, 7.75%, due 09/23/09		10,163,000
				18,882,200
		Foreign Government Obligations — 4.0%
USD	18,000,000	City of Kyiv, 144A, 8.25%, due 11/26/12		18,275,040
CHF	100,000,000	Ukraine Government, 3.50%, due 09/15/18		96,121,538
				114,396,578
		Total Ukraine		133,278,778

See accompanying notes to the financial statements.

11

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		United Kingdom — 0.0%
		Asset-Backed Securities
GBP	108,878	RMAC, Series 03-NS2A, Class A2A, 144A, AMBAC, Variable Rate, 3 mo. GBP LIBOR + .40%, 7.03%, due 09/12/35		216,302
		United States — 8.6%
		Asset-Backed Securities — 8.3%
USD	4,000,000	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + .48%, 3.60%, due 05/15/24		2,600,000
USD	45,000,000	Chase Issuance Trust, Series 06-A5, Class A, Variable Rate, 1 mo. LIBOR + .02%, 3.14%, due 11/15/13		43,705,791
USD	283,547	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .34%, 3.48%, due 10/25/34		226,837
USD	1,373,706	CHYPS CBO, Series 97-1A, Class A2A, 144A, 6.72%, due 01/15/10		259,163
USD	12,797,011	Citigroup Mortgage Loan Trust, Inc., Series 05-HE3, Class A2C, 3.40%, due 09/25/35		12,738,144
USD	1,967,889	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .44%, 3.58%, due 10/25/30		1,885,712
USD	32,584,560	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 12/15/35		24,243,238
USD	22,730,306	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, Variable Rate, 1 mo. LIBOR + .24%, 3.36%, due 12/15/35		17,363,453
USD	19,350,214	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, Variable Rate, 1 mo. LIBOR + .20%, 3.32%, due 05/15/36		13,078,422
USD	8,041,471	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, Variable Rate, 1 mo. LIBOR + .35%, 3.49%, due 11/25/35		6,918,000
USD	761,560	Golden Securities Corp., Series 03-A, Class A1, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .30%, 3.56%, due 12/02/13		759,739
USD	25,765,628	Greenpoint Mortgage Funding Trust, Series 07-HE1, Class A1, Variable Rate, 1 mo. LIBOR + .15%, 3.29%, due 12/13/32		18,035,940
USD	11,281,095	GSAMP Trust, Series 05-HE6, Class A2B, 3.33%, due 11/25/35		9,588,930
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, Variable Rate, 1 mo. LIBOR + .23%, 3.37%, due 05/25/37		5,993,075
USD	10,000,000	IXIS Real Estate Capital Trust, Series 06-HE2, Class A3, 3.30%, due 08/25/36		8,707,000
USD	4,031,252	Master Asset-Backed Securities Trust, Series 06-FRE1, Class A2, Variable Rate, 1 mo. LIBOR + .12%, 3.26%, due 12/25/35		3,910,315

See accompanying notes to the financial statements.

12

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	13,000,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, Variable Rate, 1 mo. LIBOR + .16%, 3.28%, due 10/25/36		8,840,000
USD	13,000,000	Morgan Stanley ABS Capital I, Series 06-NC3, Class A2C, Variable Rate, 1 mo. LIBOR + .17%, 3.31%, due 03/25/36		10,725,000
USD	10,000,000	Morgan Stanley ACES SPC, Series 04-15, Class I, 144A, Variable Rate, 3 mo. LIBOR + .45%, 5.38%, due 12/20/09		9,455,000
USD	15,000,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + .15%, 3.27%, due 11/25/36		11,475,000
USD	15,200,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + .22%, 3.36%, due 11/25/36		10,384,640
USD	12,868,000	Option One Mortgage Loan Trust, Series 06-3, Class 2A4, Variable Rate, 1 mo. LIBOR + .22%, 3.36%, due 02/25/37		8,364,200
USD	178,329	Quest Trust, Series 03-X4A, Class A, 144A, AMBAC, Variable Rate, 1 mo. LIBOR + .43%, 3.57%, due 12/25/33		151,579
USD	2,656,171	SHYPPCO Finance Co., LLC, Series 1I, Class A2B, 6.64%, due 06/15/10		2,523,362
USD	8,000,000	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + .36%, 3.50%, due 04/25/37		4,405,285
				236,337,825
		U.S. Government — 0.3%
USD	5,000,000	U.S. Treasury Note, 2.63%, due 05/15/08 (d) (e)		5,007,031
USD	5,000,000	U.S. Treasury Note, 4.13%, due 08/15/08 (e)		5,050,781
				10,057,812
		Total United States		246,395,637
		Uruguay — 5.4%
		Foreign Government Obligations
EUR	2,000,000	Republic of Uruguay, 7.00%, due 06/28/19		3,218,478
USD	11,500,000	Republic of Uruguay, 8.00%, due 11/18/22		12,402,750
USD	83,651,571	Republic of Uruguay, 7.63%, due 03/21/36		85,951,989
USD	21,745,700	Republic of Uruguay, PIK, 7.88%, due 01/15/33		23,050,442
USD	400,000	Republica Orient Uruguay, 7.25%, due 05/04/14		400,440
EUR	10,000,000	Republica Orient Uruguay, 6.88%, due 01/19/16		15,371,269
JPY	1,483,200,000	Republica Orient Uruguay, Series 3BR, Step Up, 2.50%, due 03/14/11		12,706,209
		Total Uruguay		153,101,577

See accompanying notes to the financial statements.

13

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Venezuela — 6.1%
		Foreign Government Agency — 0.3%
USD	16,000,000	Petroleos De Venezuela, 5.38%, due 04/12/27 (d)		9,624,000
		Foreign Government Obligations — 5.8%
EUR	30,000,000	Republic of Venezuela, 11.00%, due 03/05/08		45,430,639
EUR	8,400,000	Republic of Venezuela, 11.13%, due 07/25/11		13,645,132
EUR	12,000,000	Republic of Venezuela, 7.00%, due 03/16/15		16,213,842
USD	4,000,000	Republic of Venezuela, 6.00%, due 12/09/20		3,070,000
USD	74,300,000	Republic of Venezuela, 7.65%, due 04/21/25 (d)		63,340,750
USD	12,000,000	Republic of Venezuela, 9.38%, due 01/13/34 (d)		11,760,000
USD	14,000,000	Republic of Venezuela, 7.00%, due 03/31/38		10,360,000
USD	1,434,783	Republic of Venezuela DCB IL, Variable Rate, 6 mo. LIBOR + .88%, 5.75%, due 12/18/08		1,434,783
				165,255,146
		Total Venezuela		174,879,146
		Vietnam — 0.9%
		Foreign Government Obligations
USD	4,000,000	Socialist Republic of Vietnam, Series 30 Yr., Variable Rate, 6.31%, due 03/13/28		3,880,000
USD	19,750,000	Vietnam Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/12/28		16,787,500
USD	4,434,783	Vietnam PDI, Series 18 Yr., Variable Rate, Step Up, 6.31%, due 03/12/16		4,390,435
		Total Vietnam		25,057,935
		TOTAL DEBT OBLIGATIONS (COST $2,774,809,036)		2,830,131,467
		LOAN ASSIGNMENTS — 1.7%
		Indonesia — 1.0%
JPY	172,800,002	Republic of Indonesia Loan Agreement, 6 mo. JPY LIBOR + .88%, 1.58%, due 03/28/13		1,617,557
USD	3,694,761	Republic of Indonesia Loan Agreement, dated January 1, 1994, 3 mo. LIBOR + .88%, 6.23%, due 03/29/13		3,620,866
USD	3,775,200	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		3,586,440

See accompanying notes to the financial statements.

14

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Indonesia — continued
USD	3,775,200	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		3,586,440
USD	5,033,600	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		4,781,920
USD	2,947,139	Republic of Indonesia Loan Agreement, dated September 29, 1994, 7.24%, due 12/01/19		2,740,839
USD	940,891	Republic of Indonesia Loan Agreement, dated September 29, 1994, 7.83%, due 12/01/19		875,029
USD	2,765,778	Republic of Indonesia Loan Agreement, dated September 29, 1994, Variable Rate, 6.31%, due 12/01/19		2,572,174
EUR	3,262,131	Republic of Indonesia, Indonesia Paris Club Debt *		3,999,066
		Total Indonesia		27,380,331
		Russia — 0.2%
USD	3,955,201	Russia Foreign Trade Obligations * (c)		5,579,241
DEM	45,916	Russia Foreign Trade Obligations * (c)		33,648
FIM	1,740,000	Russia Foreign Trade Obligations * (c)		443,157
GBP	14,162	Russia Foreign Trade Obligations * (c)		37,529
USD	265,723	Russia Foreign Trade Obligations * (c)		368,098
USD	80,572	Russia Foreign Trade Obligations * (c)		109,810
		Total Russia		6,571,483
		Vietnam — 0.5%
USD	16,000,000	Vietnam Shipbuilding Industry Group Loan Agreement, 6 mo. LIBOR + .15%, 6.89%, due 06/26/15		15,440,000
		TOTAL LOAN ASSIGNMENTS (COST $41,359,204)		49,391,814
		LOAN PARTICIPATIONS — 5.1%
		Egypt — 0.1%
CHF	5,645,535	Paris Club Loan Agreement (Participation with Standard Chartered Bank), 0.00%, due 01/03/24 *		3,791,501

See accompanying notes to the financial statements.

15

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value		Description	Value ($)
		Indonesia — 1.8%
USD	464,640	Republic of Indonesia Loan Agreement (Participation with Citibank), 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		441,408
USD	464,640	Republic of Indonesia Loan Agreement (Participation with Citibank), 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		441,408
USD	619,520	Republic of Indonesia Loan Agreement (Participation with Citibank), 3 mo. LIBOR + .88%, 6.25%, due 12/14/19		588,544
USD	18,838,919	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + .88%, 6.20%, due 09/29/19		17,190,513
JPY	1,021,596,248	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + 0.88%, 1.58%, due 03/29/13		9,636,773
USD	23,573,762	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + 1.25%, 6.61%, due 02/12/13		21,687,861
		Total Indonesia		49,986,507
		Iraq — 1.2%
JPY	4,926,803,587	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		29,573,151
JPY	643,772,123	Republic of Iraq Paris Club Loan, T Chatani (Participation with Deutsche Bank), due 01/01/28		3,787,405
		Total Iraq		33,360,556
		Poland — 0.3%
JPY	999,999,985	Poland Paris Club Debt (Participation with Deutsche Bank), 2.22%, due 03/31/09		9,768,313
		Russia — 0.8%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd) * (c)		21,784,942
		Vietnam — 0.9%
JPY	3,015,866,610	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), Variable Rate, 6 mo. JPY LIBOR + .71%, 1.31%, due 09/01/17		26,126,480
		TOTAL LOAN PARTICIPATIONS (COST $127,322,899)		144,818,299

See accompanying notes to the financial statements.

16

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Par Value / Principal Amount		Description	Value ($)
		PROMISSORY NOTES — 0.3%
		Dominican Republic — 0.1%
USD	1,186,200	Dominican Republic Promissory Notes, 0.00%, due 3/15/2008		1,183,234
USD	1,089,012	Dominican Republic Promissory Notes, 0.00%, due 9/15/2009		975,755
USD	817,249	Dominican Republic Promissory Notes, 0.00%, due 9/15/2010		682,403
USD	817,249	Dominican Republic Promissory Notes, 0.00%, due 9/15/2011		636,637
		Total Dominican Republic		3,478,029
		Ghana — 0.0%
USD	5,312,500	Republic of Ghana Promissory Notes, 0.00%, due 8/9/2007 (a)(f)		531,250
		Nigeria — 0.2%
USD	33,450,000	Central Bank of Nigeria Promissory Notes, Series RC, 5.09%, due 1/5/2010		4,933,875
		TOTAL PROMISSORY NOTES (COST $30,341,429)		8,943,154
		OPTIONS PURCHASED — 3.7%
		Currency Options — 3.3%
EUR	50,000,000	EUR Put/TRY Call, Expires 01/15/09, Strike 2.44		15,522,619
EUR	45,000,000	EUR Put/TRY Call, Expires 05/02/08, Strike 2.10		7,591,407
EUR	45,000,000	EUR Put/TRY Call, Expires 10/31/08, Strike 2.45		15,962,639
EUR	23,000,000	EUR Put/TRY Call, Expires 12/12/08, Strike 2.49		8,259,484
TRY	44,000,000	TRY Call/CZK Put, Expires 04/23/08, Strike 13.32		540,170
USD	70,000,000	USD Put/BRL Call, Expires 04/30/08, Strike 2.44		29,654,823
USD	45,000,000	USD Put/BRL Call, Expires 12/09/08, Strike 2.40		15,486,815
		Total Currency Options		93,017,957
		Options on Interest Rates — 0.0%
TWD	1,849,200,000	TWD Interest Rate Cap Call Option, Expires 03/16/10, Strike 2.19%		257,945
TWD	1,849,200,000	TWD Interest Rate Floor Call Option, Expires 03/16/10, Strike 2.19%		125,024
		Total Options on Interest Rates		382,969

See accompanying notes to the financial statements.

17

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Principal Amount / Shares		Description	Value ($)
		Options on Interest Rate Swaps — 0.4%
KRW	72,000,000,000	KRW Swaption Call, Expires 02/24/09, Strike 6.05%		3,510,000
KRW	50,000,000,000	KRW Swaption Call, Expires 03/21/11, Strike 5.64%		1,344,000
KRW	72,000,000,000	KRW Swaption Call, Expires 04/08/09, Strike 6.20%		3,900,960
KRW	90,000,000,000	KRW Swaption Call, Expires 04/27/09, Strike 5.42%		2,503,800
KRW	72,000,000,000	KRW Swaption Put, Expires 02/24/09, Strike 6.05%		50,400
KRW	50,000,000,000	KRW Swaption Put, Expires 03/21/11, Strike 5.64%		494,500
KRW	72,000,000,000	KRW Swaption Put, Expires 04/08/09, Strike 6.20%		41,040
KRW	90,000,000,000	KRW Swaption Put, Expires 04/27/09, Strike 5.42%		663,300
		Total Options on Interest Rate Swaps		12,508,000
		TOTAL OPTIONS PURCHASED (COST $42,613,568)		105,908,926
		MUTUAL FUNDS — 6.7%
		United States — 6.7%
		Affiliated Issuers
	5,854,092	GMO Short-Duration Collateral Fund		140,673,840
	21,409	GMO Special Purpose Holding Fund (c)(g)		26,976
	1,933,999	GMO World Opportunity Overlay Fund		49,665,090
		Total United States		190,365,906
		TOTAL MUTUAL FUNDS (COST $197,475,629)		190,365,906
		RIGHTS AND WARRANTS — 0.8%
		Mexico — 0.0%
	2,942,000	United Mexican States Value Recovery Rights, Series F, Expires 06/30/08 **		40,011
		Nigeria — 0.2%
	25,000	Central Bank of Nigeria Warrants, Expires 11/15/20 **		5,750,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 **		—

See accompanying notes to the financial statements.

18

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		Venezuela — 0.6%
	164,215	Republic of Venezuela Bond Warrants, Expires 04/15/20 **		5,952,794
	262,360	Republic of Venezuela Recovery Warrants, Expires 04/15/20 **		9,510,550
		Total Venezuela		15,463,344
		TOTAL RIGHTS AND WARRANTS (COST $0)		21,253,355
		SHORT-TERM INVESTMENTS — 2.3%
		Money Market Funds — 1.3%
	35,996,370	State Street Institutional Liquid Reserves Fund-Institutional Class		35,996,370
		Other Short-Term Investments — 1.0%
	8,500,000	U.S. Treasury Bill, 1.78%, due 05/01/08 (e)(h)		8,474,509
	16,500,000	U.S. Treasury Bill, 1.78%, due 06/19/08 (d)(e)(h)		16,411,626
	5,000,000	U.S. Treasury Bill, 1.79%, due 07/24/08 (e)(h)		4,964,645
				29,850,780
		TOTAL SHORT-TERM INVESTMENTS (COST $65,751,163)		65,847,150
		TOTAL INVESTMENTS — 119.9% (Cost $3,279,672,928)		3,416,660,071
		Other Assets and Liabilities (net) — (19.9%)		(567,557,850	)
		TOTAL NET ASSETS — 100.0%	$	2,849,102,221

See accompanying notes to the financial statements.

19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
4/01/08	CHF		100,000,000	$	96,035,689	$	(4,005,503	)
4/15/08	EUR		78,400,000		118,866,966		(5,442,466	)
3/25/08	GBP		35,000,000		69,451,200		(648,200	)
4/22/08	JPY		11,000,000,000		106,192,562		(3,943,073	)
				$	390,546,417	$	(14,039,242	)

Forward Cross Currency Contracts

Settlement Date		Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
	4/14/08	TRY	26,305,500	EUR	15,000,000	$	1,494,591

Reverse Repurchase Agreements

Face Value		Description	Market Value
USD	19,326,389	Deutsche Bank, 3.15%, dated 06/15/07, to be repurchased on demand at face value plus accrued interest.	$	(19,843,826	)
EUR	18,440,864	J.P. Morgan Chase Bank, 4.15%, dated 10/12/07, to be repurchased on demand at face value plus accrued interest.		(20,100,623	)
USD	10,702,274	Deutsche Bank, 3.15%, dated 10/18/07, to be repurchased on demand at face value plus accrued interest.		(10,868,769	)
USD	25,388,889	Deutsche Bank, 3.30%, dated 01/10/08, to be repurchased on demand at face value plus accrued interest.		(25,518,654	)
USD	46,414,500	Deutsche Bank, 4.90%, dated 01/14/08, to be repurchased on demand at face value plus accrued interest.		(46,622,463	)
USD	24,920,000	Deutsche Bank, 3.30%, dated 01/31/08, to be repurchased on demand at face value plus accrued interest.		(24,986,246	)

See accompanying notes to the financial statements.

20

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Reverse Repurchase Agreements — (Continued)

Face Value		Description	Market Value
USD	69,807,375	J.P. Morgan Chase Bank, 3.45%, dated 01/31/08, to be repurchased on demand at face value plus accrued interest.	$	(70,001,381	)
USD	19,819,000	J.P. Morgan Chase Bank, 3.20%, dated 01/31/08, to be repurchased on demand at face value plus accrued interest.		(19,870,089	)
USD	7,045,995	J.P. Morgan Chase Bank, 3.65%, dated 01/31/08, to be repurchased on demand at face value plus accrued interest.		(7,066,712	)
USD	28,283,371	J.P. Morgan Chase Bank, 3.74%, dated 02/06/08, to be repurchased on demand at face value plus accrued interest.		(28,347,997	)
USD	43,304,375	Deutsche Bank, 3.30%, dated 02/11/08, to be repurchased on demand at face value plus accrued interest.		(43,375,827	)
USD	9,681,044	Lehman Brothers, 3.50%, dated 02/11/08, to be repurchased on demand at face value plus accrued interest.		(9,696,104	)
USD	20,081,944	Lehman Brothers, 3.60%, dated 02/11/08, to be repurchased on demand at face value plus accrued interest.		(20,114,076	)
USD	14,164,583	Deutsche Bank, 3.30%, dated 02/13/08, to be repurchased on demand at face value plus accrued interest.		(14,184,060	)
USD	111,424,505	Lehman Brothers, 3.50%, dated 02/13/08, to be repurchased on demand at face value plus accrued interest.		(111,532,834	)
USD	14,650,076	Lehman Brothers, 3.50%, dated 02/14/08, to be repurchased on demand at face value plus accrued interest.		(14,662,895	)
USD	2,044,375	Lehman Brothers, 3.35%, dated 02/14/08, to be repurchased on demand at face value plus accrued interest.		(2,046,087	)
USD	17,288,542	Deutsche Bank, 3.25%, dated 02/15/08, to be repurchased on demand at face value plus accrued interest.		(17,305,710	)

See accompanying notes to the financial statements.

21

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Reverse Repurchase Agreements — (Continued)

Face Value		Description	Market Value
USD	11,923,750	Deutsche Bank, 3.30%, dated 02/20/08, to be repurchased on demand at face value plus accrued interest.	$	(11,933,587	)
USD	24,697,465	J.P. Morgan Chase Bank, 3.40%, dated 02/26/08, to be repurchased on demand at face value plus accrued interest.		(24,702,130	)
USD	24,148,438	Deutsche Bank, 3.10%, dated 02/27/08, to be repurchased on demand at face value plus accrued interest.		(24,150,517	)
			$	(566,930,587	)

Average balance outstanding	$	(449,808,013	)
Average interest rate		4.87	%
Maximum balance outstanding	$	(646,459,210	)
Average shares outstanding		275,618,010
Average balance per share outstanding	$	(1.63	)
Days outstanding		366

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

Written Options

A summary of open written option contracts for the Fund at February 29, 2008 is as follows:

Currency Options

Principal Amount		Expiration Date	Description	Premiums			Market Value
$	45,000,000	12/09/2008	BRL Call/USD USDPut Currency Option, Strike 2.14	$	(590,625	)	$	(9,093,413	)
	70,000,000	04/30/2008	BRL Call/USD USDPut Currency Option, Strike 2.07		(1,470,000	)		(14,339,495	)
				$	(2,060,625	)	$	(23,432,908	)

See accompanying notes to the financial statements.

22

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	6,500,000	USD	3/20/2008	JP Morgan	(Pay)		0.44	%	Petroleos Mexicanos
				Chase Bank						$	(12,955	)
	100,000,000	USD	4/20/2008	JP Morgan Chase Bank	(Pay)		0.32	%	United Mexican States		(116,931)
	50,000,000	USD	5/4/2008	Deutsche Bank AG	(Pay)		1.80	%	Government of Ukraine		(327,298	)
	5,000,000	USD	5/30/2008	JP Morgan Chase Bank	Receive		8.65	%	Republic of Turkey		206,473
	2,000,000	USD	9/20/2008	UBS AG	Receive		9.20	%	Dominican Republic		171,514
	10,000,000	USD	9/20/2008	Morgan Stanley	Receive		5.15	%	Republic of Colombia		484,718
	18,000,000	USD	11/20/2008	Deutsche Bank AG	Receive		1.50	%	Credit of Uttam Galva Steels Limited		61,586
	500,000,000	RUB	11/20/2008	JP Morgan Chase Bank	Receive		0.75	%	Red Square CDO		(66,722)
	9,000,000	USD	11/20/2008	Deutsche Bank AG	Receive		4.77	%	Republic of Colombia		390,588
	14,000,000	USD	12/20/2008	Deutsche Bank AG	(Pay)		0.79	%	Korean Deposit Insurance Corporation		(42,848	)
	5,000,000	USD	3/20/2009	JP Morgan Chase Bank	Receive		2.85	%	Republic of Peru		182,541
	10,000,000	USD	3/20/2009	JP Morgan Chase Bank	Receive		4.30	%	Republic of Philippines		423,939
	10,000,000	USD	4/17/2009	Deutsche Bank AG	Receive		3.90	%	Gazprom Loan Facility		375,619
	10,000,000	USD	4/17/2009	Lehman Brothers	(Pay)		3.90	%	Gazprom OAO		(375,619	)
	20,000,000	USD	4/20/2009	JP Morgan Chase Bank	(Pay)		0.43	%	Republic of Brazil		(8,991	)
	8,617,782	USD	6/6/2009	Deutsche Bank AG	Receive		1.85	%	Deutsche Bank Loan to Ukrnafta		(41,604	)
	7,000,000	USD	8/5/2009	Deutsche Bank AG	Receive		4.85	%	Government of Ukraine		315,727
	10,000,000	USD	9/20/2009	JP Morgan Chase Bank	(Pay)		0.97	%	Gazprom OAO		114,375
	100,000,000	CHF	9/20/2009	Morgan Stanley	(Pay)		0.78	%	Government of Ukraine		1,166,553
	849,572,575	RUB	11/5/2009	Deutsche Bank AG	Receive		1.45	%	Russia Post Office		(690,029	)
	10,000,000	USD	11/20/2009	JP Morgan Chase Bank	(Pay)		0.90	%	United Mexican States		(88,980	)

See accompanying notes to the financial statements.

23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	10,000,000	USD	11/20/2009	JP Morgan	(Pay)		0.88	%	United Mexican States
				Chase Bank						$	(85,038	)
	25,000,000	USD	12/29/2009	Deutsche Bank AG	Receive		2.25	%	Videocon Loan Facility		189,291
	7,000,000	USD	2/5/2010	Deutsche Bank AG	Receive		4.85	%	Government of Ukraine		394,236
	12,000,000	USD	3/5/2010	Deutsche Bank AG	Receive		9.10	%	Republic of Turkey		2,335,884
	18,000,000	USD	3/20/2010	Morgan Stanley	Receive		0.75	%	United Mexican States		118,525
	3,000,000	USD	3/29/2010	JP Morgan Chase Bank	Receive		4.70	%	Arab Republic of Egypt		245,112
	85,000,000	USD	6/20/2010	Deutsche Bank AG	(Pay)		2.10	%	Reference security within CDX Index		(1,805,542	)
	36,000,000	USD	6/20/2010	Lehman Brothers	(Pay)		2.10	%	Reference security within CDX Index		(764,700	)
	12,000,000	USD	6/20/2010	JP Morgan Chase Bank	(Pay)		4.00	%	Republic of Argentina		(109,008	)
	12,000,000	USD	6/20/2010	JP Morgan Chase Bank	(Pay)		3.87	%	Republic of Argentina		(72,447	)
	150,000,000	USD	6/20/2010	Deutsche Bank AG	(Pay)		1.47	%	Republic of Brazil		(2,405,670	)
	10,000,000	USD	7/20/2010	Deutsche Bank AG	(Pay)		3.77	%	Republic of Argentina		11,386
	6,000,000	USD	7/20/2010	Deutsche Bank AG	(Pay)		3.80	%	Republic of Argentina		2,654
	140,000,000	USD	7/20/2010	UBS AG	(Pay)		0.89	%	Republic of Turkey		2,194,351
	5,000,000	USD	7/23/2010	Deutsche Bank AG	Receive		4.56	%	Government of Ukraine		294,931
	7,000,000	USD	8/5/2010	Deutsche Bank AG	Receive		4.90	%	Government of Ukraine		461,089
	3,000,000	USD	8/25/2010	Deutsche Bank AG	Receive		3.40	%	Deutsche Bank Loan to Ukrtelekom		(69,467)
	50,000,000	USD	9/20/2010	JP Morgan Chase Bank	(Pay)		0.97	%	Gazprom OAO		1,351,680
	35,000,000	USD	9/20/2010	JP Morgan Chase Bank	(Pay)		0.70	%	Republic of Philippines		814,436
	20,000,000	USD	10/18/2010	JP Morgan Chase Bank	Receive		2.00	%	VTB Leasing		(600,840	)
	5,000,000	USD	10/25/2010	Deutsche Bank AG	Receive		4.60	%	Government of Ukraine		374,057
	10,000,000	USD	12/20/2010	JP Morgan Chase Bank	(Pay)		3.57	%	Republic of Argentina		104,842
	5,000,000	USD	12/20/2010	JP Morgan Chase Bank	(Pay)		3.43	%	Republic of Argentina		71,682

See accompanying notes to the financial statements.

24

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	5,000,000	USD	1/25/2011	Deutsche Bank AG	Receive		4.63	%	Government of Ukraine	$	335,401
	7,000,000	USD	2/7/2011	Deutsche Bank AG	Receive		4.95	%	Government of Ukraine		523,831
	5,000,000	USD	2/20/2011	Morgan Stanley	(Pay)		2.80	%	Republic of Argentina		204,036
	3,000,000	USD	2/25/2011	Deutsche Bank AG	Receive		3.50	%	Deutsche Bank Loan to Ukrtelekom		(88,131	)
	8,000,000	USD	3/20/2011	Citigroup	(Pay)		3.70	%	Republic of Iraq		377,900
	8,000,000	USD	3/20/2011	UBS AG	(Pay)		3.55	%	Republic of Iraq		302,614
	5,000,000	USD	4/26/2011	Deutsche Bank AG	Receive		4.66	%	Government of Ukraine		410,130
	10,000,000	USD	6/20/2011	Deutsche Bank AG	(Pay)		1.89	%	Islamic Republic of Pakistan		751,977
	34,000,000	USD	6/20/2011	Deutsche Bank AG	(Pay)		1.35	%	Reference security within CDX index		603,075
	11,000,000	USD	6/20/2011	JP Morgan Chase Bank	(Pay)		1.35	%	Reference security within CDX Index		195,113
	5,000,000	USD	6/20/2011	Lehman Brothers	Receive		1.35	%	Reference security within CDX index		(88,688	)
	20,000,000	USD	6/20/2011	Lehman Brothers	(Pay)		1.35	%	Reference security within CDX index		354,750
	10,000,000	USD	6/20/2011	Lehman Brothers	(Pay)		1.35	%	Reference security within CDX index		177,375
	11,000,000	USD	6/20/2011	Lehman Brothers	(Pay)		1.35	%	Reference security within CDX Index		195,113
	150,000,000	USD	6/20/2011	Deutsche Bank AG	Receive		1.86	%	Republic of Brazil		4,050,486
	9,000,000	USD	7/17/2011	UBS AG	Receive		5.05	%	Government of Ukraine		768,174
	5,000,000	USD	7/25/2011	Deutsche Bank AG	Receive		4.68	%	Government of Ukraine		362,680
	7,000,000	USD	8/5/2011	Deutsche Bank AG	Receive		5.00	%	Government of Ukraine		571,133
	20,000,000	USD	8/20/2011	Deutsche Bank AG	(Pay)		0.57	%	United Mexican States		238,189
	620,000,000	MXN	8/20/2011	Deutsche Bank AG	Receive		0.40	%	United Mexican States		(454,320	)
	3,000,000	USD	8/25/2011	Deutsche Bank AG	Receive		3.60	%	Deutsche Bank Loan to Ukrtelekom		(108,042	)
	7,000,000	USD	10/20/2011	JP Morgan Chase Bank	(Pay)		2.75	%	Republic of Argentina		367,605
	13,500,000	USD	10/20/2011	Lehman Brothers	(Pay)		5.02	%	Republic of Ecuador		73,880
	5,000,000	USD	10/25/2011	Deutsche Bank AG	Receive		4.70	%	Government of Ukraine		433,947
	19,000,000	USD	10/30/2011	Deutsche Bank AG	Receive		4.00	%	Naftofaz Ukraine		(1,638,392	)

See accompanying notes to the financial statements.

25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	8,000,000	USD	11/20/2011	JP Morgan	(Pay)		2.16	%	Republic of Argentina
					Chase Bank					$	624,329
	5,000,000	USD	12/20/2011	JP Morgan Chase Bank	(Pay)		0.66	%	Petroleos Mexicanos		80,487
	65,000,000	USD	12/20/2011	JP Morgan Chase Bank	(Pay)		1.40	%	Reference security within CDX index		1,491,028
	8,958,390	USD	12/20/2011	Deutsche Bank AG	Receive		1.60	%	Stemcor UK Ltd.		85,747
	19,000,000	EUR	1/20/2012	Deutsche Bank AG	(Pay)		0.42	%	Republic of Kazakhstan		1,916,090
	8,600,000,000	KZT	1/20/2012	Deutsche Bank AG	Receive		0.32	%	Republic of Kazakhstan		(3,142,008	)
	25,000,000	USD	2/20/2012	JP Morgan Chase Bank	(Pay)		0.96	%	Republic of Brazil		272,352
	3,000,000	USD	2/25/2012	Deutsche Bank AG	Receive		3.68	%	Deutsche Bank Loan to Ukrtelekom		(127,547	)
	19,000,000	USD	5/5/2012	Deutsche Bank AG	Receive		4.00	%	Naftofaz Ukraine		(1,805,887	)
	120,000,000	USD	6/20/2012	Lehman Brothers	(Pay)		1.25	%	Reference security within CDX index		4,624,167
	50,000,000	USD	6/20/2012	Morgan Stanley	(Pay)		1.25	%	Reference security within CDX index		1,926,736
	10,000,000	USD	6/20/2012	Morgan Stanley	Receive		2.10	%	Republic of Panama		240,617
	5,000,000	USD	7/30/2012	JP Morgan Chase Bank	Receive		3.05	%	Republic of Chile		541,067
	5,000,000	USD	8/20/2012	Bear Stearns	Receive		3.50	%	Republic of Jamaica		(250,917	)
	3,000,000	USD	8/28/2012	Deutsche Bank AG	Receive		3.75	%	Deutsche Bank Loan to Ukrtelekom		(145,315	)
	10,000,000	USD	9/20/2012	JP Morgan Chase Bank	(Pay)		1.25	%	Gazprom OAO		475,313
	15,000,000	USD	9/20/2012	JP Morgan Chase Bank	(Pay)		1.15	%	Republic of Peru		89,924
	85,000,000	PEN	9/20/2012	JP Morgan Chase Bank	Receive		0.92	%	Republic of Peru		(53,786	)
	10,000,000	USD	10/4/2012	JP Morgan Chase Bank	Receive		2.95	%	Republic of Chile		1,167,176
	4,000,000	USD	10/20/2012	UBS AG	(Pay)		4.13	%	Petroleos de Venezuela		257,270
	4,000,000	USD	10/20/2012	UBS AG	(Pay)		3.90	%	Petroleos de Venezuela		294,829

See accompanying notes to the financial statements.

26

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	75,000,000	USD	10/20/2012	JPMorgan	Receive		0.79	%	Republic of Brazil
					Chase Bank					$	(1,762,688	)
	15,000,000	USD	10/20/2012	JP Morgan Chase Bank	Receive		0.80	%	Republic of Brazil		(348,374	)
	20,000,000	USD	10/20/2012	JP Morgan Chase Bank	Receive		0.80	%	Republic of Brazil		(467,154	)
	5,000,000	USD	11/5/2012	Deutsche Bank AG	Receive		6.50	%	Republic of Jamaica		403,256
	50,000,000	USD	12/20/2012	JP Morgan Chase Bank	(Pay)		1.75	%	Reference security within CDX Index		1,377,431
	15,000,000	USD	12/20/2012	Lehman Brothers	(Pay)		1.75	%	Reference security within CDX Index		413,229
	42,000,000	USD	12/20/2012	Morgan Stanley	(Pay)		1.20	%	Reference security within CDX Index		(123,460	)
	210,000,000	USD	12/20/2012	Morgan Stanley	Receive		0.71	%	Reference security within CDX Index		85,022
	10,000,000	USD	1/8/2013	Deutsche Bank AG	Receive		7.15	%	Republic of Colombia		2,391,019
	10,000,000	USD	1/9/2013	Deutsche Bank AG	Receive		8.25	%	Republic of Turkey		2,608,087
	7,000,000	USD	1/10/2013	JP Morgan Chase Bank	Receive		7.50	%	Republic of Colombia		1,782,297
	10,000,000	USD	2/7/2013	JP Morgan Chase Bank	Receive		8.30	%	Republic of Colombia		2,870,283
	10,000,000	USD	3/20/2013	Lehman Brothers	(Pay)		2.52	%	Gazprom OAO		49,176
	10,000,000	USD	3/20/2013	Lehman Brothers	Receive		2.50	%	Transneft OAO		404
	285,759,883	RUB	6/21/2013	Deutsche Bank AG	Receive		2.35	%	VTB Leasing		(376,749	)
	9,189,672	EUR	6/24/2013	JP Morgan Chase Bank	Receive		1.37	%	VTB Leasing		(1,119,042	)
	12,466,708	EUR	6/24/2013	JP Morgan Chase Bank	Receive		1.37	%	VTB Leasing		(1,518,093	)
	130,000,000	USD	10/20/2013	Deutsche Bank AG	Receive		3.30	%	Republic of Brazil		12,417,711
	80,000,000	USD	10/20/2013	Deutsche Bank AG	Receive		4.05	%	Republic of Brazil		10,770,307
	13,500,000,000	JPY	10/20/2013	Deutsche Bank AG	(Pay)		3.20	%	Republic of Brazil		(12,222,481	)
	8,100,000,000	JPY	10/20/2013	Deutsche Bank AG	(Pay)		3.95	%	Republic of Brazil		(10,333,573	)
	10,000,000	USD	12/20/2013	Deutsche Bank AG	Receive		10.50	%	Republic of Ecuador		1,957,854
	10,000,000	USD	12/24/2013	JP Morgan Chase Bank	Receive		3.80	%	Republic of Turkey		621,755

See accompanying notes to the financial statements.

27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default	Market Value
	10,000,000	USD	1/20/2014	Citigroup	Receive		4.94	%	Republic of Colombia	$	1,537,721
	5,000,000	USD	3/20/2014	JP Morgan Chase Bank	Receive		4.90	%	Republic of Colombia		854,948
	10,000,000	USD	5/14/2014	Deutsche Bank AG	Receive		6.64	%	Republic of Turkey		2,219,962
	5,000,000	USD	5/19/2014	Deutsche Bank AG	Receive		6.42	%	Republic of Turkey		1,045,690
	7,000,000	USD	5/20/2014	JP Morgan Chase Bank	Receive		6.25	%	Republic of Turkey		1,397,335
	10,000,000	USD	6/16/2014	Deutsche Bank AG	Receive		6.22	%	Republic of Turkey		1,941,765
	2,000,000	USD	8/24/2014	Deutsche Bank AG	(Pay)		4.25	%	Lebanese Republic		189,966
	600,000,000	EUR	3/20/2015	Deutsche Bank AG	(Pay)		3.72	%	Bolivarian Republic of Venezuela		74,272,140
	800,000,000	USD	3/20/2015	Deutsche Bank AG	Receive		3.80	%	Bolivarian Republic of Venezuela		(66,224,253	)
	412,500,000	USD	4/20/2015	Deutsche Bank AG	Receive		4.40	%	Bolivarian Republic of Venezuela		(23,500,096	)
	300,000,000	EUR	4/20/2015	Deutsche Bank AG	(Pay)		4.32	%	Bolivarian Republic of Venezuela		25,550,817
	10,000,000	USD	4/20/2015	JP Morgan Chase Bank	Receive		4.65	%	Republic of Colombia		1,654,291
	15,000,000	USD	5/20/2015	Deutsche Bank AG	Receive		3.85	%	Republic of Turkey		962,777
	56,950,000,000	COP	11/20/2015	Citigroup	Receive		1.81	%	Republic of Colombia		681,367
	15,000,000	USD	2/20/2016	Citigroup	(Pay)		2.16	%	Republic of Colombia		54,574
	56,700,000,000	COP	2/20/2016	Citigroup	Receive		1.46	%	Republic of Colombia		(4,010	)
	25,000,000	USD	4/20/2016	Citigroup	(Pay)		1.90	%	Republic of Colombia		383,880
	114,800,000,000	COP	4/20/2016	Citigroup	Receive		1.33	%	Republic of Colombia		(166,584	)
	22,000,000	USD	8/20/2016	JP Morgan Chase Bank	Receive		1.99	%	Republic of Brazil		301,569
	40,000,000	USD	8/20/2016	Lehman Brothers	Receive		1.98	%	Republic of Brazil		534,619
	20,000,000	USD	8/20/2016	Citigroup	(Pay)		2.15	%	Republic of Colombia		155,805
	97,680,000,000	COP	8/20/2016	Citigroup	Receive		1.51	%	Republic of Colombia		55,072
	20,000,000	USD	8/20/2016	Deutsche Bank AG	(Pay)		0.87	%	United Mexican States		636,104
	620,000,000	MXN	8/20/2016	Deutsche Bank AG	Receive		0.61	%	United Mexican States		(1,306,072	)
	87,500,000	USD	2/20/2017	Deutsche Bank AG	Receive		2.43	%	Bolivarian Republic of Venezuela		(16,704,698	)

See accompanying notes to the financial statements.

28

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Annual Premium			Deliverable On Default			Market Value
	350,000,000	USD	2/20/2017	Deutsche Bank AG	(Pay)		7.66	%	Bolivarian Republic
									of Venezuela			$	336,662
	50,000,000	USD	3/20/2017	Lehman Brothers	Receive		1.41	%	Republic of Brazil				(1,168,885	)
	2,500,000	USD	5/20/2017	Deutsche Bank AG	(Pay)		1.05	%	Republic of Peru				134,441
	32,000,000	PEN	5/20/2017	Deutsche Bank AG	Receive		0.79	%	Republic of Peru				(427,700	)
	70,000,000	USD	7/20/2017	Lehman Brothers	Receive		3.15	%	Bolivarian Republic of Venezuela				(12,134,194	)
	4,500,000	USD	7/20/2017	Bear Stearns	Receive		3.30	%	Republic of Jamaica				(480,278	)
	15,000,000	USD	7/20/2017	Lehman Brothers	Receive		1.04	%	Republic of Panama				(1,152,868	)
	70,000,000	USD	7/20/2017	Lehman Brothers	Receive		2.20	%	Republic of Turkey				(4,484,027	)
	35,000,000	USD	7/20/2017	Lehman Brothers	Receive		2.26	%	Republic of Turkey				(2,094,034	)
	35,000,000	USD	7/20/2017	UBS AG	Receive		2.26	%	Republic of Turkey				(2,094,034	)
	8,000,000	USD	8/20/2017	JP Morgan Chase Bank	Receive		2.20	%	Republic of Colombia				(90,657	)
	17,000,000	USD	9/20/2017	JP Morgan Chase Bank	Receive		1.74	%	Republic of Philippines				(1,240,230	)
	30,000,000	USD	9/20/2017	JP Morgan Chase Bank	Receive		1.77	%	Republic of Philippines				(2,134,055	)
	21,000,000	USD	10/20/2017	Deutsche Bank AG	Receive		1.78	%	Vneshtorg Bank Bond & Loan				(2,106,455	)
	4,000,000	USD	11/20/2017	JP Morgan Chase Bank	Receive		4.85	%	Bolivarian Republic of Venezuela				(264,753	)
	4,000,000	USD	11/20/2017	JP Morgan Chase Bank	Receive		4.90	%	Bolivarian Republic of Venezuela				(252,802	)
	200,000,000	USD	11/20/2017	Lehman Brothers	Receive		0.62	%	United Mexican States				(11,333,880	)
	25,000,000	USD	1/20/2018	Deutsche Bank AG	Receive		1.50	%	Republic of Brazil				(648,541	)
	30,000,000	USD	8/15/2031	Goldman Sachs	(Pay)		1.84	%	United Mexican States				(1,127,951	)
	20,000,000	USD	8/15/2031	Goldman Sachs	(Pay)		1.89	%	United Mexican States				(874,501	)
						Premiums to (Pay) Receive			$	(525,211	)	$	(4,983,228	)

See accompanying notes to the financial statements.

29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate	Market Value
	3,400,000,000	MXN	10/24/2008	JP Morgan	Receive		7.95	%	28-day TIIE
				Chase Bank						$	672,721
	963,499	USD	12/1/2008	Citigroup	(Pay)		7.10	%	6 month LIBOR		(21,901	)
	20,000,000	USD	1/4/2010	JP Morgan Chase Bank	(Pay)		5.11	%	6 month LIBOR		(815,027	)
	20,000,000	USD	1/4/2010	JP Morgan Chase Bank	Receive		5.62	%	Floating USD rate		1,198,735
	230,000,000	PEN	2/19/2010	JP Morgan Chase Bank	(Pay)		3.15	%	6 month LIBOR		(881,183	)
	90,000,000,000	KRW	5/29/2010	Merrill Lynch	(Pay)		4.79	%	3 month KRW LIBOR		(21,158	)
	900,000,000	TWD	5/23/2011	JP Morgan Chase Bank	(Pay)		2.49	%	90 Day TWD-BA-TELERATE		(90,736	)
	2,500,000,000	TWD	6/12/2011	JP Morgan Chase Bank	(Pay)		2.35	%	90 Day TWD-BA-TELERATE		107,815
	3,000,000,000	TWD	7/5/2011	JP Morgan Chase Bank	(Pay)		2.32	%	90 Day TWD-BA-TELERATE		238,222
	2,500,000,000	TWD	8/1/2011	JP Morgan Chase Bank	(Pay)		2.29	%	90 Day TWD-BA-TELERATE		297,928
	4,500,000,000	TWD	9/26/2011	JP Morgan Chase Bank	(Pay)		2.09	%	90 Day TWD-BA-TELERATE		1,618,171
	2,947,173	USD	12/1/2011	Citigroup	(Pay)		6.32	%	6 month LIBOR		(338,849	)
	36,000,000,000	KRW	3/16/2014	Deutsche Bank AG	(Pay)		4.80	%	Korean bond rate for 91 day certificates of deposit		(126,553	)
	36,000,000,000	KRW	3/16/2014	Deutsche Bank AG	(Pay)		5.03	%	Korean bond rate for 91 day certificates of deposit		243,936
	230,000,000	PEN	2/19/2015	JP Morgan Chase Bank	Receive		5.70	%	6 month LIBOR		743,446
	1,400,000,000	TWD	11/24/2016	JP Morgan Chase Bank	(Pay)		2.15	%	90 Day TWD-BA-TELERATE		2,116,187
	87,500,000	USD	2/14/2017	Deutsche Bank AG	Receive		5.31	%	3 month LIBOR		8,152,361
	20,000,000	SGD	10/25/2017	JP Morgan Chase Bank	(Pay)		3.20	%	6 month SOR		18,011

See accompanying notes to the financial statements.

30

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate			Market Value
	20,000,000	SGD	10/30/2017	JP Morgan	(Pay)		3.20	%	6 month SOR
					Chase Bank							$	7,250
	40,000,000	SGD	1/17/2018	JPMorgan Chase Bank	(Pay)		3.00	%	6 month SOR				484,887
	25,000,000	USD	12/2/2023	JP Morgan Chase Bank	Receive		5.34	%	3 month LIBOR				1,984,971
	70,000,000	EUR	9/4/2026	JP Morgan Chase Bank	(Pay)		4.28	%	6 month EUR LIBOR				4,568,894
	100,000,000	USD	7/20/2027	JP Morgan Chase Bank	Receive		5.87	%	3 month LIBOR				14,342,275
						Premiums to (Pay) Receive			$	(5,382,619	)	$	34,500,403

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive			Market Value
	60,000,000	USD	1/7/2009	JP Morgan	3 month	EMBI + Total Return			$	(446,433	)
					Chase Bank	LIBOR - 0.45%
	27,967,218	USD	12/19/2011	JP Morgan Chase Bank	CER Index + 3.59%	3 month LIBOR				(1,641,186	)
	45,335,905	USD	12/19/2011	JP Morgan Chase Bank	CER Index + 1.24%	3 month LIBOR				378,216
	27,967,218	USD	12/19/2011	JPMorgan Chase Bank	3 month LIBOR + 0.35%	Return on Prestamos Garatizados				(119,552	)
	45,797,706	USD	12/19/2011	JP Morgan Chase Bank	3 month LIBOR + 0.35%	Return on Prestamos Garatizados				(4,896,729	)
	300,000,000	RUB	3/26/2017	Morgan Stanley	6 month LIBOR + 0.25%	Return on Sukhoi				915,056
					Premiums to (Pay) Receive	$	(1,780,589	)	$	(5,810,628	)

See accompanying notes to the financial statements.

31

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Variance Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	210,000	USD	11/13/2008	JP Morgan	Per Vega on	Per Vega on
				Chase Bank	USD/PEN the	USD/PEN the
					realized variance	realized variance
					above 6.5%	below 6.5%		$	(455,865	)
	105,000	USD	11/19/2008	JP Morgan Chase Bank	Per Vega on USD/PEN the realized variance above 7.0%	Per Vega on USD/PEN the realized variance below 7.0%			(183,067	)
	105,000	USD	11/29/2008	JP Morgan Chase Bank	Per Vega on USD/PEN the realized variance above 7.5%	Per Vega on USD/PEN the realized variance below 7.5%			(146,898	)
					Premiums to (Pay) Receive	$	—	$	(785,830	)

As of February 29, 2008, for the swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

BPI - Indemnification payment bonds

CBO - Collateralized Bond Obligation

CDO - Collateralized Debt Obligation

DCB - Debt Conversion Bond

EMBI - Emerging Markets Bond Index

EMTN - Euromarket Medium Term Note

FLIRB - Front Loaded Interest Reduction Bond

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

LIBOR - London Interbank Offered Rate

PDI - Past Due Interest

PIK - Payment In Kind

See accompanying notes to the financial statements.

32

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

RMAC - Residential Mortgage Acceptance Corp.

SOR - Swap Offer Rate

TIIE - Interbank Equilibrium Interest Rate

Variable, step up and step down rates - The rates shown on variable, step up and step down rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security, including varying reset dates.

VRRB - Variable Rate Reduction Bond

*  Non-performing. Borrower not currently paying interest.

**  Non-income producing security.

(a)  Security is in default.

(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(d)  All or a portion of this security has been segregated to cover collateral requirements on reverse repurchase agreements (Note 2).

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

(f)  Past due maturity payment.

(g)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

ARS - Argentine Peso
BRL - Brazilian Real
CHF - Swiss Franc
COP - Colombia Peso
CZK - Czech Koruna
DEM - German Mark
EUR - Euro
FIM - Finnish Markka FRF - French Franc
GBP - British Pound
ITL - Italian Lira
JPY - Japanese Yen
KRW - South Korean Won
KZT - Kazakhstan Tenge
MXN - Mexican Peso
MYR - Malaysian Ringgit PEN - Peruvian Sol
RUB - Russian Ruble
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand

See accompanying notes to the financial statements.

33

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $3,082,197,299) (Note 2)	$	3,226,294,165
Investments in affiliated issuers, at value (cost $197,475,629) (Notes 2 and 8)		190,365,906
Cash		22,286
Foreign currency, at value (cost $1,283,997) (Note 2)		1,200,082
Receivable for investments sold		18,948,602
Receivable for Fund shares sold		1,676,923
Interest receivable		53,633,613
Unrealized appreciation on open forward currency contracts (Note 2)		1,494,591
Receivable for open swap contracts (Note 2)		228,980,748
Total assets		3,722,616,916
Liabilities:
Payable for investments purchased		59,683,733
Payable for Fund shares repurchased		1,688,231
Written options outstanding, at value (premiums $2,060,625) (Note 2)		23,432,908
Payable to affiliate for (Note 3):
Management fee		799,159
Shareholder service fee		258,829
Trustees and Chief Compliance Officer of GMO Trust fees		3,349
Unrealized depreciation on open forward currency contracts (Note 2)		14,039,242
Payable for open swap contracts (Note 2)		206,060,031
Payable for reverse repurchase agreements (Note 2)		566,930,587
Accrued expenses		618,626
Total liabilities		873,514,695
Net assets	$	2,849,102,221

See accompanying notes to the financial statements.

34

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	2,718,284,871
Distributions in excess of net investment income		(38,763,889	)
Accumulated net realized gain		55,050,437
Net unrealized appreciation		114,530,802
	$	2,849,102,221
Net assets attributable to:
Class III shares	$	734,921,250
Class IV shares	$	2,114,180,971
Shares outstanding:
Class III		73,017,804
Class IV		210,058,872
Net asset value per share:
Class III	$	10.06
Class IV	$	10.06

See accompanying notes to the financial statements.

35

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Interest	$	218,013,051
Dividends from affiliated issuers (Note 8)		7,914,767
Dividends		972,170
Total investment income		226,899,988
Expenses:
Interest expense (Note 2)		21,897,570
Management fee (Note 3)		10,299,188
Shareholder service fee – Class III (Note 3)		1,306,815
Shareholder service fee – Class IV (Note 3)		2,071,415
Custodian, fund accounting agent and transfer agent fees		1,870,727
Audit and tax fees		122,161
Legal fees		131,852
Trustees fees and related expenses (Note 3)		28,544
Registration fees		23,534
Miscellaneous		25,771
Total expenses		37,777,577
Expense reductions (Note 2)		(378	)
Net expenses		37,777,199
Net investment income (loss)		189,122,789
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		64,813,768
Investments in affiliated issuers		(1,344,910	)
Realized gains distributions from affiliated issuers (Note 8)		138,860
Closed futures contracts		(21,730	)
Closed swap contracts		76,751,271
Written options		3,302,920
Foreign currency, forward contracts and foreign currency related transactions		(34,317,493	)
Net realized gain (loss)		109,322,686
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(47,323,347	)
Investments in affiliated issuers		(8,742,705	)
Open futures contracts		54,821
Open swap contracts		(64,391,922	)
Written options		(21,550,601	)
Foreign currency, forward contracts and foreign currency related transactions		(9,293,779	)
Net unrealized gain (loss)		(151,247,533	)
Net realized and unrealized gain (loss)		(41,924,847	)
Net increase (decrease) in net assets resulting from operations	$	147,197,942

See accompanying notes to the financial statements.

36

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	189,122,789		$	217,900,287
Net realized gain (loss)		109,322,686			218,285,881
Change in net unrealized appreciation (depreciation)		(151,247,533	)		(153,138,794	)
Net increase (decrease) in net assets from operations		147,197,942			283,047,374
Distributions to shareholders from:
Net investment income
Class III		(60,758,567	)		(66,047,926	)
Class IV		(147,592,816	)		(157,264,308	)
Total distributions from net investment income		(208,351,383	)		(223,312,234	)
Net realized gains
Class III		(37,184,110	)		(57,834,451	)
Class IV		(85,627,144	)		(130,680,560	)
Total distributions from net realized gains		(122,811,254	)		(188,515,011	)
		(331,162,637	)		(411,827,245	)
Net share transactions (Note 7):
Class III		(87,026,767	)		(106,571,551	)
Class IV		246,523,243			286,023,978
Increase (decrease) in net assets resulting from net share transactions		159,496,476			179,452,427
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		614,140			1,172,520
Class IV		127,854			215,318
Increase in net assets resulting from purchase premiums and redemption fees		741,994			1,387,838
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		160,238,470			180,840,265
Total increase (decrease) in net assets		(23,726,225	)		52,060,394
Net assets:
Beginning of period		2,872,828,446			2,820,768,052
End of period (including distributions in excess of net investment income of $38,763,889 and $21,105,332, respectively)	$	2,849,102,221		$	2,872,828,446

See accompanying notes to the financial statements.

37

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Cash Flows For the Year Ended February 29, 2008

Cash flows from operating activities:
Net investment income	$	189,122,789
Net amortization of discount and premium		(29,516,729	)
		159,606,060
Investments purchased		(1,903,316,389	)
Proceeds from sale of investments		1,525,986,585
Short term investments, net		6,093,391
Other proceeds (cost):
Swaps		67,223,936
Futures		33,091
Written options		3,373,720
Foreign currency and forward contracts		(30,112,683	)
		(330,718,349	)
Realized gain distributions from affiliated issuers		138,860
Changes in assets and liabilities:
(Increase) decrease in interest receivable		(6,932,623	)
(Increase) decrease in receivable for closed swap contracts		331,634
Increase (decrease) in due to custodian		(343,032	)
Increase (decrease) in payable to affiliate for:
Management fee		32,538
Trustees and Chief Compliance Officer of GMO Trust fees		(4,979	)
Shareholder service fee		6,380
Increase (decrease) in accrued expenses		68,896
Net cash provided (used in) operating activities		(177,814,615	)
Cash flows from financing activities*
Proceeds from shares sold		205,121,398
Shares repurchased		(372,714,276	)
Cash distributions paid		(4,135,580	)
Purchase premiums and redemption fees		741,994
Increase (decrease) in payable for reverse repurchase agreements		349,235,665
Net cash provided (used in) financing activities		178,249,201
Net increase in cash		434,586
Cash and cash equivalents, beginning of period		787,782
Cash and cash equivalents, end of period	$	1,222,368
*Supplemental disclosure of cash flow information:
Reinvestment of dividends and distributions	$	327,027,057

See accompanying notes to the financial statements.

38

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	10.73		$	11.30		$	11.09		$	10.51		$	9.51
Income (loss) from investment operations:
Net investment income (loss)†		0.68			0.86			0.88			0.89			1.01
Net realized and unrealized gain (loss)		(0.13	)		0.30			1.14			1.16			1.81
Total from investment operations		0.55			1.16			2.02			2.05			2.82
Less distributions to shareholders:
From net investment income		(0.76	)		(0.94	)		(1.26	)		(1.18	)		(1.06	)
From net realized gains		(0.46	)		(0.79	)		(0.55	)		(0.29	)		(0.76	)
Total distributions		(1.22	)		(1.73	)		(1.81	)		(1.47	)		(1.82	)
Net asset value, end of period	$	10.06		$	10.73		$	11.30		$	11.09		$	10.51
Total Return(a)		5.07	%		10.98	%		19.50	%		20.58	%		30.46	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	734,921		$	876,598		$	1,020,976		$	1,088,609		$	925,517
Net operating expenses to average daily net assets(b)		0.57	%(d)		0.57	%		0.57	%		0.57	%		0.57	%
Interest expense to average daily net assets(c)		0.74	%		0.48	%		0.22	%		0.08	%		0.08	%
Total net expenses to average daily net assets		1.31	%(d)		1.05	%		0.79	%		0.65	%		0.65	%
Net investment income to average daily net assets		6.36	%		7.91	%		7.75	%		8.22	%		9.44	%
Portfolio turnover rate		53	%		83	%		144	%		121	%		119	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.01		$	0.01		$	0.01		$	0.03

(a)  Calculation excludes purchase premiums and redemption fees which are borne by shareholders and assumes the effect of reinvested distributions.

(b)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(c)  Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

39

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	10.73		$	11.30		$	11.09		$	10.51		$	9.52
Income (loss) from investment operations:
Net investment income (loss)†		0.69			0.87			0.88			0.90			1.06
Net realized and unrealized gain (loss)		(0.13	)		0.29			1.15			1.16			1.75
Total from investment operations		0.56			1.16			2.03			2.06			2.81
Less distributions to shareholders:
From net investment income		(0.77	)		(0.94	)		(1.27	)		(1.19	)		(1.06	)
From net realized gains		(0.46	)		(0.79	)		(0.55	)		(0.29	)		(0.76	)
Total distributions		(1.23	)		(1.73	)		(1.82	)		(1.48	)		(1.82	)
Net asset value, end of period	$	10.06		$	10.73		$	11.30		$	11.09		$	10.51
Total Return(a)		5.13	%		11.06	%		19.57	%		20.64	%		30.38	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,114,181		$	1,996,230		$	1,799,792		$	1,550,402		$	1,238,209
Net operating expenses to average daily net assets(b)		0.53	%(d)		0.52	%		0.52	%		0.52	%		0.52	%
Interest expense to average daily net assets(c)		0.74	%		0.48	%		0.22	%		0.08	%		0.08	%
Total net expenses to average daily net assets		1.27	%(d)		1.00	%		0.74	%		0.60	%		0.60	%
Net investment income to average daily net assets		6.45	%		7.97	%		7.75	%		8.29	%		9.95	%
Portfolio turnover rate		53	%		83	%		144	%		121	%		119	%
Purchase premiums and redemption fees consisted of the following per share amounts: †	$	0.00	(e)	$	0.01		$	0.00	(e)	$	0.01		$	0.04

(a)  Calculation excludes purchase premiums and redemption fees which are borne by shareholders and assumes the effect of reinvested distributions.

(b)  Net expenses exclude expenses incurred indirectly through invesment in the underlying funds (See Note 3).

(c)  Interest expense incurred as a result of entering into reverse repurchase agreements is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements is included in interest income.

(d)  The net expense ratio does not include the effect of expense reductions.

(e)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

40

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Emerging Country Debt 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 Funds into classes.

The Fund seeks total return in excess of that of its benchmark, the JPMorgan Emerging Markets Bond Index Global. The Fund invests primarily in sovereign debt of emerging countries. In addition, the Fund may invest a portion of its assets in debt investments issued by companies tied economically to emerging countries and other fixed income securities, including asset-backed securities issued by foreign governments and foreign and domestic private issuers. A substantial portion of the Fund's holdings are typically below investment grade. Generally, at least 75% of the Fund's assets are denominated in, or hedged into, U.S. dollars.

Throughout the year ended February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder service fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of GMO Short-Duration Collateral Fund, GMO Special Purpose Holding Fund and GMO World Opportunity Overlay Fund are not publicly available for direct purchase.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

41

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 32.73% of net assets.

The Fund directly and indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, delinquencies and/or defaults, and may be adversely affected by shifts in the markets perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $138,860 through SPHF in conjunction with settlement agreements related to the default of those securities.

42

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

43

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no futures contracts outstanding at the end of the period.

Options

The Fund may write call and put options. 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. Written options outstanding at the end of the period are listed in the Fund's Schedule of Investments.

For the year ended February 29, 2008, the Fund's investment activity in written options contracts was as follows:

	Puts				Calls
	Principal Amount of Contracts		Premiums		Principal Amount of Contracts			Premiums
Outstanding, beginning of period	$	—	$	—	$	(115,000,000	)	$	(2,060,625	)
Options written		—		—		(670,000,000	)		(4,829,750	)
Options exercised		—		—		380,000,000			3,454,750
Options expired		—		—		290,000,000			1,375,000
Options sold		—		—		—			—
Outstanding, end of period	$	—	$	—	$	(115,000,000	)	$	(2,060,625	)

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

44

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Purchased options outstanding at the end of the period are listed in the Fund's Schedule of Investments.

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.

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. Loan agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. Indexed securities held by the Fund at the end of the period are listed in the Fund's Schedule of Investments.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements involve a commitment by one party in the agreement to pay

45

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 party will receive a payment from or make a payment to the counterparty, respectively. Forward lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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

46

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. As of February 29, 2008, the Fund had entered into reverse repurchase agreements, plus accrued interest, amounting to $566,930,587, collateralized by securities with a market value, plus accrued interest, of $576,334,739. Reverse repurchase agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments. The reverse repurchase agreements were with the counterparties with the Fund having no more than $237,581,740 outstanding with any one counterparty.

Delayed delivery commitments

The Fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Collateral consisting of liquid securities or cash and cash equivalents is maintained with the custodian in an amount at least equal to these commitments. There were no delayed delivery commitments outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

47

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, differing treatment for defaulted bonds, foreign currency transactions, partnership interest tax allocations, differing treatment of accretion and amortization and losses on wash sale transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	1,570,037	$	(7,284,197	)	$	5,714,160

48

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	209,641,890	$	275,936,961
Long-term capital gains		121,520,747		135,890,284
Total distributions	$	331,162,637	$	411,827,245

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	14,157,552
Undistributed long-term capital gain	$	57,157,930

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,301,078,867	$	321,775,149	$	(206,193,945	)	$	115,581,204

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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

49

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases of Fund shares was 0.50% of the amount invested. In the case of cash redemptions, the fee is currently 0.25% of the amount 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

Investments in emerging country debt present certain risks that are not inherent in many other securities. Many emerging countries present elements of political and/or economic instability, which may result in the Fund's inability to collect on a timely basis, or in full, principal and interest payments. Further, countries may impose various types of foreign currency regulations or controls which may impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities or bank loans which are in default at the time of acquisition in anticipation of improving conditions in the related countries. These factors may result in significant volatility in the values of its holdings. The markets for emerging country debt are typically less liquid than those of developed markets.

50

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund owns loans and bonds representing significant exposure to the risk of default in many countries, but has the most sizable of such positions relating to Russia, Mexico and Brazil. The Fund's financial position would be substantially adversely affected in the case of a default by these countries on obligations held by the Fund, or on obligations issued by those countries generally. The Fund has purchased default protection in the form of credit default swap agreements with respect to debt associated with those countries, which may offset some of the losses that the Fund might experience in the case of a default on bonds issued by such countries; however the Fund as of February 29, 2008, has sold more of such default protection than it has purchased. In addition, it is important to note that (i) such protection would not cover losses due to defaults on loan assignments or participations, (ii) such protection will generally not be sufficient to cover all of the Fund's losses in the case of default, and (iii) due to the privately negotiated nature of such instruments, under some circumstances, the protection offered by such instruments may not be realized, even if the Fund incurs substantial losses due to weakening of the credit or virtual default by the countries.

Other matters

In July 2005, the Fund entered into litigation against the Government of Argentina ("Argentina") related to Argentina's failure to make payments on certain sovereign debt. The applicable defaulted sovereign debt, which continues to be valued according to the Fund's valuation policy, represented 1.87% of the net assets of the Fund as of February 29, 2008. The ultimate outcome of this litigation cannot be predicted. Costs associated with this action will be borne by the Fund.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

51

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.35% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

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

The Fund's portion of the fees paid by the Trust to the independent Trustees and Chief Compliance Officer ("CCO") during the year ended February 29, 2008 was $24,404 and $11,468, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	10,050,977	$	39,710,212
Investments (non-U.S. Government securities)		1,842,222,029		1,674,810,246

52

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 45.67% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's shares outstanding. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.27% of the Fund's shares were held by thirty related parties comprised of certain GMO employee accounts, and 13.51% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		11,479,041		$	123,985,827			21,552,542		$	234,728,807
Shares issued to shareholders in reinvestment of distributions		9,161,344			94,844,498			11,326,112			119,220,771
Shares repurchased		(29,333,184	)		(305,857,092	)		(41,491,222	)		(460,521,129	)
Purchase premiums		—			178,678			—			506,835
Redemption fees		—			435,462			—			665,685
Net increase (decrease)		(8,692,799	)	$	(86,412,627	)		(8,612,568	)	$	(105,399,031	)

53

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		7,884,742		$	82,812,310			9,748,445		$	108,322,206
Shares issued to shareholders in reinvestment of distributions		22,455,867			232,182,559			27,144,668			285,672,482
Shares repurchased		(6,365,177	)		(68,471,626	)		(10,016,728	)		(107,970,710	)
Purchase premiums		—			39,052			—			43,427
Redemption fees		—			88,802			—			171,891
Net increase (decrease)		23,975,432		$	246,651,097			26,876,385		$	286,239,296

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	141,294,024	$	38,814,767	$	30,000,000	$	7,914,767	$	—	$	140,673,840
GMO Special Purpose Holding Fund		30,187		—		—		—		138,860		26,976
GMO World Opportunity Overlay Fund		52,014,542		2,300,000		4,000,000		—		—		49,665,090
Totals	$	193,338,753	$	41,114,767	$	34,000,000	$	7,914,767	$	138,860	$	190,365,906

54

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Emerging Country Debt 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 Emerging Country Debt Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

55

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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 Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred *
Class III
1) Actual		1.46	%	$	1,000.00	$	1,040.60	$	7.41
2) Hypothetical		1.46	%	$	1,000.00	$	1,017.60	$	7.32
Class IV
1) Actual		1.41	%	$	1,000.00	$	1,041.10	$	7.16
2) Hypothetical		1.41	%	$	1,000.00	$	1,017.85	$	7.07

*  Expenses are calculated using each Class's annualized expense ratio (including interest expense and indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

56

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $121,520,747 from long-term capital gains.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 29, 2008, $9,453,959 and $1,290,506, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

57

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 Office1 and 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—Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

58

Independent Trustees — (Continued):

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005-April 2006), Senior Associate Dean (1998-2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

59

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004-present); Vice President, Director of Tax, Columbia Management Group (2002-2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001-2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007-present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

60

Principal Officers (Continued):

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002-February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003-present); Attorney, Goodwin Procter LLP (September 1996-September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003-January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

61

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Global (U.S.+) Equity Allocation Fund returned +1.0% for the fiscal year ended February 29, 2008, as compared to -0.9% for the Fund's benchmark, the GMO Global Equity Index (75% S&P 500 / 25% MSCI ACWI [All Country World Index] ex-U.S. Index). During the fiscal year the Fund was exposed to global equity and fixed income securities through its investment in underlying GMO mutual funds.

Implementation was negative, detracting approximately 1.8%. The GMO U.S. Core Equity, GMO International Intrinsic Value, and GMO Emerging Markets Funds were the primary drivers of the underperformance.

Asset allocation added 3.7%. The Fund's overweight to international equities, particularly emerging equities, added to performance as did the allocation to fixed income.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .10% on the purchase and .10% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

*  The GMO Global Equity Index is a composite benchmark computed by GMO and comprised of 75% S&P 500 Index and 25% MSCI ACWI (All Country World Index) ex-U.S. Index.

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		91.9	%
Cash and Cash Equivalents		6.0
Short-Term Investments		4.6
Preferred Stocks		1.9
Debt Obligations		0.6
Private Equity Securities		0.1
Investment Funds		0.0
Loan Participations		0.0
Loan Assignments		0.0
Options Purchased		0.0
Forward Currency Contracts		0.0
Rights and Warrants		0.0
Convertible Securities		0.0
Promissory Notes		0.0
Written Options		(0.0	)
Reverse Repurchase Agreements		(0.1	)
Swaps		(2.0	)
Futures		(3.8	)
Other		0.8
		100.0	%

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

1

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
United States		70.7	%
Euro Region***		5.7
United Kingdom		3.2
Japan		3.1
Brazil		2.7
Korea		2.4
Taiwan		2.0
China		1.3
Russia		1.2
Switzerland		1.2
Australia		0.9
Thailand		0.9
India		0.8
Malaysia		0.7
Hong Kong		0.5
Singapore		0.4
Turkey		0.4
Canada		0.3
South Africa		0.3
Denmark		0.2
Indonesia		0.2
Philippines		0.2
Sweden		0.2
Hungary		0.1
Israel		0.1
Mexico		0.1
Norway		0.1
Poland		0.1
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		AFFILIATED ISSUERS — 100.0%
		Mutual Funds — 100.0%
	2,043,763	GMO Alpha Only Fund, Class IV		22,706,205
	553,333	GMO Emerging Countries Fund, Class III		8,443,861
	169,236	GMO Emerging Country Debt Fund, Class IV		1,702,519
	1,790,477	GMO Emerging Markets Fund, Class VI		36,561,535
	1,056,746	GMO International Growth Equity Fund, Class IV		29,271,874
	962,189	GMO International Intrinsic Value Fund, Class IV		28,827,179
	16,087	GMO Short-Duration Investment Fund, Class III		135,936
	11,189,269	GMO U.S. Core Equity Fund, Class VI		134,495,007
	1,136	GMO U.S. Growth Fund, Class III		17,965
	4,586,818	GMO U.S. Quality Equity Fund, Class VI		94,350,851
				356,512,932
		Private Investment Fund — 0.0%
	175	GMO SPV I, LLC (a)(b)		49
		TOTAL AFFILIATED ISSUERS (COST $374,500,491)		356,512,981
		SHORT-TERM INVESTMENTS — 0.0%
	41,317	Eurodollar Time Deposit, 2.00%, due 03/03/08		41,317
		TOTAL SHORT-TERM INVESTMENTS (COST $41,317)		41,317
		TOTAL INVESTMENTS — 100.0% (Cost $374,541,808)		356,554,298
		Other Assets and Liabilities (net) — (0.0%)		(30,356	)
		TOTAL NET ASSETS — 100.0%	$	356,523,942

See accompanying notes to the financial statements.

3

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  Underlying investment represents interests in defaulted securities.

As of February 29, 2008, 24.96% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

4

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $41,317) (Note 2)	$	41,317
Investments in affiliated issuers, at value (cost $374,500,491) (Notes 2 and 8)		356,512,981
Receivable for Fund shares sold		1,799
Receivable for expenses reimbursed by Manager (Note 3)		8,787
Total assets		356,564,884
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		401
Accrued expenses		40,541
Total liabilities		40,942
Net assets	$	356,523,942
Net assets consist of:
Paid-in capital	$	347,060,208
Accumulated undistributed net investment income		3
Accumulated net realized gain		27,451,241
Net unrealized depreciation		(17,987,510	)
	$	356,523,942
Net assets attributable to:
Class III shares	$	356,523,942
Shares outstanding:
Class III		34,783,389
Net asset value per share:
Class III	$	10.25

See accompanying notes to the financial statements.

5

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	6,117,674
Interest		1,072
Total investment income		6,118,746
Expenses:
Custodian, fund accounting agent and transfer agent fees		40,913
Audit and tax fees		31,126
Legal fees		7,994
Trustees fees and related expenses (Note 3)		3,600
Registration fees		4,233
Miscellaneous		3,997
Total expenses		91,863
Fees and expenses reimbursed by Manager (Note 3)		(86,756	)
Expense reductions (Note 2)		(1,102	)
Net expenses		4,005
Net investment income (loss)		6,114,741
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		21,950,304
Realized gains distributions from affiliated issuers (Note 8)		43,454,054
Net realized gain (loss)		65,404,358
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(67,173,593	)
Net realized and unrealized gain (loss)		(1,769,235	)
Net increase (decrease) in net assets resulting from operations	$	4,345,506

See accompanying notes to the financial statements.

6

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	6,114,741		$	6,254,375
Net realized gain (loss)		65,404,358			37,302,929
Change in net unrealized appreciation (depreciation)		(67,173,593	)		(6,654,177	)
Net increase (decrease) in net assets from operations		4,345,506			36,903,127
Distributions to shareholders from:
Net investment income
Class III		(15,144,364	)		(10,728,384	)
Net realized gains
Class III		(46,141,439	)		(23,345,939	)
		(61,285,803	)		(34,074,323	)
Net share transactions (Note 7):
Class III		59,195,425			25,348,028
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		32,563			27,852
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		59,227,988			25,375,880
Total increase (decrease) in net assets		2,287,691			28,204,684
Net assets:
Beginning of period		354,236,251			326,031,567
End of period (including accumulated undistributed net investment income of $3 and $6, respectively)	$	356,523,942		$	354,236,251

See accompanying notes to the financial statements.

7

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	11.96		$	11.89		$	11.63		$	10.86		$	7.51
Income (loss) from investment operations:
Net investment income (loss)(a)		0.20	†		0.23	†		0.23	†		0.23	†		0.14
Net realized and unrealized gain (loss)		0.09	(b)		1.08			1.32			1.23			3.55
Total from investment operations		0.29			1.31			1.55			1.46			3.69
Less distributions to shareholders:
From net investment income		(0.49	)		(0.38	)		(0.34	)		(0.27	)		(0.21	)
From net realized gains		(1.51	)		(0.86	)		(0.95	)		(0.42	)		(0.13	)
Total distributions		(2.00	)		(1.24	)		(1.29	)		(0.69	)		(0.34	)
Net asset value, end of period	$	10.25		$	11.96		$	11.89		$	11.63		$	10.86
Total Return(c)		1.01	%		11.56	%		13.91	%		13.70	%		49.63	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	356,524		$	354,236		$	326,032		$	335,819		$	222,856
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		1.63	%		1.90	%		1.99	%		2.11	%		1.99	%
Portfolio turnover rate		30	%		15	%		20	%		17	%		73	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.04	%		0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.01

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

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

(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculations exclude purchase premiums and redemption fees which are borne by the shareholders.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  Net expenses to average daily net assets were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

8

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Global (U.S.+) Equity Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the GMO Global Equity Index. The GMO Global Equity Index is a composite index computed by GMO consisting of: (i) the S&P 500 Index and (ii) the MSCI ACWI (All Country World Index) ex-U.S. Index in the following proportions: 75% (S&P 500) and 25% (MSCI ACWI (All Country World Index) ex-U.S. Index). The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds (which may include one or more of the GMO Emerging Markets Funds) and the GMO U.S. Equity Funds. The Fund may also invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect).

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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

9

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

bid price. Unlisted securities for which market quotations are readily available are generally 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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments

10

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

have no impact on net assets or net asset value per share. Temporary differences which arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	9,029,620	$	(9,029,620	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	15,140,737	$	10,707,997
Long-term capital gains		46,145,066		23,366,326
Total distributions	$	61,285,803	$	34,074,323

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long–term capital gain $ 27,468,794

11

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	374,559,358	$	3,412,560	$	(21,417,620	)	$	(18,005,060	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchase and redemption of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.10% of the amount invested or redeemed. The redemption fee is only applicable to shares acquired on or after June 30, 2003. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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

12

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value

13

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge an advisory fee or shareholder service fee, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.461	%		0.070	%		0.005	%		0.536	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $3,140 and $1,501, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $158,127,116 and $110,630,018, respectively.

14

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 36.94% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by one related party comprised of a certain GMO employee account.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,944,098		$	23,157,515			2,417,813		$	28,924,136
Shares issued to shareholders in reinvestment of distributions		4,518,134			52,432,161			2,435,155			28,397,989
Shares repurchased		(1,300,196	)		(16,394,251	)		(2,652,478	)		(31,974,097	)
Purchase premiums		—			23,181			—			27,330
Redemption fees		—			9,382			—			522
Net increase (decrease)		5,162,036		$	59,227,988			2,200,490		$	25,375,880

15

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Alpha Only Fund, Class IV	$	15,041,292	$	13,444,659	$	6,493,850	$	444,659	$	—	$	22,706,205
GMO Currency Hedged International Equity Fund, Class III		13,289,885		3,054,603		14,283,031		—		3,054,603		—
GMO Emerging Countries Fund, Class III		6,461,494		2,559,214		—		136,223		2,422,991		8,443,861
GMO Emerging Country Debt Fund, Class IV		1,619,501		189,298		—		119,378		69,920		1,702,519
GMO Emerging Markets Fund, Class VI		41,750,149		10,157,562		16,455,194		539,093		9,618,469		36,561,535
GMO Inflation Indexed Plus Bond Fund, Class VI		4,216,442		10,602,612		14,842,209		77,292		31,472		—
GMO International Growth Equity Fund, Class IV		47,402,591		7,339,550		23,419,506		403,904		5,775,380		29,271,874
GMO International Intrinsic Value Fund, Class IV		47,550,628		6,425,309		21,277,527		796,046		4,493,737		28,827,179
GMO International Small Companies Fund, Class III		543,039		18,798		540,138		—		18,798		—
GMO Short-Duration Investment Fund, Class III		135,401		8,015		—		8,015		—		135,936
GMO SPV I, LLC		67		—		—		—		637		49
GMO Strategic Fixed Income Fund, Class VI		7,989,820		21,274		7,998,664		21,274		—		—
GMO U.S. Core Equity Fund, Class VI		135,437,254		34,014,519		5,076,666		2,666,561		16,097,958		134,495,007
GMO U.S. Growth Fund, Class III		43,339		671		25,000		269		402		17,965
GMO U.S. Quality Equity Fund, Class VI		32,542,645		70,284,028		—		904,177		1,863,466		94,350,851
GMO U.S. Value Fund, Class III		215,623		7,004		218,233		783		6,221		—
Totals	$	354,239,170	$	158,127,116	$	110,630,018	$	6,117,674	$	43,454,054	$	356,512,981

16

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

9.  Subsequent event

Effective June 1, 2008, the Fund's benchmark will change to the MSCI ACWI (All Country World Index). In connection with the change in benchmark, the Fund's name will change to GMO Global Equity Allocation Fund on June 1, 2008.

17

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Global (U.S.+) Equity Allocation 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 Global (U.S.+) Equity Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

18

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.53	%	$	1,000.00	$	944.20	$	2.56
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.23	$	2.66

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

19

GMO Global (U.S.+) Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $46,145,066 from long-term capital gains.

For taxable, non-corporate shareholders, 41.68% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 27.09% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $8,386,949 or if determined to be different, the qualified interest income of such year.

20

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

21

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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005– April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

22

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004– present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001-2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

23

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003– January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

24

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO International Opportunities Equity Allocation Fund returned +3.6% for the fiscal year ended February 29, 2008, as compared to +0.8% for the Fund's benchmark, the MSCI EAFE Index. During the fiscal year the Fund was exposed to global equity and fixed income securities through its investment in underlying GMO mutual funds.

Implementation was negative, detracting 0.3%. The primary drivers of the underperformance were negative relative returns from the GMO International Intrinsic Value and GMO Emerging Markets Opportunities Funds.

Asset allocation added 3.0%. The Fund's overweights to emerging market equities and international growth equities were the primary drivers of the relative outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .03% on the purchase and .03% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.1	%
Short-Term Investments		3.6
Preferred Stocks		1.2
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Futures		(0.6	)
Other		1.4
		100.0	%
Country / Region Summary**	% of Investments
Euro Region***		33.1	%
United Kingdom		19.7
Japan		17.6
Switzerland		6.1
Australia		5.3
Hong Kong		2.9
Singapore		2.4
Canada		2.0
Sweden		1.7
Denmark		1.2
China		1.1
Brazil		1.1
Korea		1.0
Taiwan		0.9
Russia		0.8
Norway		0.8
India		0.6
South Africa		0.5
Mexico		0.4
Malaysia		0.2
Israel		0.2
Thailand		0.1
Poland		0.1
Indonesia		0.1
Chile		0.1
		100.0	%

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

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	3,976,249	GMO Emerging Markets Opportunities Fund, Class VI		52,923,870
	12,162,489	GMO International Growth Equity Fund, Class IV		336,900,951
	10,966,765	GMO International Intrinsic Value Fund, Class IV		328,564,268
		TOTAL MUTUAL FUNDS (COST $816,859,686)		718,389,089
		SHORT-TERM INVESTMENTS — 0.0%
	40,397	Eurodollar Time Deposit, 2.00%, due 03/03/08		40,397
		TOTAL SHORT-TERM INVESTMENTS (COST $40,397)		40,397
		TOTAL INVESTMENTS — 100.0% (Cost $816,900,083)		718,429,486
		Other Assets and Liabilities (net) — (0.0%)		(39,663	)
		TOTAL NET ASSETS — 100.0%	$	718,389,823

Notes to Schedule of Investments:

As of February 29, 2008, 87.30% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

2

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $40,397) (Note 2)	$	40,397
Investments in affiliated issuers, at value (cost $816,859,686) (Notes 2 and 8)		718,389,089
Receivable for Fund shares sold		534,254
Receivable for expenses reimbursed by Manager (Note 3)		17,951
Total assets		718,981,691
Liabilities:
Payable for investments purchased		534,252
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		813
Accrued expenses		56,803
Total liabilities		591,868
Net assets	$	718,389,823
Net assets consist of:
Paid-in capital	$	761,832,051
Accumulated net realized gain		55,028,369
Net unrealized depreciation		(98,470,597	)
	$	718,389,823
Net assets attributable to:
Class III shares	$	718,389,823
Shares outstanding:
Class III		34,821,517
Net asset value per share:
Class III	$	20.63

See accompanying notes to the financial statements.

3

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	13,237,710
Interest		1,145
Total investment income		13,238,855
Expenses:
Custodian, fund accounting agent and transfer agent fees		70,357
Audit and tax fees		31,279
Legal fees		13,060
Trustees fees and related expenses (Note 3)		6,159
Registration fees		10,150
Miscellaneous		8,012
Total expenses		139,017
Fees and expenses reimbursed by Manager (Note 3)		(129,866	)
Expense reductions (Note 2)		(34,238	)
Net expenses		(25,087	)
Net investment income (loss)		13,263,942
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		3,034,369
Realized gains distributions from affiliated issuers (Note 8)		95,391,129
Net realized gain (loss)		98,425,498
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(103,922,554	)
Net realized and unrealized gain (loss)		(5,497,056	)
Net increase (decrease) in net assets resulting from operations	$	7,766,886

See accompanying notes to the financial statements.

4

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Period from June 5, 2006 (commencement of operations) through February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,263,942		$	5,620,257
Net realized gain (loss)		98,425,498			26,438,804
Change in net unrealized appreciation (depreciation)		(103,922,554	)		5,451,957
Net increase (decrease) in net assets from operations		7,766,886			37,511,018
Distributions to shareholders from:
Net investment income
Class III		(38,253,569	)		(12,345,406	)
Net realized gains
Class III		(36,477,386	)		(1,643,771	)
		(74,730,955	)		(13,989,177	)
Net share transactions (Note 7):
Class III		344,825,641			416,780,789
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		96,754			128,867
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		344,922,395			416,909,656
Total increase (decrease) in net assets		277,958,326			440,431,497
Net assets:
Beginning of period		440,431,497			—
End of period (including accumulated undistributed net investment income of $0 and $4,291, respectively)	$	718,389,823		$	440,431,497

See accompanying notes to the financial statements.

5

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)Financial Highlights
(For a Class III share outstanding throughout each period)

	Year Ended February 29, 2008			Period from June 5, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	22.16		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.47			0.53
Net realized and unrealized gain (loss)		0.52			2.45
Total from investment operations		0.99			2.98
Less distributions to shareholders:
From net investment income		(1.24	)		(0.72	)
From net realized gains		(1.28	)		(0.10	)
Total distributions		(2.52	)		(0.82	)
Net asset value, end of period	$	20.63		$	22.16
Total Return(b)		3.57	%		14.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	718,390		$	440,431
Net expenses to average daily net assets(c)(d)		0.00	%(e)		0.00	%*
Net investment income to average daily net assets(a)		2.04	%		3.32	%*
Portfolio turnover rate		4	%		1	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.03	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(f)	$	0.01

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(c)  Net expenses to average daily net assets were less than 0.01%.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  The net expense ratio does not include the effect of expense reductions.

(f)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

6

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO International Opportunities Equity Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the MSCI EAFE Index (Europe, Australasia, and Far East). The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds (which may include one or more of the GMO Emerging Markets Funds). The Fund may also invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund.

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

2.  Significant accounting policies

The following is a summary of significant accounting policies 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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. Securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as

7

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

determined in good faith by the Trustees or other persons acting at their direction pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

8

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	24,985,336	$	(24,985,336	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	39,207,726	$	12,345,406
Long-term capital gains		35,523,229		1,643,771
Total distributions	$	74,730,955	$	13,989,177

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain  $55,095,813

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	816,967,527	$	5,805,654	$	(104,343,695	)	$	(98,538,041	)

9

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares are each 0.03% of the amount invested. The Fund's purchase premium or redemption fee are approximately equal to the weighted average of the purchase premiums and redemptions fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

10

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge a management fee or shareholder service fee from the Fund, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

11

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.534	%		0.088	%		0.622	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $5,361 and $2,983, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $406,291,575 and $27,434,670, 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.

12

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 13.04% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by one related party comprised of a certain GMO employee account.

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:

	Year Ended February 29, 2008						Period from June 5, 2006 (commencement of operations) through February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		12,892,226		$	299,095,066			19,331,326		$	404,772,482
Shares issued to shareholders in reinvestment of distributions		3,158,687			72,167,816			583,800			12,808,557
Shares repurchased		(1,108,147	)		(26,437,241	)		(36,375	)		(800,250	)
Purchase premiums		—			89,316			—			128,627
Redemption fees		—			7,438			—			240
Net increase (decrease)		14,942,766		$	344,922,395			19,878,751		$	416,909,656

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Markets Opportunities Fund, Class VI	$	30,555,475	$	20,078,128	$	2,662,842	$	1,028,973	$	3,132,928	$	52,923,870
GMO International Growth Equity Fund, Class IV		204,814,359		194,984,028		16,425,685		4,126,964		51,312,823		336,900,951
GMO International Intrinsic Value Fund, Class IV		205,050,535		191,229,419		8,346,143		8,081,773		40,945,378		328,564,268
Totals	$	440,420,369	$	406,291,575	$	27,434,670	$	13,237,710	$	95,391,129	$	718,389,089

13

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Opportunities Equity Allocation 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 Opportunities Equity Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

14

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.62	%	$	1,000.00	$	962.10	$	3.02
2) Hypothetical		0.62	%	$	1,000.00	$	1,021.78	$	3.12

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

15

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $35,523,229 from long-term capital gains.

For taxable, non-corporate shareholders, 40.80% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $22,765,695 and $957,523, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

16

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

17

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

18

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

19

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

20

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Strategic Opportunities Allocation Fund returned +3.2% for the fiscal year ended February 29, 2008, as compared to +1.6% for the Fund's benchmark, the GMO Strategic Opportunities Allocation Index (75% MSCI World Index / 25% Lehman Brothers U.S. Aggregate Index) for the same period. During the fiscal year the Fund was exposed to global equity and fixed income securities through its investment in underlying GMO mutual funds.

Implementation was negative, detracting 2.9%. The primary drivers of the underperformance were negative relative returns from the GMO U.S. Core Equity, GMO International Intrinsic Value, GMO Emerging Markets Opportunities, GMO Strategic Fixed Income, and GMO Inflation Indexed Plus Bond Funds.

Asset allocation added 4.5%. The Fund's underweight to equities and overweights to emerging market equities and inflation-indexed bonds were the primary drivers of the outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .04% on the purchase and .04% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

*   The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Lehman Brothers U.S. Aggregate Index.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		66.0	%
Debt Obligations		21.1
Short-Term Investments		9.8
Cash and Cash Equivalents		7.8
Preferred Stocks		1.2
Forward Currency Contracts		0.1
Options Purchased		0.1
Loan Participations		0.0
Loan Assignments		0.0
Rights and Warrants		0.0
Private Equity Securities		0.0
Investment Funds		0.0
Promissory Notes		0.0
Convertible Securities		0.0
Written Options		(0.0	)
Reverse Repurchase Agreements		(0.2	)
Swaps		(2.5	)
Futures		(5.0	)
Other		1.6
		100.0	%

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

1

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
United States		57.5	%
Euro Region***		11.9
Japan		6.3
United Kingdom		5.9
Switzerland		2.3
Australia		1.9
Brazil		1.6
China		1.6
Korea		1.5
Taiwan		1.3
Russia		1.2
Hong Kong		0.9
India		0.9
Canada		0.8
Singapore		0.8
South Africa		0.7
Mexico		0.6
Denmark		0.5
Sweden		0.5
Israel		0.2
Malaysia		0.2
Norway		0.2
Poland		0.2
Argentina		0.1
Chile		0.1
Indonesia		0.1
Philippines		0.1
Thailand		0.1
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuer — 100.0%
	8,153,408	GMO Alpha Only Fund, Class IV		90,584,368
	2,808,764	GMO Core Plus Bond Fund, Class IV		26,514,728
	570,923	GMO Emerging Country Debt Fund, Class IV		5,743,483
	7,808,129	GMO Emerging Markets Opportunities Fund, Class VI		103,926,197
	585,639	GMO International Bond Fund, Class III		5,569,426
	5,651,465	GMO International Growth Equity Fund, Class IV		156,545,575
	5,328,994	GMO International Intrinsic Value Fund, Class IV		159,656,664
	2,737,777	GMO Special Situations Fund, Class VI		58,396,773
	9,190,544	GMO Strategic Fixed Income Fund, Class VI		216,621,119
	5,822,517	GMO U.S. Core Equity Fund, Class VI		69,986,654
	10,045,554	GMO U.S. Quality Equity Fund, Class VI		206,637,036
		TOTAL MUTUAL FUNDS (COST $1,157,113,197)		1,100,182,023
		SHORT-TERM INVESTMENTS — 0.0%
	46,920	Eurodollar Time Deposit, 2.00%, due 03/03/08		46,920
		TOTAL SHORT-TERM INVESTMENTS (COST $46,920)		46,920
		TOTAL INVESTMENTS — 100.0% (Cost $1,157,160,117)		1,100,228,943
		Other Assets and Liabilities (net) — (0.0%)		(63,435	)
		TOTAL NET ASSETS — 100.0%	$	1,100,165,508

Notes to Schedule of Investments:

As of February 29, 2008, 35.18% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

3

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $46,920) (Note 2)	$	46,920
Investments in affiliated issuers, at value (cost $1,157,113,197) (Notes 2 and 8)		1,100,182,023
Receivable for Fund shares sold		6,975,230
Receivable for expenses reimbursed by Manager (Note 3)		19,488
Total assets		1,107,223,661
Liabilities:
Payable for investments purchased		5,568,558
Payable for Fund shares repurchased		1,424,000
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,203
Accrued expenses		64,392
Total liabilities		7,058,153
Net assets	$	1,100,165,508
Net assets consist of:
Paid-in capital	$	1,117,356,715
Accumulated undistributed net investment income		5,027,700
Accumulated net realized gain		34,712,267
Net unrealized depreciation		(56,931,174	)
	$	1,100,165,508
Net assets attributable to:
Class III shares	$	1,100,165,508
Shares outstanding:
Class III		48,475,112
Net asset value per share:
Class III	$	22.70

See accompanying notes to the financial statements.

4

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	32,751,401
Interest		1,114
Total investment income		32,752,515
Expenses:
Custodian, fund accounting agent and transfer agent fees		43,971
Audit and tax fees		33,754
Legal fees		17,921
Trustees fees and related expenses (Note 3)		7,328
Registration fees		11,497
Miscellaneous		10,358
Total expenses		124,829
Fees and expenses reimbursed by Manager (Note 3)		(113,434	)
Expense reductions (Note 2)		(17,360	)
Net expenses		(5,965	)
Net investment income (loss)		32,758,480
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(578,425	)
Realized gains distributions from affiliated issuers (Note 8)		61,919,037
Net realized gain (loss)		61,340,612
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(89,711,146	)
Net realized and unrealized gain (loss)		(28,370,534	)
Net increase (decrease) in net assets resulting from operations	$	4,387,946

See accompanying notes to the financial statements.

5

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	32,758,480		$	13,179,426
Net realized gain (loss)		61,340,612			23,150,965
Change in net unrealized appreciation (depreciation)		(89,711,146	)		19,527,296
Net increase (decrease) in net assets from operations		4,387,946			55,857,687
Distributions to shareholders from:
Net investment income
Class III		(43,466,039	)		(18,854,874	)
Net realized gains
Class III		(24,846,890	)		(12,242,706	)
		(68,312,929	)		(31,097,580	)
Net share transactions (Note 7):
Class III		634,481,810			137,932,946
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		234,265			59,034
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		634,716,075			137,991,980
Total increase (decrease) in net assets		570,791,092			162,752,087
Net assets:
Beginning of period		529,374,416			366,622,329
End of period (including accumulated undistributed net investment income of $5,027,700 and $9,920, respectively)	$	1,100,165,508		$	529,374,416

See accompanying notes to the financial statements.

6

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	23.71		$	22.37		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.99			0.69			0.52
Net realized and unrealized gain (loss)		(0.15	)		2.17			2.34
Total from investment operations		0.84			2.86			2.86
Less distributions to shareholders:
From net investment income		(1.02	)		(0.90	)		(0.47	)
From net realized gains		(0.83	)		(0.62	)		(0.02	)
Total distributions		(1.85	)		(1.52	)		(0.49	)
Net asset value, end of period	$	22.70		$	23.71		$	22.37
Total Return(c)		3.15	%		12.98	%		14.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,100,166		$	529,374		$	366,622
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%		0.00	%*
Net investment income to average daily net assets(b)		4.05	%		2.98	%		3.22	%*
Portfolio turnover rate		47	%		23	%		10	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.00	(g)	$	0.02

(a)  Period from May 31, 2005 (commencement of operations) through February 28, 2006.

(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

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

(d)  Net expenses exclude expenses incurred indirectly through investments in the underlying funds (See Note 3).

(e)  Net expenses to average daily net assets were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

7

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Strategic Opportunities Allocation Fund (the "Fund"), which commenced operations on May 31, 2005, 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 Funds into classes.

The Fund seeks total return greater than that of its benchmark, the GMO Strategic Opportunities Allocation Index. The GMO Strategic Opportunities Allocation Index is a composite index computed by GMO consisting of: (i) the MSCI World Index and (ii) the Lehman Brothers U.S. Aggregate Index in the following proportions: 75% (MSCI World Index) and 25% (Lehman Brothers U.S. Aggregate Index). The Fund is a fund of funds and invests in shares of other GMO Funds ("underlying funds"), which may include the GMO U.S. Equity Funds, the GMO International Equity Funds (including one or more of the GMO Emerging Markets Funds), the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, and GMO Special Situations Fund.

The financial statements of the underlying funds in which the Fund invests should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect) or by visiting GMO's website at www.gmo.com. Shares of GMO Special Situations Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally valued at the

8

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 7.25% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

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. There were no repurchase agreements outstanding at the end of the period.

9

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received, subscription in-kind transactions, partnership interest tax allocations and losses on wash sale transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	15,725,339	$	(13,632,882	)	$	(2,092,457	)

10

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	44,599,754	$	20,019,094
Long-term capital gains		23,713,175		11,078,486
Total distributions	$	68,312,929	$	31,097,580

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	7,934,775
Undistributed long-term capital gain	$	36,537,471

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,160,399,734	$	19,595,541	$	(79,766,332	)	$	(60,170,791	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

11

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.04% of the amount invested or redeemed. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

12

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among the designated underlying funds. The Manager does not directly charge a management fee or shareholder service fee, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

13

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.416	%		0.073	%		0.018	%		0.507	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $6,252 and $4,058, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $1,051,761,852 and $390,666,627, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 34.05% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

14

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, less than 0.01% of the Fund's shares were held by two related parties comprised of certain GMO employee accounts, and 99.33% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		23,859,232		$	579,450,743			5,179,484		$	120,067,340
Shares issued to shareholders in reinvestment of distributions		2,788,898			67,229,949			1,296,097			30,296,691
Shares repurchased		(502,061	)		(12,198,882	)		(532,650	)		(12,431,085	)
Purchase premiums		—			232,499			—			57,043
Redemption fees		—			1,766			—			1,991
Net increase (decrease)		26,146,069		$	634,716,075			5,942,931		$	137,991,980

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Alpha Only Fund, Class IV	$	—	$	88,971,312	$	60,000	$	1,484,875	$	—	$	90,584,368
GMO Core Plus Bond Fund, Class IV		56,198,149		13,148,287		40,013,611		2,148,287		—		26,514,728
GMO Emerging Country Debt Fund, Class IV		1,744,041		4,203,855		—		128,558		75,297		5,743,483
GMO Emerging Markets Opportunities Fund, Class VI		49,013,342		54,303,508		6,010,895		1,952,474		5,351,034		103,926,197

15

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Inflation Indexed Plus Bond Fund, Class VI	$	74,922,001	$	125,334,552	$	189,321,518	$	14,694,417	$	313,656	$	—
GMO International Bond Fund, Class III		4,154,505		1,507,445		—		507,445		—		5,569,426
GMO International Growth Equity Fund, Class IV		103,554,411		123,510,922		46,263,680		2,225,803		25,883,678		156,545,575
GMO International Intrinsic Value Fund, Class IV		105,015,610		124,424,556		39,100,000		4,285,535		20,639,021		159,656,664
GMO International Small Companies Fund, Class III		700,667		24,254		696,923		—		24,254		—
GMO Special Situations Fund, Class VI		—		55,500,000		—		—		—		58,396,773
GMO Strategic Fixed Income Fund, Class VI		45,257,955		244,328,858		69,000,000		2,746,089		166,973		216,621,119
GMO U.S. Core Equity Fund, Class VI		42,352,407		41,580,048		200,000		1,048,368		6,531,680		69,986,654
GMO U.S. Quality Equity Fund, Class VI		46,463,280		174,924,255		—		1,529,550		2,933,444		206,637,036
Totals	$	529,376,368	$	1,051,761,852	$	390,666,627	$	32,751,401	$	61,919,037	$	1,100,182,023

16

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Strategic Opportunities Allocation 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 Strategic Opportunities Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

17

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.52	%	$	1,000.00	$	979.60	$	2.56
2) Hypothetical		0.52	%	$	1,000.00	$	1,022.28	$	2.61

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

18

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $23,713,175 from long-term capital gains.

For taxable, non-corporate shareholders, 29.51% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 7.20% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $20,597,677 and $1,133,715, respectively, or if determined to be different, the qualified interest income and qualified short-term capital gains of such year.

19

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

20

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

21

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

23

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO U.S. Equity Allocation Fund returned -6.4% for the fiscal year ended February 29, 2008, as compared to -4.5% for the Russell 3000 Index. During the fiscal year the Fund was exposed substantially to common stocks through its investment in underlying GMO mutual funds.

Implementation was negative, detracting approximately 2.7%, as the GMO U.S. Core Equity, GMO U.S. Small-Mid Cap Value, and GMO U.S. Small/Mid Cap Growth Funds underperformed their respective benchmarks.

Asset allocation added 0.8%. The Fund's overweight to large cap/quality and underweight to small cap equities added to 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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .03% on the purchase and .03% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

*   Russell 3000 Index Blend represents the S&P 500 Index prior to 2/28/03 and the Russell 3000 Index thereafter.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		95.3	%
Short-Term Investments		4.5
Futures		(0.0	)
Other		0.2
		100.0	%

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

1

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,674,562	GMO U.S. Core Equity Fund, Class VI		56,188,236
	1,769,106	GMO U.S. Quality Equity Fund, Class VI		36,390,514
	90,486	GMO U.S. Small/Mid Cap Growth Fund, Class III		1,229,704
	170,755	GMO U.S. Small/Mid Cap Value Fund, Class III		1,256,760
		TOTAL MUTUAL FUNDS (COST $107,626,586)		95,065,214
		SHORT-TERM INVESTMENTS — 0.0%
	29,673	Eurodollar Time Deposit, 2.00%, due 03/03/08		29,673
		TOTAL SHORT-TERM INVESTMENTS (COST $29,673)		29,673
		TOTAL INVESTMENTS — 100.0% (Cost $107,656,259)		95,094,887
		Other Assets and Liabilities (net) — (0.0%)		(28,152	)
		TOTAL NET ASSETS — 100.0%	$	95,066,735

See accompanying notes to the financial statements.

2

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $29,673) (Note 2)	$	29,673
Investments in affiliated issuers, at value (cost $107,626,586) (Notes 2 and 8)		95,065,214
Receivable for expenses reimbursed by Manager (Note 3)		3,538
Total assets		95,098,425
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		113
Accrued expenses		31,577
Total liabilities		31,690
Net assets	$	95,066,735
Net assets consist of:
Paid-in capital	$	106,507,163
Accumulated net realized gain		1,120,944
Net unrealized depreciation		(12,561,372	)
	$	95,066,735
Net assets attributable to:
Class III shares	$	95,066,735
Shares outstanding:
Class III		18,597,396
Net asset value per share:
Class III	$	5.11

See accompanying notes to the financial statements.

3

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	2,248,599
Interest		865
Total investment income		2,249,464
Expenses:
Custodian, fund accounting agent and transfer agent fees		16,725
Audit and tax fees		27,822
Legal fees		3,507
Trustees fees and related expenses (Note 3)		1,211
Registration fees		1,983
Miscellaneous		1,449
Total expenses		52,697
Fees and expenses reimbursed by Manager (Note 3)		(51,129	)
Expense reductions (Note 2)		(263	)
Net expenses		1,305
Net investment income (loss)		2,248,159
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		512,433
Realized gains distributions from affiliated issuers (Note 8)		11,034,688
Net realized gain (loss)		11,547,121
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(18,144,547	)
Net realized and unrealized gain (loss)		(6,597,426	)
Net increase (decrease) in net assets resulting from operations	$	(4,349,267	)

See accompanying notes to the financial statements.

4

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	2,248,159		$	2,844,809
Net realized gain (loss)		11,547,121			12,470,796
Change in net unrealized appreciation (depreciation)		(18,144,547	)		(6,163,706	)
Net increase (decrease) in net assets from operations		(4,349,267	)		9,151,899
Distributions to shareholders from:
Net investment income
Class III		(5,352,652	)		(4,188,192	)
Net realized gains
Class III		(11,494,628	)		(12,182,820	)
		(16,847,280	)		(16,371,012	)
Net share transactions (Note 7):
Class III		(33,069,596	)		(16,661,519	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		20,815			46,222
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(33,048,781	)		(16,615,297	)
Total increase (decrease) in net assets		(54,245,328	)		(23,834,410	)
Net assets:
Beginning of period		149,312,063			173,146,473
End of period (including accumulated undistributed net investment income of $0 and $27,768, respectively)	$	95,066,735		$	149,312,063

See accompanying notes to the financial statements.

5

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	6.38		$	6.56		$	6.41		$	6.40		$	4.53
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.11			0.10			0.10			0.11			0.08
Net realized and unrealized gain (loss)		(0.42	)		0.28			0.31			0.34			1.89
Total from investment operations		(0.31	)		0.38			0.41			0.45			1.97
Less distributions to shareholders:
From net investment income		(0.32	)		(0.15	)		(0.12	)		(0.14	)		(0.02	)
From net realized gains		(0.64	)		(0.41	)		(0.14	)		(0.30	)		(0.08	)
Total distributions		(0.96	)		(0.56	)		(0.26	)		(0.44	)		(0.10	)
Net asset value, end of period	$	5.11		$	6.38		$	6.56		$	6.41		$	6.40
Total Return(b)(c)		(6.43	)%		6.48	%		6.45	%		7.18	%		43.72	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	95,067		$	149,312		$	173,146		$	151,378		$	73,342
Net expenses to average daily net assets(d)		0.00	%(e)(f)		0.04	%		0.01	%		0.00	%(e)		0.00	%(e)
Net investment income to average daily net assets(a)		1.78	%		1.63	%		1.52	%		1.75	%		1.43	%
Portfolio turnover rate		26	%		35	%		13	%		16	%		17	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%		0.18	%		0.51	%		0.54	%		0.58	%
Purchase premiums and redemption fees consisted of the following per share amounts:†(g)	$	0.00		$	0.00		$	0.00		$	0.00		$	0.00

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(d)  Net expenses exclude expenses incurred indirectly through investments in the underlying funds (See Note 3).

(e)  Net expenses were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

6

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO U.S. Equity Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the Russell 3000 Index. The Fund is a fund of funds and invests primarily in shares of the GMO U.S. Equity Funds ("underlying funds"). The Fund seeks exposure to the securities in the Wilshire 5000 Stock Index through its investments in each of the underlying funds.

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

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

7

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, differing treatment of mutual fund distributions received, and losses on wash sale transactions.

8

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	3,076,725	$	(3,076,722	)	$	(3	)

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	5,350,424	$	4,188,192
Long-term capital gains		11,496,856		12,182,820
Total distributions	$	16,847,280	$	16,371,012

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 1,635,086

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/29/2012	$	(136,192	)
Total	$	(136,192	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	108,034,209	$	—	$	(12,939,322	)	$	(12,939,322	)

9

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.03% of the amount invested or redeemed. The redemption fee is only applicable to shares acquired on or after June 30, 2003. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

10

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge an advisory fee or shareholder service fee, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

11

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.315	%		0.060	%		0.375	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $1,027 and $355, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $32,161,466 and $68,774,831, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 56.96% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, less than 0.01% of the Fund's shares were held by one related party comprised of a certain GMO employee account.

12

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

7.  Share transactions

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,644,319		$	9,739,477			8,058,092		$	52,537,795
Shares issued to shareholders in reinvestment of distributions		2,858,946			16,847,279			2,677,850			16,371,012
Shares repurchased		(9,315,683	)		(59,656,352	)		(13,702,053	)		(85,570,326	)
Purchase premiums		—			2,918			—			21,021
Redemption fees		—			17,897			—			25,201
Net increase (decrease)		(4,812,418	)	$	(33,048,781	)		(2,966,111	)	$	(16,615,297	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO U.S. Core Equity Fund, Class VI	$	111,984,114	$	14,750,807	$	56,412,967	$	1,728,956	$	9,667,802	$	56,188,236
GMO U.S. Quality Equity Fund, Class VI		27,544,376		16,700,495		5,649,461		464,031		712,334		36,390,514
GMO U.S. Small/Mid Cap Growth Fund, Class III		4,712,790		443,721		3,402,412		12,410		431,311		1,229,704
GMO U.S. Small/Mid Cap Value Fund, Class III		5,069,978		266,443		3,309,991		43,202		223,241		1,256,760
Totals	$	149,311,258	$	32,161,466	$	68,774,831	$	2,248,599	$	11,034,688	$	95,065,214

13

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO U.S. Equity Allocation 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. Equity Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

14

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.38	%	$	1,000.00	$	911.30	$	1.81
2) Hypothetical		0.38	%	$	1,000.00	$	1,022.97	$	1.91

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

15

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $11,496,856 from long-term capital gains.

For taxable, non-corporate shareholders, 47.02% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 46.32% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $2,901,575 or if determined to be different, the qualified interest income of such year.

16

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

17

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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 40Rowes Wharf Boston, MA 02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

18

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

19

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

20

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO World Opportunities Equity Allocation Fund returned +0.7% for the fiscal year ended February 29, 2008, as compared to -0.5% for the Fund's benchmark, the MSCI World Index. During the fiscal year the Fund was fully exposed to global equity and fixed income securities through its investment in underlying GMO mutual funds.

Implementation was negative, detracting approximately 1.3% with most of the underperformance coming from the GMO U.S. Core Equity, GMO International Intrinsic Value, and GMO Emerging Markets Opportunities Funds, which underperformed their respective benchmarks.

Asset allocation added 2.6%. The Fund's allocation to emerging market equities, international growth equities, and U.S. high quality equities were the drivers of the outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .04% on the purchase and .04% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.2	%
Short-Term Investments		4.0
Preferred Stocks		1.1
Forward Currency Contracts		0.2
Rights and Warrants		0.0
Futures		(0.3	)
Other		0.8
		100.0	%

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

1

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
United States		43.8	%
Euro Region***		17.0
United Kingdom		10.0
Japan		9.2
Switzerland		3.2
Australia		2.6
Hong Kong		1.5
Brazil		1.3
China		1.3
Korea		1.2
Singapore		1.2
Canada		1.0
Taiwan		1.0
Russia		0.9
India		0.8
Sweden		0.8
Denmark		0.6
Belgium		0.5
South Africa		0.5
Mexico		0.4
Norway		0.4
Israel		0.2
Malaysia		0.2
Chile		0.1
Indonesia		0.1
Poland		0.1
Thailand		0.1
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	6,052,334	GMO Emerging Markets Opportunities Fund, Class VI		80,556,568
	8,119,870	GMO International Growth Equity Fund, Class IV		224,920,412
	7,389,146	GMO International Intrinsic Value Fund, Class IV		221,378,801
	18,701,273	GMO U.S. Core Equity Fund, Class VI		224,789,300
	9,368,912	GMO U.S. Quality Equity Fund, Class VI		192,718,528
		TOTAL MUTUAL FUNDS (COST $1,044,113,182)		944,363,609
		SHORT-TERM INVESTMENTS — 0.0%
	49,011	Eurodollar Time Deposit, 2.00%, due 03/03/08		49,011
		TOTAL SHORT-TERM INVESTMENTS (COST $49,011)		49,011
		TOTAL INVESTMENTS — 100.0% (Cost $1,044,162,193)		944,412,620
		Other Assets and Liabilities (net) — (0.0%)		(38,194	)
		TOTAL NET ASSETS — 100.0%	$	944,374,426

Notes to Schedule of Investments:

As of February 29, 2008, 47.54% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair values prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

3

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $49,011) (Note 2)	$	49,011
Investments in affiliated issuers, at value (cost $1,044,113,182) (Notes 2 and 8)		944,363,609
Receivable for Fund shares sold		1,951
Receivable for expenses reimbursed by Manager (Note 3)		11,745
Total assets		944,426,316
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,115
Accrued expenses		50,775
Total liabilities		51,890
Net assets	$	944,374,426
Net assets consist of:
Paid-in capital	$	996,052,050
Accumulated net realized gain		48,071,949
Net unrealized depreciation		(99,749,573	)
	$	944,374,426
Net assets attributable to:
Class III shares	$	944,374,426
Shares outstanding:
Class III		43,502,764
Net asset value per share:
Class III	$	21.71

See accompanying notes to the financial statements.

4

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	16,863,079
Interest		1,089
Total investment income		16,864,168
Expenses:
Custodian, fund accounting agent and transfer agent fees		45,637
Audit and tax fees		31,581
Legal fees		20,719
Trustees fees and related expenses (Note 3)		9,440
Registration fees		8,586
Miscellaneous		9,946
Total expenses		125,909
Fees and expenses reimbursed by Manager (Note 3)		(112,173	)
Expense reductions (Note 2)		(5,817	)
Net expenses		7,919
Net investment income (loss)		16,856,249
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(2,936,910	)
Realized gains distributions from affiliated issuers (Note 8)		120,691,474
Net realized gain (loss)		117,754,564
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(134,909,725	)
Net realized and unrealized gain (loss)		(17,155,161	)
Net increase (decrease) in net assets resulting from operations	$	(298,912	)

See accompanying notes to the financial statements.

5

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	16,856,249		$	10,502,950
Net realized gain (loss)		117,754,564			61,556,022
Change in net unrealized appreciation (depreciation)		(134,909,725	)		18,645,399
Net increase (decrease) in net assets from operations		(298,912	)		90,704,371
Distributions to shareholders from:
Net investment income
Class III		(44,014,224	)		(21,344,408	)
Net realized gains
Class III		(72,725,181	)		(23,787,413	)
		(116,739,405	)		(45,131,821	)
Net share transactions (Note 7):
Class III		159,046,461			449,303,347
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		42,292			217,986
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		159,088,753			449,521,333
Total increase (decrease) in net assets		42,050,436			495,093,883
Net assets:
Beginning of period		902,323,990			407,230,107
End of period	$	944,374,426		$	902,323,990

See accompanying notes to the financial statements.

6

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006(a)
Net asset value, beginning of period	$	24.25		$	22.49		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.43			0.40			0.37
Net realized and unrealized gain (loss)		0.01	(c)		2.93			2.78
Total from investment operations		0.44			3.33			3.15
Less distributions to shareholders:
From net investment income		(1.10	)		(0.73	)		(0.46	)
From net realized gains		(1.88	)		(0.84	)		(0.20	)
Total distributions		(2.98	)		(1.57	)		(0.66	)
Net asset value, end of period	$	21.71		$	24.25		$	22.49
Total Return(d)		0.72	%		14.94	%		15.90	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	944,374		$	902,324		$	407,230
Net expenses to average daily net assets(e)(f)		0.00	%(g)		0.00	%		0.00	%*
Net investment income to average daily net assets(b)		1.72	%		1.68	%		2.42	%*
Portfolio turnover rate		20	%		12	%		5	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(h)	$	0.01		$	0.02

(a)  Period from June 16, 2005 (commencement of operations) through February 28, 2006.

(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

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

(d)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

(e)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(f)  Net expenses to average daily net assets were less than 0.01%.

(g)  The net expense ratio does not reflect the effect of expense reductions.

(h)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

7

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO World Opportunities Equity Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the MSCI World Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds (which may include one or more of the GMO Emerging Markets Funds) and the GMO U.S. Equity Funds. The Fund may also invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund.

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

2.  Significant accounting policies

The following is a summary of significant accounting policies 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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. Securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as

8

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

determined in good faith by the Trustees or other persons acting at their direction pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

9

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received and losses on wash sale transactions.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	27,157,975	$	(27,157,975	)	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	44,009,605	$	21,541,099
Long-term capital gains		72,729,800		23,590,722
Total distributions	$	116,739,405	$	45,131,821

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 48,642,573

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,044,732,817	$	12,907,473	$	(113,227,670	)	$	(100,320,197	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

10

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.04% of the amount invested or redeemed. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e.,changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S.securities markets. The risks described above apply to an even greater extent to investments in

11

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge a management fee or shareholder service fee, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the

12

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.456	%		0.077	%		0.533	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008, was $8,152 and $4,281, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $374,013,850 and $194,138,941, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 13.95% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

13

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, less than 0.01% of the Fund's shares were held by one related party, comprised of a certain GMO employee account, and 9.24% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,764,267		$	122,806,681			20,252,428		$	474,986,993
Shares issued to shareholders in reinvestment of distributions		4,778,197			116,284,024			1,875,834			45,131,675
Shares repurchased		(3,254,416	)		(80,044,244	)		(3,022,181	)		(70,815,321	)
Purchase premiums		—			10,322			—			189,823
Redemption fees		—			31,970			—			28,163
Net increase (decrease)		6,288,048		$	159,088,753			19,106,081		$	449,521,333

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Currency Hedged International Equity Fund, Class III	$	62,894,979	$	22,749,853	$	73,718,947	$	—	$	16,345,829	$	—
GMO Emerging Markets Opportunities Fund, Class VI		65,830,487		16,056,648		11,358,442		1,608,069		5,080,167		80,556,568
GMO International Growth Equity Fund, Class IV		235,863,517		69,036,075		50,494,685		2,994,671		38,529,394		224,920,412
GMO International Intrinsic Value Fund, Class IV		237,203,364		63,303,211		40,064,061		5,823,917		30,338,533		221,378,801

14

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO International Small Companies Fund, Class III	$	127,930	$	4,428	$	127,246	$	—	$	4,428	$	—
GMO U.S. Core Equity Fund, Class VI		217,211,140		75,375,100		17,875,560		4,346,993		26,426,057		224,789,300
GMO U.S. Quality Equity Fund, Class VI		83,203,919		127,488,535		500,000		2,089,429		3,967,066		192,718,528
Totals	$	902,335,336	$	374,013,850	$	194,138,941	$	16,863,079	$	120,691,474	$	944,363,609

15

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO World Opportunities Equity Allocation 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 World Opportunities Equity Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

16

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.53	%	$	1,000.00	$	946.10	$	2.56
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.23	$	2.66

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

17

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $72,729,800 from long-term capital gains.

For taxable, non-corporate shareholders, 43.67% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 16.08% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $25,030,889 or if determined to be different, the qualified interest income of such year.

18

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

19

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

20

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

21

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

22

GMO Alpha Only Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Alpha Only Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team within the Quantitative Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Alpha Only Fund returned +8.7% for the fiscal year ended February 29, 2008, as compared to +4.4% for the Citigroup 3-Month Treasury Bill Index. During the fiscal year the Fund was exposed to global equity securities through its investment in underlying GMO mutual funds.

Allocation was positive while implementation was negative as the GMO U.S. Core Equity, GMO International Intrinsic Value, and GMO Emerging Markets Funds underperformed their respective benchmarks.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .10% on the purchase and .10% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited. Performance for Class IV shares will vary due to different fees.

GMO Alpha Only Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Cash and Cash Equivalents		94.7	%
Common Stocks		80.7
Short-Term Investments		9.3
Preferred Stocks		1.5
Private Equity Securities		0.1
Investment Funds		0.0
Debt Obligations		0.0
Rights and Warrants		0.0
Convertible Securities		0.0
Forward Currency Contracts		(0.6	)
Swaps		(31.0	)
Futures		(58.2	)
Other		3.5
		100.0	%

*  The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMO Trust ("underlying funds"). Swaps and futures concentrations assume the notional value of the respective contracts.

1

GMO Alpha Only Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 86.4%
		United States — 86.4%
		Affiliated Issuers
	12,609,071	GMO Emerging Markets Fund, Class VI		257,477,237
	20,973,613	GMO International Growth Equity Fund, Class IV		580,969,085
	19,374,037	GMO International Intrinsic Value Fund, Class IV		580,446,151
	50,930,003	GMO U.S. Core Equity Fund, Class VI		612,178,641
	16,148,468	GMO U.S. Quality Equity Fund, Class VI		332,173,994
				2,363,245,108
		TOTAL MUTUAL FUNDS (COST $2,566,438,713)		2,363,245,108
		SHORT-TERM INVESTMENTS — 5.8%
	23,400,000	ABN Amro Bank Time Deposit, 3.10%, due 03/03/08		23,400,000
	135,500,000	ING Bank Time Deposit, 3.13%, due 03/03/08		135,500,000
		TOTAL SHORT-TERM INVESTMENTS (COST $158,900,000)		158,900,000
		TOTAL INVESTMENTS — 92.2% (Cost $2,725,338,713)		2,522,145,108
		Other Assets and Liabilities (net) — 7.8%		211,891,414
		TOTAL NET ASSETS — 100.0%	$	2,734,036,522

See accompanying notes to the financial statements.

2

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
5/23/08	AUD		3,634,000	$	3,348,961	$	(17,213	)
5/23/08	CHF		5,429,000		5,214,944		5,571
5/23/08	DKK		3,191,000		648,261		(409	)
5/23/08	EUR		20,094,000		30,418,163		(20,028	)
5/23/08	GBP		7,897,000		15,600,287		(3,214	)
5/23/08	HKD		10,893,000		1,401,891		(256	)
5/23/08	JPY		1,093,470,000		10,574,763		27,466
5/23/08	NOK		1,408,000		268,310		(450	)
5/23/08	SEK		9,258,000		1,495,793		(3,456	)
5/23/08	SGD		836,000		601,349		(367	)
				$	69,572,722	$	(12,356	)
Sales
5/23/08	AUD		6,634,000	$	6,113,651	$	(187,366	)
5/23/08	AUD		12,141,111		11,188,803		(125,822	)
5/23/08	AUD		12,141,111		11,188,803		(122,556	)
5/23/08	AUD		20,354,023		18,757,521		(453,825	)
5/23/08	CHF		13,015,864		12,502,671		(580,215	)
5/23/08	CHF		6,626,000		6,364,748		(345,763	)
5/23/08	CHF		22,561,044		21,671,501		(1,053,853	)
5/23/08	CHF		12,633,044		12,134,945		(575,909	)
5/23/08	DKK		7,622,056		1,548,443		(46,134	)
5/23/08	DKK		7,622,056		1,548,443		(46,057	)
5/23/08	DKK		7,140,000		1,450,512		(53,607	)
5/23/08	DKK		12,999,027		2,640,790		(95,275	)
5/23/08	EUR		17,395,038		26,332,493		(774,311	)
5/23/08	EUR		17,395,038		26,332,493		(773,441	)
5/23/08	EUR		41,559,038		62,911,795		(2,391,783	)
5/23/08	EUR		49,552,038		75,011,545		(2,551,093	)
5/23/08	EUR		17,395,038		26,332,493		(771,876	)

See accompanying notes to the financial statements.

3

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
5/23/08	EUR		17,395,038	$	26,332,493	$	(777,460	)
5/23/08	EUR		17,395,038		26,332,493		(782,574	)
5/23/08	GBP		18,768,147		37,075,911		(661,577	)
5/23/08	GBP		19,336,879		38,199,424		(695,992	)
5/23/08	GBP		18,768,147		37,075,911		(697,424	)
5/23/08	GBP		10,794,000		21,323,223		(453,337	)
5/23/08	GBP		14,715,000		29,069,041		(256,335	)
5/23/08	HKD		31,847,780		4,098,697		(8,307	)
5/23/08	HKD		51,192,081		6,588,240		(12,143	)
5/23/08	HKD		46,513,081		5,986,070		(11,740	)
5/23/08	JPY		4,399,068,633		42,542,648		(1,338,519	)
5/23/08	JPY		4,527,703,633		43,786,655		(1,607,331	)
5/23/08	JPY		2,252,668,633		21,785,177		(747,673	)
5/23/08	JPY		2,252,668,633		21,785,177		(700,080	)
5/23/08	JPY		2,252,668,633		21,785,177		(750,442	)
5/23/08	NOK		7,602,000		1,448,644		(58,764	)
5/23/08	NOK		8,693,995		1,656,735		(41,412	)
5/23/08	NOK		5,537,000		1,055,136		(62,664	)
5/23/08	NOK		8,438,289		1,608,008		(38,942	)
5/23/08	NOK		8,438,289		1,608,008		(40,747	)
5/23/08	NZD		433,000		341,662		(7,157	)
5/23/08	NZD		622,868		491,479		(310	)
5/23/08	SEK		24,184,936		3,907,503		(92,369	)
5/23/08	SEK		32,770,000		5,294,572		(182,199	)
5/23/08	SEK		24,184,936		3,907,503		(92,418	)
5/23/08	SEK		26,218,813		4,236,112		(107,538	)
5/23/08	SGD		4,652,110		3,346,340		(43,922	)
5/23/08	SGD		2,544,019		1,829,955		(19,394	)
5/23/08	SGD		2,544,019		1,829,955		(21,827	)
5/23/08	SGD		1,418,000		1,019,991		(16,310	)
				$	741,379,590	$	(21,275,793	)

See accompanying notes to the financial statements.

4

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Sales
	1,157	CAC 40	March 2008	$	84,268,066	$	589,641
	280	DAX	March 2008		71,716,647		6,648,910
	1,517	FTSE 100	March 2008		175,797,175		5,872,898
	119	HANG SENG	March 2008		18,512,267		(471,836	)
	166	IBEX 35	March 2008		33,278,303		157,620
	1,224	OMXS 30	March 2008		19,215,258		(180,099	)
	536	Russell 2000	March 2008		184,062,400		16,513,531
	414	Russell 2000 Mini	March 2008		28,433,520		1,101,752
	1,957	S&P 500 E-MINI	March 2008		130,267,705		2,004,156
	1,742	S&P 500	March 2008		579,781,150		50,209,845
	123	S&P/MIB	March 2008		31,433,607		2,305,757
	408	SPI 200	March 2008		52,868,071		2,610,037
	1,321	TOPIX	March 2008		167,906,488		9,837,272
				$	1,577,540,657	$	97,199,484

Swap Agreements

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	163,008,881	USD	3/7/2008	Citi Group	S&P Mid	3 month
					Cap Index	LIBOR -0.26%		$	19,268,730
	684,005,819	USD	6/17/2008	Deutsche Bank	MSCI EAFE Equity Index	3 month LIBOR -0.15%			42,780,537
					Premiums to (Pay) Receive	$	—	$	62,049,267

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

5

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

LIBOR - London Interbank Offered Rate

As of February 29, 2008, 43.63% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $158,900,000) (Note 2)	$	158,900,000
Investments in affiliated issuers, at value (cost $2,566,438,713) (Notes 2 and 8)		2,363,245,108
Cash		11,144
Foreign currency, at value (cost $722) (Note 2)		730
Receivable for Fund shares sold		112,894,403
Interest receivable		13,777
Unrealized appreciation on open forward currency contracts (Note 2)		33,037
Receivable for collateral on open futures contracts (Note 2)		105,706,000
Receivable for collateral on open swap contracts (Note 2)		117,156
Receivable for variation margin on open futures contracts (Note 2)		35,723,338
Receivable for open swap contracts (Note 2)		62,049,267
Receivable for expenses reimbursed by Manager (Note 3)		1,042,482
Total assets		2,839,736,442
Liabilities:
Payable for Fund shares repurchased		82,970,853
Payable to affiliate for (Note 3):
Management fee		1,009,818
Shareholder service fee		208,782
Trustees and Chief Compliance Officer of GMO Trust fees		2,322
Unrealized depreciation on open forward currency contracts (Note 2)		21,321,186
Accrued expenses		186,959
Total liabilities		105,699,920
Net assets	$	2,734,036,522

See accompanying notes to the financial statements.

7

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008 — (Continued)

Net assets consist of:
Paid-in capital	$	2,613,009,097
Distributions in excess of net investment income		(4,242,356	)
Accumulated net realized gain		190,502,776
Net unrealized depreciation		(65,232,995	)
	$	2,734,036,522
Net assets attributable to:
Class III shares	$	176,066,785
Class IV shares	$	2,557,969,737
Shares outstanding:
Class III		15,846,259
Class IV		230,307,263
Net asset value per share:
Class III	$	11.11
Class IV	$	11.11

See accompanying notes to the financial statements.

8

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	30,677,610
Interest		8,817,644
Total investment income		39,495,254
Expenses:
Management fee (Note 3)		9,547,627
Shareholder service fee – Class III (Note 3)		228,819
Shareholder service fee – Class IV (Note 3)		1,756,980
Custodian and fund accounting agent fees		207,061
Transfer agent fees		41,879
Audit and tax fees		68,349
Legal fees		48,104
Trustees fees and related expenses (Note 3)		17,911
Registration fees		28,125
Miscellaneous		15,658
Total expenses		11,960,513
Fees and expenses reimbursed by Manager (Note 3)		(392,849	)
Expense reductions (Note 2)		(35,002	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(8,193,155	)
Shareholder service fee waived (Note 3)		(1,237,972	)
Net expenses		2,101,535
Net investment income (loss)		37,393,719
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		83,910,382
Realized gains distributions from affiliated issuers (Note 8)		223,211,919
Closed futures contracts		18,079,921
Closed swap contracts		(39,386,867	)
Foreign currency, forward contracts and foreign currency related transactions		(16,118,739	)
Net realized gain (loss)		269,696,616
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(289,068,584	)
Open futures contracts		91,559,565
Open swap contracts		71,234,056
Foreign currency, forward contracts and foreign currency related transactions		(20,259,810	)
Net unrealized gain (loss)		(146,534,773	)
Net realized and unrealized gain (loss)		123,161,843
Net increase (decrease) in net assets resulting from operations	$	160,555,562

See accompanying notes to the financial statements.

9

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	37,393,719		$	33,573,903
Net realized gain (loss)		269,696,616			(31,773,569	)
Change in net unrealized appreciation (depreciation)		(146,534,773	)		44,611,020
Net increase (decrease) in net assets from operations		160,555,562			46,411,354
Distributions to shareholders from:
Net investment income
Class III		(3,121,593	)		(3,116,898	)
Class IV		(37,623,319	)		(35,538,281	)
Total distributions from net investment income		(40,744,912	)		(38,655,179	)
Net share transactions (Note 7):
Class III		(140,995	)		(1,295,354,534	)
Class IV		752,392,494			1,687,179,844
Increase (decrease) in net assets resulting from net share transactions		752,251,499			391,825,310
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		148,551			121,944
Class IV		1,407,214			553,818
Increase in net assets resulting from purchase premiums and redemption fees		1,555,765			675,762
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		753,807,264			392,501,072
Total increase (decrease) in net assets		873,617,914			400,257,247
Net assets:
Beginning of period		1,860,418,608			1,460,161,361
End of period (including distributions in excess of net investment income of $4,242,356 and $393,793, respectively)	$	2,734,036,522		$	1,860,418,608

See accompanying notes to the financial statements.

10

GMO Alpha Only Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	10.42		$	10.36		$	10.26		$	9.99		$	9.63
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.21			0.17			0.16			0.19			0.17
Net realized and unrealized gain (loss)		0.70			0.10			0.31			0.08			0.19
Total from investment operations		0.91			0.27			0.47			0.27			0.36
Less distributions to shareholders:
From net investment income		(0.22	)		(0.21	)		(0.37	)		—			—
Total distributions		(0.22	)		(0.21	)		(0.37	)		—			—
Net asset value, end of period	$	11.11		$	10.42		$	10.36		$	10.26		$	9.99
Total Return(b)		8.74	%		2.64	%		4.63	%		2.70	%		3.74	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	176,067		$	166,626		$	1,460,161		$	179,488		$	74,841
Net expenses to average daily net assets(c)		0.16	%(d)		0.15	%		0.10	%		0.18	%		0.26	%
Net investment income to average daily net assets(a)		1.91	%		1.66	%		1.52	%		1.94	%		1.72	%
Portfolio turnover rate		44	%		22	%		40	%		19	%		11	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.51	%		0.53	%		0.59	%		0.62	%		0.72	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.01		$	0.02		$	0.01		$	0.01

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by theshareholder.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

11

GMO Alpha Only Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from March 2, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	10.41		$	10.37
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.21			0.20
Net realized and unrealized gain (loss)		0.71			0.06
Total from investment operations		0.92			0.26
Less distributions to shareholders:
From net investment income		(0.22	)		(0.22	)
Total distributions		(0.22	)		(0.22	)
Net asset value, end of period	$	11.11		$	10.41
Total Return(b)		8.90	%		2.54	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,557,970		$	1,693,793
Net expenses to average daily net assets(c)		0.11	%(d)		0.10	%*
Net investment income to average daily net assets(a)		1.96	%		1.93	%*
Portfolio turnover rate		44	%		22	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.51	%		0.53	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.00	(e)

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by theshareholder.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

(e)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents porfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

12

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Alpha Only 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 Funds into classes.

The Fund seeks to outperform the Citigroup 3-Month Treasury Bill Index. The Fund invests primarily in shares of the GMO U.S. Equity Funds and the GMO International Equity Funds (which may include one or more of the GMO Emerging Markets Funds). The Fund also may invest in shares of GMO Emerging Country Debt Fund ("ECDF"). In addition, the Fund may invest directly in securities of the type in which the underlying funds invest. The Fund invests directly or indirectly in sub-asset classes that it expects to outperform the relevant broader asset class, and seeks to hedge some or all of the expected return (and foreign currency exposure) of the broader asset class. To the extent that the Fund's hedges are effective, the performance of the Fund's portfolio is expected to have a low correlation to the performance of the broader global asset classes in which the Fund directly or indirectly invests. Instead, the Fund is expected to produce returns more like a short-term fixed income fund, with variation in return (alpha) resulting from aggregate outperformance or underperformance of the underlying funds and/or securities as well as the sub-asset classes in which the Fund invests relative to the relevant broader asset classes.

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class IV. Each class of shares bears a different level of shareholder service fees.

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

2.  Significant accounting policies

The following is a summary of significant accounting policies 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. The accounting records of the Fund are maintained in U.S. dollars.

13

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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

14

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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

15

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g.,an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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.

16

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Gains or losses are realized upon early termination of the swap agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, differing treatment of mutual fund distributions received, foreign currency transactions and losses on wash sale transactions.

17

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income			Accumulated Net Realized Gain		Paid-in Capital
$	(497,370	)	$	497,370	$	—

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	40,744,912	$	38,655,179
Total distributions	$	40,744,912	$	38,655,179

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	27,377,422
Undistributed long–term capital gain	$	266,059,357

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	2,731,066,010	$	19,318,054	$	(228,238,956	)	$	(208,920,902	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

18

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

Brown Brothers Harriman & Co. ("BBH") serves as custodian and fund accounting agent of the Fund. State Street Bank and Trust Company ("State Street") serves as transfer agent of the Fund. BBH and State Street's fees may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.10% of the amount invested or redeemed. The redemption fee is only applicable to shares acquired on or after June 30, 2003. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007 and the estimated transaction costs of investing directly in securities. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e. changes in the percentage of Fund assets allocated to each underlying fund and direct investments). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

19

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S.securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.50% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan,

20

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.10% for Class IV shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares and 0.10% for Class IV shares; provided, however, that the amount of this waiver will not exceed the respective Class' shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.50% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in underlying funds (excluding these Funds' Excluded Fund Fees and Expenses) exceeds 0.50% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.50% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.445	%		0.065	%		0.510	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $15,243 and $7,048, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

21

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

4.  Purchase and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments and class exchanges, for the year ended February 29, 2008 aggregated $1,685,296,529 and $758,611,000, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 81.86% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.70% of the Fund's shares were held by twenty-six related parties comprised of certain GMO employee accounts, and 99.19% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		7,060,158		$	77,385,165			11,398,240		$	118,203,482
Shares issued to shareholders in reinvestment of distributions		219,377			2,393,411			233,076			2,410,625
Shares repurchased		(7,426,248	)		(79,919,571	)		(136,539,471	)		(1,415,968,641	)
Purchase premiums		—			77,245			—			78,587
Redemption fees		—			71,306			—			43,357
Net increase (decrease)		(146,713	)	$	7,556			(124,908,155	)	$	(1,295,232,590	)

22

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Year Ended February 29, 2008						Period from March 2, 2006 (commencement of operations) through February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		111,659,135		$	1,226,989,475			177,462,267		$	1,840,405,225
Shares issued to shareholders in reinvestment of distributions		3,451,680			37,623,319			3,436,637			35,538,033
Shares repurchased		(47,448,673	)		(512,220,300	)		(18,253,783	)		(188,763,414	)
Purchase premiums		—			1,070,665			—			423,410
Redemption fees		—			336,549			—			130,408
Net increase (decrease)		67,662,142		$	753,799,708			162,645,121		$	1,687,733,662

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Markets Fund, Class VI	$	194,843,664	$	200,286,842	$	144,011,000	$	2,575,654	$	45,206,188	$	257,477,237
GMO International Growth Equity Fund, Class IV		397,932,659		416,687,590		189,808,000		5,580,563		67,807,028		580,969,085
GMO International Intrinsic Value Fund, Class IV		399,488,346		426,446,174		183,608,000		10,833,641		53,922,533		580,446,151
GMO U.S. Core Equity Fund, Class VI		421,080,896		443,106,907		160,940,000		7,791,601		50,481,306		612,178,641
GMO U.S. Quality Equity Fund, Class VI		228,372,215		198,769,016		80,244,000		3,896,151		5,794,864		332,173,994
Totals	$	1,641,717,780	$	1,685,296,529	$	758,611,000	$	30,677,610	$	223,211,919	$	2,363,245,108

23

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Alpha Only 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 Alpha Only Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

24

GMO Alpha Only Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table for each class below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table for each class below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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 Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.67	%	$	1,000.00	$	1,043.40	$	3.40
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.53	$	3.37
Class IV
1) Actual		0.62	%	$	1,000.00	$	1,043.90	$	3.15
2) Hypothetical		0.62	%	$	1,000.00	$	1,021.78	$	3.12

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

25

GMO Alpha Only Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

For taxable, non-corporate shareholders, 86.28% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 31.69% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 qualified for the dividends-received deduction.

26

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

27

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

28

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

29

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

30

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Inflation Indexed Plus Bond Fund returned +4.0% for the fiscal year ended February 29, 2008, compared to +14.9% for the Lehman Brothers U.S. Treasury Inflation Notes Index. The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, primarily in the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 10.9%. Cash management was the primary contributor to negative performance for the fiscal year, followed by interest-rate strategy, currency selection, and emerging debt exposure losses.

More than 50% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the Fund invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, in order to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 basis points, directly contributing to the Inflation Indexed Plus Bond Fund's underperformance given its 70% exposure to these two funds.

Further strategy underperformance was attributable to interest-rate and currency strategies. For much of the fiscal year, the Fund was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Similar results came out of two other cross-sectional models implemented in swaps. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight. In addition, a drastic change in the relative volatilities of the currencies in August resulted in a shifting of risk positions into less advantageous, and ultimately unprofitable, intra-European trades.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited. Performance for Class VI shares will vary due to different fees.

*  Class III performance information represents Class VI performance from May 31, 2006 to June 29, 2006 and Class III performance thereafter.

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.0	%
Short-Term Investments		8.4
Swaps		1.8
Options Purchased		0.3
Loan Participations		0.2
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Written Options		(0.1	)
Futures		(0.2	)
Reverse Repurchase Agreements		(0.6	)
Forward Currency Contracts		(0.8	)
Other		(0.1	)
		100.0	%
Country / Region Summary**	% of Investments
United States		82.9	%
Japan		7.3
Australia		4.8
Canada		3.5
Euro Region***		3.1
Switzerland		2.6
Emerging		2.6
United Kingdom		(6.8	)
		100.0	%

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

**    The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 23.7%
		Corporate Debt — 6.8%
	13,850,000	JP Morgan & Co. Series MTN, Variable Rate, CPI + 4.00%, 5.89%, due 02/15/12		15,574,325
		U.S. Government — 16.9%
	9,739,725	U.S. Treasury Inflation Indexed Bond, 3.63%, due 04/15/28 (a)		12,838,175
	8,020,800	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		8,057,144
	16,500,150	U.S. Treasury Inflation Indexed Note, 1.63%, due 01/15/15 (a) (b)		17,487,581
		Total U.S. Government		38,382,900
		TOTAL DEBT OBLIGATIONS (COST $52,407,138)		53,957,225
		MUTUAL FUNDS — 73.0%
		Affiliated Issuers — 73.0%
	671,595	GMO Emerging Country Debt Fund, Class III		6,756,250
	4,784,046	GMO Short-Duration Collateral Fund		114,960,626
	28,918	GMO Special Purpose Holding Fund (c) (d)		36,437
	1,739,719	GMO World Opportunity Overlay Fund		44,675,992
		TOTAL MUTUAL FUNDS (COST $168,119,760)		166,429,305
		SHORT-TERM INVESTMENTS — 2.6%
		Money Market Funds — 2.6%
	5,821,180	State Street Institutional Liquid Reserves Fund-Institutional Class		5,821,180
		TOTAL SHORT-TERM INVESTMENTS (COST $5,821,180)		5,821,180
		TOTAL INVESTMENTS — 99.3% (Cost $226,348,078)		226,207,710
		Other Assets and Liabilities (net) — 0.7%		1,644,087
		TOTAL NET ASSETS — 100.0%	$	227,851,797

See accompanying notes to the financial statements.

2

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/04/08	AUD		75,200,000	$	70,052,560	$	3,578,728
3/04/08	AUD		600,000		558,930		2,457
5/06/08	AUD		3,000,000		2,772,176		(47,824	)
5/06/08	AUD		3,000,000		2,772,176		(13,384	)
3/11/08	CAD		72,500,000		73,649,528		2,042,710
4/01/08	CHF		295,200,000		283,497,354		11,824,245
4/15/08	EUR		100,200,000		151,919,260		7,130,260
4/15/08	EUR		300,000		454,848		15,372
3/25/08	GBP		63,000,000		125,012,160		1,040,557
3/25/08	GBP		1,800,000		3,571,776		37,964
3/25/08	GBP		1,400,000		2,778,048		504
4/08/08	NZD		33,500,000		26,642,658		576,137
4/08/08	NZD		2,700,000		2,147,319		(30,933	)
4/08/08	NZD		3,300,000		2,624,501		(46,453	)
				$	748,453,294	$	26,110,340
Sales
3/04/08	AUD		72,800,000	$	67,816,840	$	(4,300,296	)
3/04/08	AUD		3,000,000		2,794,650		48,270
3/11/08	CAD		76,400,000		77,611,364		(343,717	)
4/01/08	CHF		191,200,000		183,620,237		(8,763,553	)
4/01/08	CHF		100,000,000		96,035,689		(5,524,846	)
4/15/08	EUR		50,000,000		75,808,014		(3,562,514	)
4/15/08	EUR		45,000,000		68,227,213		(2,761,055	)
3/25/08	GBP		64,600,000		128,187,072		(1,196,392	)
4/22/08	JPY		197,500,000		1,906,639		(70,796	)
4/22/08	JPY		60,000,000		579,232		(20,396	)
4/08/08	NZD		33,000,000		26,245,007		(435,047	)
				$	728,831,957	$	(26,930,342	)

See accompanying notes to the financial statements.

3

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
3/18/08	EUR	103,800,000	SEK	975,692,880	$	626,433
3/18/08	SEK	957,186,620	EUR	101,300,000		(1,420,650	)
4/29/08	EUR	6,400,000	NOK	50,476,800		(58,740	)
4/29/08	NOK	14,990,050	EUR	1,900,000		16,531
					$	(836,426	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	10	Australian Government Bond 3 Yr.	March 2008	$	915,819	$	4,529
	88	Canadian Government Bond 10 Yr.	June 2008		10,541,224		212,460
	23	Euro BOBL	March 2008		3,887,883		15,385
	44	Euro Bund	March 2008		7,819,444		41,872
	15	Japanese Government Bond 10 Yr. (TSE)	March 2008		19,992,781		79,223
				$	43,157,151	$	353,469
Sales
	427	Australian Government Bond 10 Yr.	March 2008	$	39,074,859	$	(28,756	)
	5	Euro BOBL	March 2008		845,192		(3,879	)
	8	Euro Bund	March 2008		1,421,717		(12,037	)
	9	U.S. Long Bond (CBT)	June 2008		1,067,625		(24,208	)
	60	U.S. Treasury Note 10 Yr.	June 2008		7,036,875		(125,762	)
	102	U.S. Treasury Note 2 Yr. (CBT)	June 2008		21,922,031		(134,107	)
	12	U.S. Treasury Note 5 Yr. (CBT)	June 2008		1,371,000		(18,496	)
	120	UK Gilt Long Bond	June 2008		26,302,978		(449,631	)
				$	99,042,277	$	(796,876	)

See accompanying notes to the financial statements.

4

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Reverse Repurchase Agreements

Average balance outstanding	$	(160,880,217	)
Average interest rate		1.19	%
Maximum balance outstanding	$	(186,334,000	)
Average shares outstanding		147,274,257
Average balance per share outstanding	$	(1.09	)
Days outstanding		92

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase agreements. There were no reverse repurchase agreements outstanding at the end of the period.

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	9,300,000	CHF	3/19/2013	JP Morgan	Receive		3.00	%	6 month
				Chase Bank					CHF LIBOR		$	61,267
	54,900,000	AUD	3/19/2018	JP Morgan Chase Bank	Receive		7.07	%	6 month AUD BBSW			(693,958	)
						Premiums to (Pay) Receive			$	31,770	$	(632,691	)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive		Market Value
	160,000,000	USD	5/14/2008	Barclays Bank PLC	2.50% to	Barclays TIPS
					maturity	Index Total Return		$	5,022,524
					Premiums to (Pay) Receive	$	—	$	5,022,524

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

5

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Notes to Schedule of Investments:

BBSW - Bank Bill Swap Reference Rate

CPI - Consumer Price Index

LIBOR - London Interbank Offered Rate

MTN - Medium Term Note

TIPS - Treasury Inflation Protected Securities

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

(a)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

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

(c)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(d)  Underlying investment represents interests in defaulted securities.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $58,228,318) (Note 2)	$	59,778,405
Investments in affiliated issuers, at value (cost $168,119,760) (Notes 2 and 8)		166,429,305
Receivable for Fund shares sold		2,748
Interest receivable		230,704
Unrealized appreciation on open forward currency contracts (Note 2)		26,940,168
Receivable for open swap contracts (Note 2)		5,083,791
Receivable for closed swap contracts (Note 2)		106,666
Receivable for expenses reimbursed by Manager (Note 3)		78,212
Total assets		258,649,999
Liabilities:
Payable to affiliate for (Note 3):
Management fee		222,432
Shareholder service fee		62,795
Trustees and Chief Compliance Officer of GMO Trust fees		1,016
Unrealized depreciation on open forward currency contracts (Note 2)		28,596,596
Payable for open swap contracts (Note 2)		693,958
Payable for variation margin on open futures contracts (Note 2)		885,409
Accrued expenses		335,996
Total liabilities		30,798,202
Net assets	$	227,851,797
Net assets consist of:
Paid-in capital	$	505,360,653
Distributions in excess of net investment income		(126,305,693	)
Accumulated net realized loss		(153,384,563	)
Net unrealized appreciation		2,181,400
	$	227,851,797
Net assets attributable to:
Class III shares	$	137,492,158
Class VI shares	$	90,359,639
Shares outstanding:
Class III		5,846,005
Class VI		3,843,181
Net asset value per share:
Class III	$	23.52
Class VI	$	23.51

See accompanying notes to the financial statements.

7

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	141,857,199
Interest		19,488,717
Total investment income		161,345,916
Expenses:
Management fee (Note 3)		7,029,418
Shareholder service fee – Class III (Note 3)		362,310
Shareholder service fee – Class IV (Note 3)		166,315
Shareholder service fee – Class VI (Note 3)		1,322,152
Custodian, fund accounting agent and transfer agent fees		923,853
Audit and tax fees		84,038
Legal fees		82,912
Trustees fees and related expenses (Note 3)		23,144
Registration fees		23,366
Interest expense (Note 2)		1,920,718
Miscellaneous		19,431
Total expenses		11,957,657
Fees and expenses reimbursed by Manager (Note 3)		(1,103,298	)
Expense reductions (Note 2)		(310	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(359,244	)
Shareholder service fee waived (Note 3)		(127,822	)
Net expenses		10,366,983
Net investment income (loss)		150,978,933

See accompanying notes to the financial statements.

8

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008 — (Continued)

Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers	$	7,647,924
Investments in affiliated issuers		(186,629,546	)
Realized gains distributions from affiliated issuers (Note 8)		3,932,304
Closed futures contracts		(111,142,215	)
Closed swap contracts		340,875,631
Foreign currency, forward contracts and foreign currency related transactions		(65,025,759	)
Net realized gain (loss)		(10,341,661	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,453,003	)
Investments in affiliated issuers		(647,015	)
Open futures contracts		8,442,738
Open swap contracts		(28,598,488	)
Foreign currency, forward contracts and foreign currency related transactions		(7,209,864	)
Net unrealized gain (loss)		(30,465,632	)
Net realized and unrealized gain (loss)		(40,807,293	)
Net increase (decrease) in net assets resulting from operations	$	110,171,640

See accompanying notes to the financial statements.

9

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Period from May 31, 2006 (commencement of operations) through February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	150,978,933		$	54,489,316
Net realized gain (loss)		(10,341,661	)		942,418
Change in net unrealized appreciation (depreciation)		(30,465,632	)		32,647,032
Net increase (decrease) in net assets from operations		110,171,640			88,078,766
Distributions to shareholders from:*
Net investment income
Class III		(26,975,972	)		(9,719,161	)
Class IV		(14,948,171	)		(5,271,677	)
Class VI		(347,623,757	)		(58,674,899	)
Total distributions from net investment income		(389,547,900	)		(73,665,737	)
Net realized gains
Class III		(643,125	)		(511,535	)
Class IV		(654,425	)		(275,565	)
Class VI		(7,445,282	)		(3,015,693	)
Total distributions from net realized gains		(8,742,832	)		(3,802,793	)
		(398,290,732	)		(77,468,530	)
Net share transactions (Note 7):
Class III		(103,779,537	)		258,555,425
Class IV		(83,542,832	)		94,165,574
Class VI		(1,526,536,264	)		1,866,498,287
Increase (decrease) in net assets resulting from net share transactions		(1,713,858,633	)		2,219,219,286
Total increase (decrease) in net assets		(2,001,977,725	)		2,229,829,522
Net assets:
Beginning of period		2,229,829,522			—
End of period (including distributions in excess of net investment income of $126,305,693 and $2,070,467, respectively)	$	227,851,797		$	2,229,829,522

*  The Fund distributed $96,096,773 from ordinary income in January and February 2008. The final tax classification of these distributions may change as it will depend on the Fund's taxable income for the full tax year ended December 31, 2008.

See accompanying notes to the financial statements.

10

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from June 29, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.47		$	24.96
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.13			0.75
Net realized and unrealized gain (loss)		(0.21	)		0.68
Total from investment operations		0.92			1.43
Less distributions to shareholders:
From net investment income		(2.81	)		(0.87	)
From net realized gains		(0.06	)		(0.05	)
Total distributions		(2.87	)		(0.92	)
Net asset value, end of period	$	23.52		$	25.47
Total Return(b)		3.95	%		5.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	137,492		$	260,205
Net operating expenses to average daily net assets(c)		0.37	%(d)		0.39	%*
Interest expense to average daily net assets		0.07	%		—
Total net expenses to average daily net assets		0.44	%(d)		0.39	%*
Net investment income to average daily net assets(a)		4.51	%		4.37	%*
Portfolio turnover rate		131	%		37	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover of the Fund for the period from May 31, 2006 (commencement of operations) through February 28, 2007.

See accompanying notes to the financial statements.

11

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

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

	Period from March 1, 2007 through February 13, 2008			Period from July 18, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.48		$	25.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.22			0.65
Net realized and unrealized gain (loss)		(0.76	)		0.69
Total from investment operations		0.46			1.34
Less distributions to shareholders:
From net investment income		(2.81	)		(0.88	)
From net realized gains		(0.06	)		(0.05	)
Total distributions		(2.87	)		(0.93	)
Net asset value, end of period	$	23.07	(e)	$	25.48
Total Return(b)		1.94	%**		5.39	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	—		$	94,783
Net operating expenses to average daily net assets(c)		0.33	%*(d)		0.33	%*
Interest expense to average daily net assets		0.07	%*		—
Total net expenses to average daily net assets		0.40	%*(d)		0.33	%*
Net investment income to average daily net assets(a)		5.05	%*		4.10	%*
Portfolio turnover rate		131	%†††		37	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%*		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

(e)  Represents the ending net asset value per share upon the liquidation of the class.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

††  Calculation represents portfolio turnover of the Fund for the period from May 31, 2006 (commencement of operations) through February 28, 2007.

†††  Calculation represents portfolio turnover of the Fund for the year ended February 29, 2008.

See accompanying notes to the financial statements.

12

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 29, 2008			Period from May 31, 2006 (commencement of operations) through February 28, 2007
Net asset value, beginning of period	$	25.48		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(a)†		1.38			0.83
Net realized and unrealized gain (loss)		(0.45	)		0.60
Total from investment operations		0.93			1.43
Less distributions to shareholders:
From net investment income		(2.84	)		(0.90	)
From net realized gains		(0.06	)		(0.05	)
Total distributions		(2.90	)		(0.95	)
Net asset value, end of period	$	23.51		$	25.48
Total Return(b)		4.00	%		5.75	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	90,360		$	1,874,841
Net operating expenses to average daily net assets(c)		0.29	%(d)		0.29	%*
Interest expense to average daily net assets		0.07	%		—
Total net expenses to average daily net assets		0.36	%(d)		0.29	%*
Net investment income to average daily net assets(a)		5.48	%		4.33	%*
Portfolio turnover rate		131	%		37	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.06	%		0.06	%*

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

13

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Inflation Indexed Plus Bond 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 Funds into classes.

The Fund seeks total return in excess of that of the Lehman Brothers U.S. Treasury Inflation Notes Index. The Fund primarily makes investments that are indexed or otherwise "linked" to general measures of inflation in the country of issue. The Fund seeks additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its assets in shares of GMO Short-Duration Collateral Fund; in inflation indexed bonds issued by the U.S. and foreign governments and their agencies or instrumentalities (including securities neither guaranteed nor insured by the U.S. government), including Inflation-Protected Securities issued by the U.S. Treasury (TIPS), and inflation indexed bonds issued by corporations; in shares of GMO World Opportunity Overlay Fund; in futures contracts, swap contracts, currency forwards, currency options and other types of derivatives; up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund; and in non-inflation indexed (or nominal) fixed income securities issued by the U.S. and foreign governments and their agencies or instrumentalities (including securities neither guaranteed nor insured by the U.S. Government) and by corporations (to gain direct exposure to such securities and/or for use as part of a synthetic position).

As of February 29, 2008, the Fund had two classes of shares outstanding: Class III and Class VI. Class IV shares were liquidated on February 13, 2008. Class VI, Class III and Class IV commenced operations on May 31, 2006, June 29, 2006 and July 18, 2006, respectively. Each class of shares bears a different level of shareholder service fees.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of GMO Short-Duration Collateral Fund, GMO Special Purpose Holding Fund and GMO World Opportunity Overlay Fund are not publicly available.

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

14

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 30.78% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $187,563 through SPHF in conjunction with settlement agreements related to the default of those securities.

15

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

16

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

17

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Loan agreements

The Fund may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the "lender") that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. The Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When the Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. There were no loan agreements outstanding at the end of the period.

Indexed securities

The Fund invests in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. Indexed securities held by the Fund at the end of the period are listed in the Fund's Schedule of Investments.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated

18

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

19

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund has adopted a tax year-end of December 31. Unless otherwise indicated, all applicable tax disclosures reflect tax adjusted balances as of December 31, 2007. 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.

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.

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

U.S. GAAP and tax accounting differences as of December 31, 2007 primarily relate to capital loss carryforwards, derivative contract transactions, differing treatment of mutual fund distributions received, foreign currency transactions, losses on wash sale transactions, partnership interest tax allocations and post-October capital and currency losses.

20

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 December 31, 2007. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	114,333,741	$	(114,333,741	)	$	—

The tax character of distributions declared to shareholders is as follows:

	12/31/2007		12/31/2006
Ordinary income (including any short-term capital gains)	$	302,193,959	$	77,468,530
Total distributions	$	302,193,959	$	77,468,530

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

As of December 31, 2007, the Fund elected to defer to January 1, 2008 post-October capital and currency losses of $11,560,236 and $27,059,368, respectively.

As of December 31, 2007, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

12/31/2015	$	(33,561,953	)
Total	$	(33,561,953	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	235,802,616	$	1,633,889	$	(11,228,795	)	$	(9,594,906	)

21

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund made distributions from net investment income to shareholders subsequent to the close of its tax year ended December 31, 2007. Such distributions were made in connection with significant redemption activity in January and February 2008. The stated components of net assets in the Statement of Assets and Liabilities have not been adjusted to reflect permanent U.S. GAAP to tax accounting differences, if any, occurring subsequent to December 31, 2007. Any such differences will have no impact on the Fund's net assets or net asset value per share.

The final tax classification of the distributions made after December 31, 2007 will depend on the Fund's taxable income for the full tax year ended December 31, 2008. Additionally, utilization of certain capital losses realized through the Fund's fiscal year ended February 29, 2008 and/or losses which may be realized in tax years subsequent to December 31, 2007 could be subject to limitations imposed by the Code.

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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 fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

22

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issues accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.10% for Class IV shares and 0.055% for Class VI shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by a class of shares of the Fund exceeds 0.15% for Class III shares, 0.10% for Class IV shares and 0.055% for Class VI shares; provided, however, that the amount of this waiver will not exceed the respective Class' shareholder service fee.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related

23

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's fees and expenses of the independent trustees of the Trust, fees for legal services not procured or provided by the Manager for the Trust, compensation and expenses of the Trust's CCO (excluding any employee benefits), and investment-related expenses such as brokerage commissions, hedging transaction fees, securities lending fees and expenses, interest expense and transfer taxes), exceeds 0.25% of the Fund's average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.014	%		0.005	%		0.037	%		0.056	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $21,795 and $15,163, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations and class exchanges, were as follows:

	Purchases		Sales
U.S. Government securities	$	377,293,110	$	704,235,437
Investments (non-U.S. Government securities)		3,144,617,536		4,602,147,520

24

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 96.37% of the outstanding shares of the Fund were held by three shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.10% of the Fund's shares were held by twelve related parties comprised of certain GMO employee accounts.

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:

	Year Ended February 29, 2008						Period from June 29, 2006 (commencement of operations) through February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		7,753,239		$	195,318,795			15,451,865		$	389,950,136
Shares issued to shareholders in reinvestment of distributions		1,015,942			24,078,255			316,658			7,932,294
Shares repurchased		(13,137,888	)		(323,176,587	)		(5,553,811	)		(139,327,005	)
Net increase (decrease)		(4,368,707	)	$	(103,779,537	)		10,214,712		$	258,555,425

25

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

	Period Ended February 13, 2008*						Period from July 18, 2006 (commencement of operations) through February 28, 2007
Class IV:	Shares			Amount			Shares			Amount
Shares sold		7,496,338		$	190,386,804			7,531,845		$	189,718,619
Shares issued to shareholders in reinvestment of distributions		637,724			15,178,849			221,447			5,547,242
Shares repurchased		(11,854,634	)		(289,108,485	)		(4,032,720	)		(101,100,287	)
Net increase (decrease)		(3,720,572	)	$	(83,542,832	)		3,720,572		$	94,165,574
	Year Ended February 29, 2008						Period from May 31, 2006 (commencement of operations) through February 28, 2007
Class VI:	Shares			Amount			Shares			Amount
Shares sold		81,536,209		$	2,064,407,172			71,907,875		$	1,824,498,863
Shares issued to shareholders in reinvestment of distributions		14,977,254			355,069,039			2,462,698			61,690,592
Shares repurchased		(166,263,657	)		(3,946,012,475	)		(777,198	)		(19,691,168	)
Net increase (decrease)		(69,750,194	)	$	(1,526,536,264	)		73,593,375		$	1,866,498,287

*  Effective February 13, 2008, all shareholders redeemed or exchanged out of Class IV.

26

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the securities of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	66,616,399	$	73,779,918	$	125,900,000	$	7,435,177	$	3,744,741	$	6,756,250
GMO Short-Duration Collateral Fund		1,294,006,779		2,571,222,022		3,587,887,869		134,422,022		—		114,960,626
GMO Special Purpose Holding Fund		40,775		—		—		—		187,563		36,437
GMO World Opportunity Overlay Fund		447,312,841		498,125,000		883,610,000		—		—		44,675,992
Totals	$	1,807,976,794	$	3,143,126,940	$	4,597,397,869	$	141,857,199	$	3,932,304	$	166,429,305

9.  Subsequent Event

Subsequent to February 29, 2008, the Fund received redemption requests in the amount of $95,908,901.

27

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Inflation Indexed Plus Bond 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 Inflation Indexed Plus Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the periods indicated and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

28

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.54	%	$	1,000.00	$	1,044.40	$	2.74
2) Hypothetical		0.54	%	$	1,000.00	$	1,022.18	$	2.72
Class VI
1) Actual		0.45	%	$	1,000.00	$	1,044.50	$	2.29
2) Hypothetical		0.45	%	$	1,000.00	$	1,022.63	$	2.26

*  Expenses are calculated using each Class's annualized expense ratio (including interest expense and indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

29

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended December 31, 2007 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended December 31, 2007, $101,771,326 and $8,742,832, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

30

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

31

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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 (abook publisher and manufacturer) (July 1989 – present); Putnam Funds (December 1992 – June 2004); and Providence Journal (a newspaper publisher) (December 1986 – December 2003).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

32

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

33

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

34

GMO International Bond Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income Division at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO International Bond Fund returned +8.1% for the fiscal year ended February 29, 2008, compared to +18.0% for the JPMorgan Non-U.S. Government Bond Index. The Fund's exposure to various issues is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, primarily in the GMO Emerging Country Debt Fund, the GMO World Opportunity Overlay Fund, and the GMO Short-Duration Collateral Fund.

The Fund underperformed the benchmark during the fiscal year by 9.9%. Cash management was the primary contributor to negative performance for the fiscal year, followed by interest-rate strategy, currency selection, and emerging debt exposure losses.

About 65% of the fiscal year's underperformance was due to mark-to-market losses in the cash collateral pools of two funds in which the Fund invests a substantial portion of its total assets: the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund (WOOF). SDCF and WOOF primarily invest cash in high quality U.S. and foreign floating-rate fixed income securities, mainly asset-backed securities, seeking to earn a LIBOR-type return. The cash positions in SDCF and WOOF collateralize derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

With the extreme price volatility of AAA-credit quality asset-backed securities during the year, the cash pools in SDCF and WOOF underperformed LIBOR by nearly 700 basis points, directly contributing to the International Bond Fund's underperformance given its 90% exposure to these two funds.

Further Fund underperformance was attributable to interest-rate and currency strategies. For much of the fiscal year, the strategy was overweight Australian, Euro-area, Swedish, Swiss, and Canadian interest-rate markets relative to Japanese, U.K., and U.S. markets. However, the U.S., U.K., and Japanese markets were among the top performers, detracting from performance. Similar results came out of two other cross-sectional models implemented in swaps. Further, the slope and volatility strategies also underperformed, leaving only the U.S. Eurodollar directional strategy and opportunistic trading with positive contributions for the year.

In currencies, the largest negative contributors were underweight positions in euros, yen, and Canadian dollars, as well as an overweight position in Australian dollars. Partially offsetting losses were gains from overweight positions in the Swiss franc, Norwegian krone, and sterling. A major risk aversion episode during the fiscal year, prompted by the turmoil in structured credit markets, persisted for much of the third and fourth quarters. Our choice of a defensive currency during this episode, the Swiss franc, was incorrect, as risk aversion manifested itself in a swift rise in the yen, in which the Fund remained underweight. In addition, a drastic change in the relative volatilities of the currencies in August resulted in a shifting of risk positions into less advantageous, and ultimately unprofitable, intra-European trades.

A relatively minor contribution to negative performance came from the small exposure to emerging debt, where spread widening on the asset class contributed negatively, as did negative contributions from country selection.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. 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. All information is unaudited.

GMO International Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		86.3	%
Short-Term Investments		9.4
Forward Currency Contracts		4.1
Futures		1.3
Options Purchased		0.3
Loan Participations		0.2
Swaps		0.1
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Written Options		(0.1	)
Reverse Repurchase Agreements		(0.6	)
Other		(1.1	)
		100.0	%
Country / Region Summary**	% of Investments
Euro Region***		45.0	%
Japan		42.2
Australia		6.6
Canada		6.0
Emerging		2.9
Switzerland		2.8
United Kingdom		(0.7	)
United States		(4.8	)
		100.0	%

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

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

1

GMO International Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Par Value / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 1.0%
		Australia — 0.1%
		Asset-Backed Securities
USD	461,608	Medallion Trust, Series 03-1G, Class A, Variable Rate, 3 mo. LIBOR + .19%, 5.10%, due 12/21/33		447,003
		Canada — 0.9%
		Foreign Government Obligations
CAD	2,000,000	Government of Canada (Cayman), 7.25%, due 06/01/08		2,049,256
CAD	2,000,000	Province of British Columbia, 7.88%, due 11/30/23		2,762,550
		Total Canada		4,811,806
		United Kingdom — 0.0%
		Asset-Backed Securities
GBP	43,551	RMAC, Series 03-NS2A, Class A2A, 144A, AMBAC, Variable Rate, 3 mo. GBP LIBOR + .40%, 7.03%, due 09/12/35		86,521
		TOTAL DEBT OBLIGATIONS (COST $3,403,557)		5,345,330
		MUTUAL FUNDS — 92.8%
		United States — 92.8%
		Affiliated Issuers
	1,561,790	GMO Emerging Country Debt Fund, Class III		15,711,607
	15,084,980	GMO Short-Duration Collateral Fund		362,492,061
	37,466	GMO Special Purpose Holding Fund (a) (b)		47,207
	3,873,078	GMO World Opportunity Overlay Fund		99,460,635
		Total United States		477,711,510
		TOTAL MUTUAL FUNDS (COST $501,928,790)		477,711,510

See accompanying notes to the financial statements.

2

GMO International Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.8%
		Money Market Funds — 0.2%
	1,100,887	State Street Institutional Liquid Reserves Fund-Institutional Class		1,100,887
		Other Short-Term Investments — 1.6%
	5,000,000	U.S. Treasury Bill, 1.78%, due 05/01/08 (c) (d)		4,985,005
	3,000,000	U.S. Treasury Bill, 3.04%, due 03/20/08 (c) (d)		2,993,809
				7,978,814
		TOTAL SHORT-TERM INVESTMENTS (COST $9,068,009)		9,079,701
		TOTAL INVESTMENTS — 95.6% (Cost $514,400,356)		492,136,541
		Other Assets and Liabilities (net) — 4.4%		22,433,958
		TOTAL NET ASSETS — 100.0%	$	514,570,499

See accompanying notes to the financial statements.

3

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

A summary of outstanding financial instruments at February 29, 2008 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/ Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/04/08	AUD		12,200,000	$	11,364,910	$	581,121
3/04/08	AUD		4,800,000		4,471,440		19,656
5/06/08	AUD		8,600,000		7,946,904		(137,096	)
5/06/08	AUD		7,600,000		7,022,846		(33,906	)
3/11/08	CAD		5,600,000		5,688,791		174,663
4/01/08	CHF		42,800,000		41,103,275		1,706,928
4/15/08	EUR		188,600,000		285,947,829		13,420,829
4/15/08	EUR		4,100,000		6,216,257		210,085
3/25/08	GBP		14,700,000		29,169,504		200,864
3/25/08	GBP		6,700,000		13,294,944		204,132
3/25/08	GBP		2,900,000		5,754,528		1,044
4/22/08	JPY		20,090,000,000		193,946,234		7,201,486
4/22/08	JPY		710,000,000		6,854,247		241,353
4/08/08	NZD		4,500,000		3,578,865		80,115
4/08/08	NZD		4,500,000		3,578,865		(51,555	)
4/08/08	NZD		8,400,000		6,680,547		(118,245	)
				$	632,619,986	$	23,701,474
Sales
3/04/08	AUD		8,400,000	$	7,825,020	$	(496,188	)
3/04/08	AUD		8,600,000		8,011,330		138,374
3/11/08	CAD		6,400,000		6,501,476		30,003
4/01/08	CHF		33,400,000		32,075,920		(1,073,601	)
4/15/08	EUR		12,600,000		19,103,620		(873,940	)
4/15/08	EUR		4,500,000		6,822,721		(21,061	)
4/08/08	NZD		2,200,000		1,749,667		(23,789	)
				$	82,089,754	$	(2,320,202	)

See accompanying notes to the financial statements.

4

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Forward Cross Currency Contracts

Settlement Date	Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
3/18/08	EUR	17,700,000	SEK	166,412,485	$	112,834
3/18/08	SEK	96,019,460	EUR	10,200,000		(84,593	)
4/29/08	EUR	14,700,000	NOK	115,938,900		(134,919	)
4/29/08	NOK	35,502,750	EUR	4,500,000		39,153
					$	(67,525	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	91	Australian Government Bond 10 Yr.	March 2008	$	8,327,429	$	9,108
	251	Australian Government Bond 3 Yr.	March 2008		22,987,045		44,093
	278	Canadian Government Bond 10 Yr.	June 2008		33,300,686		671,182
	492	Euro BOBL	March 2008		83,166,898		1,310,459
	945	Euro Bund	March 2008		167,940,334		2,318,686
	177	Japanese Government Bond 10 Yr. (TSE)	March 2008		235,914,813		3,401,087
				$	551,637,205	$	7,754,615
Sales
	5	Euro BOBL	March 2008	$	845,192	$	(3,879	)
	18	Euro Bund	March 2008		3,198,863		(27,082	)
	860	Federal Fund 30 day	March 2008		348,811,653		(53,887	)
	21	U.S. Long Bond (CBT)	June 2008		2,491,125		(56,485	)
	133	U.S. Treasury Note 10 Yr.	June 2008		15,598,406		(278,772	)
	284	U.S. Treasury Note 2 Yr. (CBT)	June 2008		61,037,813		(391,148	)
	35	U.S. Treasury Note 5 Yr. (CBT)	June 2008		3,998,750		(52,611	)
	27	UK Gilt Long Bond	June 2008		5,918,170		(101,167	)
				$	441,899,972	$	(965,031	)

See accompanying notes to the financial statements.

5

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)	Fixed Rate			Variable Rate		Market Value
	20,500,000	CHF	3/19/2013	JP Morgan Chase Bank	Receive		3.00	%	6 month
									CHF LIBOR		$	135,052
	8,300,000	AUD	3/19/2018	JP Morgan Chase Bank	Receive		7.07	%	6 month AUD BBSW			(104,915	)
	5,000,000	EUR	3/21/2030	UBS Warburg	Receive		5.90	%	3 month Floating Rate EUR LIBOR			1,409,729
						Premiums to (Pay) Receive			$	67,229	$	1,439,866

As of February 29, 2008, for the futures and/or swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or margin requirements of the relevant broker or exchange.

Notes to Schedule of Investments:

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

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

BBSW - Bank Bill Swap Reference Rate

LIBOR - London Interbank Offered Rate

RMAC - Residential Mortgage Acceptance Corp.

Variable rate - The rates shown on variable rate notes are the current interest rates at February 29, 2008, which are subject to change based on the terms of the security.

(a)  Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of GMO Trust (Note 2).

(b)  Underlying investment represents interests in defaulted securities.

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

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

See accompanying notes to the financial statements.

6

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 29, 2008

Currency Abbreviations:

AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar

See accompanying notes to the financial statements.

7

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $12,471,566) (Note 2)	$	14,425,031
Investments in affiliated issuers, at value (cost $501,928,790) (Notes 2 and 8)		477,711,510
Receivable from broker for closed futures contracts		29,710
Receivable for Fund shares sold		3,051,714
Interest receivable		162,164
Unrealized appreciation on open forward currency contracts (Note 2)		24,362,640
Receivable for variation margin on open futures contracts (Note 2)		2,964,350
Interest receivable for open swap contracts		234,388
Receivable for open swap contracts (Note 2)		1,544,781
Receivable for expenses reimbursed by Manager (Note 3)		36,747
Other expense reimbursement from Manager (Note 2)		830,768
Total assets		525,353,803
Liabilities:
Payable for investments purchased		3,500,000
Payable for Fund shares repurchased		3,031,395
Payable to affiliate for (Note 3):
Management fee		99,330
Shareholder service fee		59,598
Trustees and Chief Compliance Officer of GMO Trust fees		533
Unrealized depreciation on open forward currency contracts (Note 2)		3,048,893
Payable for open swap contracts (Note 2)		104,915
Accrued expenses		938,640
Total liabilities		10,783,304
Net assets	$	514,570,499
Net assets consist of:
Paid-in capital	$	530,664,897
Accumulated undistributed net investment income		199,241
Accumulated net realized loss		(23,675,091	)
Net unrealized appreciation		7,381,452
	$	514,570,499
Net assets attributable to:
Class III shares	$	514,570,499
Shares outstanding:
Class III		54,082,170
Net asset value per share:
Class III	$	9.51

See accompanying notes to the financial statements.

8

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	22,359,042
Interest		1,291,609
Dividends		74,313
Total investment income		23,724,964
Expenses:
Management fee (Note 3)		1,281,046
Shareholder service fee – Class III (Note 3)		768,628
Custodian, fund accounting agent and transfer agent fees		196,152
Audit and tax fees		60,401
Legal fees		16,754
Trustees fees and related expenses (Note 3)		4,864
Registration fees		5,249
Miscellaneous		6,590
Total expenses		2,339,684
Fees and expenses reimbursed by Manager (Note 3)		(281,248	)
Expense reductions (Note 2)		(55,802	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(68,134	)
Shareholder service fee waived (Note 3)		(24,238	)
Net expenses		1,910,262
Net investment income (loss)		21,814,702
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(729,744	)
Investments in affiliated issuers		(1,179,464	)
Realized g ains distributions from affiliated issuers (Note 8)		917,264
Closed futures contracts		(9,158,287	)
Closed swap contracts		(1,836,915	)
Foreign currency, forward contracts and foreign currency related transactions		24,153,870
Net realized gain (loss)		12,166,724
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		35,747
Investments in affiliated issuers		(27,476,505	)
Open futures contracts		10,166,157
Open swap contracts		(269,895	)
Foreign currency, forward contracts and foreign currency related transactions		22,507,217
Net unrealized gain (loss)		4,962,721
Net realized and unrealized gain (loss)		17,129,445
Net increase (decrease) in net assets resulting from operations	$	38,944,147

See accompanying notes to the financial statements.

9

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	21,814,702		$	18,495,917
Net realized gain (loss)		12,166,724			20,285,772
Change in net unrealized appreciation (depreciation)		4,962,721			(3,538,755	)
Net increase (decrease) in net assets from operations		38,944,147			35,242,934
Distributions to shareholders from:
Net investment income
Class III		(48,502,819	)		(23,666,074	)
Net realized gains
Class III		—			(3,983,947	)
		(48,502,819	)		(27,650,021	)
Net share transactions (Note 7):
Class III		74,650,906			19,357,480
Total increase (decrease) in net assets		65,092,234			26,950,393
Net assets:
Beginning of period		449,478,265			422,527,872
End of period (including accumulated undistributed net investment income of $199,241 and $7,216,931, respectively)	$	514,570,499		$	449,478,265

See accompanying notes to the financial statements.

10

GMO International Bond Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	9.73		$	9.57		$	10.61		$	10.38		$	9.94
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.41			0.41			0.21			0.17			0.20
Net realized and unrealized gain (loss)		0.31			0.38			(0.93	)		1.02			1.94
Total from investment operations		0.72			0.79			(0.72	)		1.19			2.14
Less distributions to shareholders:
From net investment income		(0.94	)		(0.54	)		(0.31	)		(0.91	)		(0.71	)
From net realized gains		—			(0.09	)		(0.01	)		(0.05	)		(0.99	)
Total distributions		(0.94	)		(0.63	)		(0.32	)		(0.96	)		(1.70	)
Net asset value, end of period	$	9.51		$	9.73		$	9.57		$	10.61		$	10.38
Total Return(b)		8.09	%		8.32	%		(6.83	)%		11.81	%		23.17	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	514,570		$	449,478		$	422,528		$	438,365		$	271,015
Net expenses to average daily net assets(c)		0.38	%(d)		0.39	%		0.39	%		0.39	%		0.39	%
Net investment income to average daily net assets(a)		4.26	%		4.17	%		2.13	%		1.65	%		1.98	%
Portfolio turnover rate		51	%		32	%		36	%		51	%		26	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.07	%		0.26	%††		0.08	%		0.09	%		0.12	%

(a)  Net investment income is affected by the timing of the declaration of the dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  The net expense ratio does not include the effect of expense reductions.

†  Calculated using average shares outstanding throughout the period.

††  Includes 0.19% non-recurring Internal Revenue Code Section 860 expense reimbursed by the Manager (Note 2).

See accompanying notes to the financial statements.

11

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO International Bond 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 Funds into classes.

The Fund seeks total return in excess of that of the JPMorgan Non-U.S. Government Bond Index. The Fund typically invests in bonds (including synthetic bonds) included in the JPMorgan Non-U.S. Government Bond Index and in securities and instruments with similar characteristics. The Fund seeks additional returns by investing in global interest rate, currency, and emerging country debt markets. The Fund may invest a substantial portion of its total assets in shares of GMO Short-Duration Collateral Fund; in futures contracts, currency options, currency forwards, swap contracts, and other types of derivatives; in investment-grade bonds denominated in various currencies, including foreign and U.S. government securities and asset-backed securities issued by foreign governments and U.S. government agencies (including securities neither guaranteed nor insured by the U.S. government), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers; in shares of GMO World Opportunity Overlay Fund; and up to 5% of the Fund's total assets in sovereign debt of emerging countries (including below investment grade securities), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, upon request, without charge by calling (617) 346-7646 (collect). Shares of the GMO Short-Duration Collateral Fund, the GMO World Opportunity Overlay Fund and the GMO Special Purpose Holding Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

12

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Portfolio valuation

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 generally 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 investment 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 30.30% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset backed-securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

GMO Special Purpose Holding Fund ("SPHF"), an investment of the Fund, has litigation pending against various entities related to the default of certain asset-backed securities previously held by SPHF. For the year ended February 29, 2008, the Fund received $243,003 There were no indexed securities held by the Fund at the end of the period. through SPHF in conjunction with settlement agreements related to the default of those securities.

13

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Foreign currency translation

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 including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. 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. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Futures contracts

The Fund may purchase and sell futures contracts. 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

14

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write call and put options. 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. There were no open written option contracts during the period.

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. There were no purchased option contracts outstanding at the end of the period.

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.

15

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Indexed securities

The Fund may invest in indexed securities where the redemption values and/or coupons are linked to the prices of a specific instrument or financial statistic. The Fund uses indexed securities to increase or decrease its exposure to different underlying instruments and to gain exposure to markets in which it may be difficult to invest through conventional securities. Indexed securities may be more volatile than their underlying instruments, but any loss is limited to the amount of the original investment. There were no indexed securities held by the Fund at the end of the period.

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. Interest rate swap agreements involve the exchange by one party with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Total return swap agreements 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 party will receive a payment from or make a payment to the counterparty, respectively. Forward spread lock swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the swap spread and a fixed spread, multiplied by the notional amount times the duration of the swap rate. The swap spread is the difference between the benchmark swap rate (market rate) and the specific treasury rate. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party on its obligation. Credit default swaps may be used to provide a measure of protection against defaults of sovereign or corporate issuers (i.e., to reduce risk where a party owns or has exposure to the issuer) or to take an active long or short position with respect to the likelihood of a particular issuer's default. Variance swap agreements involve commitments to pay or receive a settlement amount calculated as the difference between the annualized realized variance of returns on the underlying price and a fixed quantity, also known as the variance strike, over a period of time. In connection with these agreements, cash or securities may be set aside as collateral by the Fund's custodian or brokers in accordance with the terms of the swap agreement. The Fund earns or pays interest on cash set aside as collateral.

Swaps are marked to market daily using 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 agreements. 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

16

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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 interest rates or the price of the index or security underlying these transactions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Repurchase agreements

The Fund may enter into repurchase agreements 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. There were no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements with banks and broker-dealers whereby the Fund sells portfolio assets concurrent with an agreement by the Fund to repurchase the same assets at a later date at a fixed price. In connection with these agreements, the Fund establishes segregated accounts with its custodian in which the Fund maintains cash, U.S. government securities or other assets equal in value to its obligations in respect of reverse repurchase agreements. Reverse repurchase agreements involve the risk that the market value of the securities the Fund has sold under the agreement may decline below the price at which the Fund is obligated to repurchase under the agreement. The market value of the securities the Fund has sold is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. There were no reverse repurchase agreements outstanding at the end of the period.

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, 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 year ended February 29, 2008, the Fund did not participate in securities lending.

17

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States.

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.

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions, partnership interest tax allocations and post-October capital losses.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	19,670,427	$	(19,760,026	)	$	89,599

18

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	48,502,819	$	26,029,938
Long-term capital gains		—		1,620,083
Total distributions	$	48,502,819	$	27,650,021

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income $ 37,517,170

As of February 29, 2008, the Fund elected to defer to March 1, 2008 post-October capital losses of $4,962,396.

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2015	$	(23,687,952	)
2/29/2016		(507,910	)
Total	$	(24,195,862	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	527,487,902	$	2,015,276	$	(37,366,637	)	$	(35,351,361	)

On October 12, 2006, the Fund paid a dividend under Code Section 860 of $0.09229 per share to shareholders of record as of October 11, 2006. It is anticipated the Fund will be required to make a payment, estimated to be, $830,768 to the Internal Revenue Service ("IRS") related to such dividend, which has been included in accrued expenses on the Statement of Assets and Liabilities. The Manager will make a reimbursement payment to the Fund concurrent with the Fund's payment to the IRS.

19

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. Interest income on inflation indexed securities, if any, is accrued daily based upon an inflation adjusted principal. Additionally, any increase or decrease in the principal or face amount of the securities adjusted for inflation is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

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. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact

20

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO earns a management fee paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager will waive the Fund's shareholder service fee to the extent that the aggregate of any direct and indirect shareholder service fees borne by the Fund exceeds 0.15%; provided, however, that the amount of this waiver will not exceed 0.15%.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 to the extent the Fund's total annual operating expenses (excluding shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes) (collectively, "Excluded Fund Fees and Expenses")) exceed 0.25% of the Fund's average daily net assets. In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2008 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Fund Fees and Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded Fund Fees and Expenses), exceeds 0.25% of the Fund's

21

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

average daily net assets, subject to a maximum total reimbursement to the Fund equal to 0.25% of the Fund's average daily net assets.

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.015	%		0.004	%		0.038	%		0.057	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $4,221 and $2,170, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 29, 2008, cost of purchases and proceeds from sales of investments, other than short-term obligations and class exchanges, were as follows:

	Purchases		Sales
U.S. Government securities	$	—	$	12,768,620
Investments (non-U.S. Government securities)		319,892,589		240,676,553

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.

22

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

6.  Principal shareholders and related parties

As of February 29, 2008, 55.82% of the outstanding shares of the Fund were held by four shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 1.37% of the Fund's shares were held by sixteen related parties comprised of certain GMO employee accounts, and 57.30% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		17,938,459		$	170,818,174			8,919,195		$	87,630,458
Shares issued to shareholders in reinvestment of distributions		5,136,298			46,494,576			2,731,073			26,403,882
Shares repurchased		(15,192,711	)		(142,661,844	)		(9,612,832	)		(94,676,860	)
Net increase (decrease)		7,882,046		$	74,650,906			2,037,436		$	19,357,480

23

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the securities of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Country Debt Fund, Class III	$	14,983,428	$	4,441,758	$	2,600,000	$	1,167,497	$	674,261	$	15,711,607
GMO Short-Duration Collateral Fund		316,596,798		264,691,545		192,700,000		21,191,545		—		362,492,061
GMO Special Purpose Holding Fund		52,827		—		—		—		243,003		47,207
GMO World Opportunity Overlay Fund		90,176,123		50,550,000		39,825,000		—		—		99,460,635
Totals	$	421,809,176	$	319,683,303	$	235,125,000	$	22,359,042	$	917,264	$	477,711,510

24

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Bond 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 Bond Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

25

GMO International Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs 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		0.43	%	$	1,000.00	$	1,074.80	$	2.22
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.73	$	2.16

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

26

GMO International Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $12,222,860 or if determined to be different, the qualified interest income of such year.

27

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 Office1 and 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/oGMO 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

28

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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/oGMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
W. Nicholas Thorndike c/oGMO 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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
Brent C. Arvidson c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 06/26/1969	Assistant Treasurer	Since August 1998.	Senior Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC.
John L. Nasrah c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
Michael E. Gillespie c/oGMO Trust 40Rowes 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).
Jason B. Harrison c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/oGMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

31

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Benchmark-Free Allocation Fund returned +8.6% for the fiscal year ended February 29, 2008, as compared to +4.2% for the CPI Index. During the period, the Fund was exposed to a range of asset classes through its investment in underlying GMO mutual funds.

Implementation was negative, detracting approximately 2.7%, as several of the underlying GMO mutual funds underperformed their respective benchmarks. The GMO Inflation Index Plus Bond, GMO Strategic Fixed Income, and GMO Emerging Markets Funds were the primary drivers of the underperformance.

Asset allocation contributed 7.1%. The Fund's overweight to emerging equities, exposure to inflation-indexed bonds, and U.S. high quality equities drove much of the outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .21% on the purchase and .21% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		51.9	%
Debt Obligations		31.0
Cash and Cash Equivalents		23.9
Short-Term Investments		11.0
Preferred Stocks		2.8
Options Purchased		0.1
Private Equity Securities		0.1
Loan Participations		0.1
Investment Funds		0.1
Loan Assignments		0.0
Rights and Warrants		0.0
Promissory Notes		0.0
Convertible Securities		0.0
Written Options		(0.0	)
Forward Currency Contracts		(0.1	)
Reverse Repurchase Agreements		(0.5	)
Swaps		(7.6	)
Futures		(14.7	)
Other		1.9
		100.0	%

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

1

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country/Region Summary**	% of Investments
United States		82.0	%
Brazil		5.4
Korea		4.5
Taiwan		3.8
China		2.3
Russia		2.3
Thailand		1.6
India		1.3
Malaysia		1.2
Turkey		0.9
Philippines		0.6
Indonesia		0.4
Mexico		0.4
South Africa		0.4
Israel		0.3
Argentina		0.1
Colombia		0.1
Hungary		0.1
Poland		0.1
Ukraine		0.1
Uruguay		0.1
Venezuela		0.1
Hong Kong		(0.3	)
Sweden		(0.3	)
Japan		(2.2	)
United Kingdom		(2.3	)
Euro Region***		(3.0	)
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares/ Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	36,636,846	GMO Alpha Only Fund, Class IV		407,035,363
	751,593	GMO Alternative Asset Opportunity Fund		24,885,255
	3,275,266	GMO Emerging Country Debt Fund, Class IV		32,949,175
	13,997,219	GMO Emerging Markets Fund, Class VI		285,823,205
	3,784,670	GMO Special Situations Fund, Class VI		80,727,015
	20,736,062	GMO Strategic Fixed Income Fund, Class VI		488,748,982
	234	GMO U.S. Core Equity Fund, Class VI		2,807
	14,093,568	GMO U.S. Quality Equity Fund, Class VI		289,904,690
		TOTAL MUTUAL FUNDS (COST $1,614,790,659)		1,610,076,492
		SHORT-TERM INVESTMENTS — 0.0%
	37,276	Eurodollar Time Deposit, 2.00%, due 03/03/08		37,276
		TOTAL SHORT-TERM INVESTMENTS (COST $37,276)		37,276
		TOTAL INVESTMENTS — 100.0% (Cost $1,614,827,935)		1,610,113,768
		Other Assets and Liabilities (net) — (0.0%)		(47,536	)
		TOTAL NET ASSETS — 100.0%	$	1,610,066,232

Notes to Schedule of Investments:

As of February 29, 2008, 21.78% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

3

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $37,276) (Note 2)	$	37,276
Investments in affiliated issuers, at value (cost $1,614,790,659) (Notes 2 and 8)		1,610,076,492
Receivable for investments sold		344,317
Receivable for Fund shares sold		5,683
Receivable for expenses reimbursed by Manager (Note 3)		18,502
Total assets		1,610,482,270
Liabilities:
Payable for Fund shares repurchased		350,000
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,784
Accrued expenses		64,254
Total liabilities		416,038
Net assets	$	1,610,066,232
Net assets consist of:
Paid-in capital	$	1,585,231,071
Accumulated undistributed net investment income		5,684,233
Accumulated net realized gain		23,865,095
Net unrealized depreciation		(4,714,167	)
	$	1,610,066,232
Net assets attributable to:
Class III shares	$	1,610,066,232
Shares outstanding:
Class III		63,637,308
Net asset value per share:
Class III	$	25.30

See accompanying notes to the financial statements.

4

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	62,952,316
Interest		1,149
Total investment income		62,953,465
Expenses:
Custodian, fund accounting agent and transfer agent fees		46,153
Audit and tax fees		34,086
Legal fees		30,032
Trustees fees and related expenses (Note 3)		14,092
Registration fees		11,397
Miscellaneous		12,891
Total expenses		148,651
Fees and expenses reimbursed by Manager (Note 3)		(128,249	)
Expense reductions (Note 2)		(2	)
Net expenses		20,400
Net investment income (loss)		62,933,065
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		60,938,373
Realized gains distributions from affiliated issuers (Note 8)		84,609,250
Net realized gain (loss)		145,547,623
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(101,039,835	)
Net realized and unrealized gain (loss)		44,507,788
Net increase (decrease) in net assets resulting from operations	$	107,440,853

See accompanying notes to the financial statements.

5

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	62,933,065		$	36,545,339
Net realized gain (loss)		145,547,623			88,320,293
Change in net unrealized appreciation (depreciation)		(101,039,835	)		(12,988,280	)
Net increase (decrease) in net assets from operations		107,440,853			111,877,352
Distributions to shareholders from:
Net investment income
Class III		(64,024,461	)		(52,951,501	)
Net realized gains
Class III		(155,574,713	)		(93,632,773	)
		(219,599,174	)		(146,584,274	)
Net share transactions (Note 7):
Class III		425,678,284			123,416,222
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		149,820			62,428
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		425,828,104			123,478,650
Total increase (decrease) in net assets		313,669,783			88,771,728
Net assets:
Beginning of period		1,296,396,449			1,207,624,721
End of period (including accumulated undistributed net investment income of $5,684,233 and distributions in excess of net investment income of $2,817,336, respectively)	$	1,610,066,232		$	1,296,396,449

See accompanying notes to the financial statements.

6

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004(a)
Net asset value, beginning of period	$	26.92		$	27.76		$	26.50		$	24.28		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)		1.19	†		0.80	†		1.26	†		0.98	†		0.61
Net realized and unrealized gain (loss)		1.18			1.63			2.93			3.00			4.53
Total from investment operations		2.37			2.43			4.19			3.98			5.14
Less distributions to shareholders:
From net investment income		(1.12	)		(1.16	)		(1.51	)		(0.99	)		(0.75	)
From net realized gains		(2.87	)		(2.11	)		(1.42	)		(0.77	)		(0.11	)
Total distributions		(3.99	)		(3.27	)		(2.93	)		(1.76	)		(0.86	)
Net asset value, end of period	$	25.30		$	26.92		$	27.76		$	26.50		$	24.28
Total Return(c)		8.60	%		9.31	%		16.50	%		16.74	%		25.92	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,610,066		$	1,296,396		$	1,207,625		$	1,068,099		$	287,490
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%*
Net investment income to average daily net assets(b)		4.30	%		2.94	%		4.64	%		3.92	%		5.05	%*
Portfolio turnover rate		57	%		45	%		47	%		50	%		24	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.01	%		0.01	%		0.01	%		0.02	%		0.07	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.07		$	0.13

(a)  Period from July 23, 2003 (commencement of operations) through February 29, 2004.

(b)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(c)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholders.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  Net expenses to average daily net assets were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemptions fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

7

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Benchmark-Free Allocation 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 Funds into classes.

The Fund seeks a positive total return. The Fund does not seek to control risk relative to a particular securities market index or benchmark. In addition, the Fund does not seek to outperform a particular securities market index or blend of market indices (i.e., the Fund seeks positive return, not relative return). The Fund is a fund of funds and invests in shares of other GMO Funds ("underlying funds"), which may include the GMO International Equity Funds (including one or more of the GMO Emerging Markets Funds), the GMO U.S. Equity Funds, the GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Special Situations Fund and GMO Alternative Asset Opportunity Fund. The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially invested in underlying funds that primarily invest in a single asset class. In addition, the Fund is not restricted in its exposure to any particular market.

The financial statements of the underlying funds should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request by calling (617)346-7646 (collect). Shares of GMO Special Situations Fund are not publicly available for direct purchase.

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

8

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 10.57% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

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

9

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received, losses on wash sale transactions and partnership interest tax allocations.

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 29, 2008. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	9,592,965	$	(9,592,965	)	$	—

10

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	64,214,608	$	52,995,026
Long-term capital gains		155,384,566		93,589,248
Total distributions	$	219,599,174	$	146,584,274

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	19,902,507
Undistributed long-term capital gain	$	19,678,942

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,624,860,056	$	28,340,863	$	(43,087,151	)	$	(14,746,288	)

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

11

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchase and redemption of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were 0.21% and 0.21%, of the amount invested or redeemed, respectively. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemptions fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

12

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge a management or shareholder service fee from the Fund, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

13

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.481	%		0.069	%		0.037	%		0.587	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $12,252 and $6,290, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $1,191,304,534 and $837,535,464, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 22.41% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

14

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

As of February 29, 2008, 1.20% of the Fund's shares were held by twenty-four related parties comprised of certain GMO employee accounts, and 97.20% of the Fund's shares were held by accounts for which the Manager has investment discretion.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		9,819,038		$	279,628,825			230,453		$	6,218,922
Shares issued to shareholders in reinvestment of distributions		7,959,463			209,394,517			5,166,625			136,960,268
Shares repurchased		(2,301,160	)		(63,345,058	)		(737,840	)		(19,762,968	)
Purchase premiums		—			7,597			—			15,111
Redemption fees		—			142,223			—			47,317
Net increase (decrease)		15,477,341		$	425,828,104			4,659,238		$	123,478,650

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Alpha Only Fund, Class IV	$	298,510,368	$	157,569,432	$	68,925,486	$	6,980,691	$	—	$	407,035,363
GMO Alternative Asset Opportunity Fund		52,680,617		3,350,395		33,755,731		—		—		24,885,255
GMO Emerging Country Debt Fund, Class IV		27,366,474		9,336,128		1,747,200		2,230,807		1,197,168		32,949,175
GMO Emerging Markets Fund, Class VI		350,694,222		129,052,080		187,175,204		4,119,950		73,004,594		285,823,205

15

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Inflation Indexed Plus Bond Fund, Class VI	$	162,776,234	$	239,149,363	$	373,329,293	$	38,060,586	$	682,784	$	—
GMO International Growth Equity Fund, Class IV		39,254,064		1,415,956		42,470,420		—		1,415,956		—
GMO International Intrinsic Value Fund, Class IV		38,941,954		889,041		41,771,769		—		889,041		—
GMO International Small Companies Fund, Class III		13,336,722		461,656		13,265,466		—		461,656		—
GMO Special Situations Fund, Class VI		—		75,701,034		—		—		—		80,727,015
GMO Strategic Fixed Income Fund, Class VI		225,145,879		347,885,887		71,693,353		7,449,920		459,071		488,748,982
GMO U.S. Core Equity Fund, Class VI		—		3,282		—		14		187		2,807
GMO U.S. Quality Equity Fund, Class VI		87,702,351		226,490,280		3,401,542		4,110,348		6,498,793		289,904,690
Totals	$	1,296,408,885	$	1,191,304,534	$	837,535,464	$	62,952,316	$	84,609,250	$	1,610,076,492

16

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Benchmark-Free Allocation 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 Benchmark-Free Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

17

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.59	%	$	1,000.00	$	1,011.50	$	2.95
2) Hypothetical		0.59	%	$	1,000.00	$	1,021.93	$	2.97

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

18

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $155,384,566 from long-term capital gains.

For taxable, non-corporate shareholders, 18.96% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 9.84% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $25,262,582 and $190,147, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

19

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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

20

Independent Trusteess — (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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

21

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003– present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

23

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Global Balanced Asset Allocation Fund returned +4.1% for the fiscal year ended February 29, 2008, as compared to +4.0% for the Fund's benchmark, the GMO Global Balanced Index (48.75% S&P 500 Index, 16.25% MSCI ACWI [All Country World Index] ex-U.S. Index and 35% Lehman Brothers U.S. Aggregate Index prior to 3/31/2007 and 65% MSCI ACWI [All Country World Index] Index and 35% Lehman Brothers U.S. Aggregate Index thereafter). During the fiscal year the Fund was exposed to global equity and fixed income securities through its investment in underlying GMO mutual funds.

Implementation was negative, detracting 2.9% from returns as the GMO U.S. Core Equity, GMO International Intrinsic Value, GMO Emerging Markets, GMO Inflation Indexed Plus Bond, and GMO Strategic Fixed Income Funds underperformed their respective benchmarks.

Asset allocation added 3.0%. The Fund's underweight to U.S. equities, and overweights to emerging equities and inflation-indexed bonds were the primary drivers of the outperformance.

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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .09% on the purchase and .09% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

*  The GMO Global Balanced Index is a composite benchmark computed by GMO and comprised of 48.75% S&P 500 Index, 16.25% MSCI ACWI (All Country World Index) ex-U.S. Index and 35% Lehman Brothers U.S. Aggregate Index prior to 3/31/2007 and 65% MSCI ACWI (All Country World Index) Index and 35% Lehman Brothers U.S. Aggregate Index thereafter.

**  The GMO Global Balanced Benchmark + is comprised of MSCI ACWI (All Country World Index) prior to 6/30/2002 and GMO Global Balanced Index thereafter.

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		59.2	%
Debt Obligations		25.9
Cash and Cash Equivalents		15.1
Short-Term Investments		10.4
Preferred Stocks		1.8
Private Equity Securities		0.1
Options Purchased		0.1
Investment Funds		0.0
Loan Participations		0.0
Loan Assignments		0.0
Rights and Warrants		0.0
Forward Currency Contracts		0.0
Convertible Securities		0.0
Promissory Notes		0.0
Written Options		(0.0	)
Reverse Repurchase Agreements		(0.2	)
Swaps		(4.8	)
Futures		(9.4	)
Other		1.8
		100.0	%

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

1

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
United States		64.6	%
Euro Region***		9.7
Japan		4.6
United Kingdom		4.1
Brazil		2.6
Korea		2.3
Taiwan		1.9
Switzerland		1.8
China		1.2
Russia		1.0
Thailand		0.8
India		0.6
Malaysia		0.6
Singapore		0.6
Canada		0.5
Hong Kong		0.5
Turkey		0.4
Denmark		0.3
Indonesia		0.3
Norway		0.3
Philippines		0.3
South Africa		0.3
Sweden		0.3
Hungary		0.1
Israel		0.1
Mexico		0.1
Poland		0.1
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds except for GMO Alpha Only Fund. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	48,242,552	GMO Alpha Only Fund, Class IV		535,974,748
	5,210,567	GMO Core Plus Bond Fund, Class IV		49,187,750
	4,964,011	GMO Domestic Bond Fund, Class VI		47,058,826
	1,618,654	GMO Emerging Countries Fund, Class III		24,700,654
	1,071,724	GMO Emerging Country Debt Fund, Class IV		10,781,541
	15,954,336	GMO Emerging Markets Fund, Class VI		325,787,540
	2,081,395	GMO International Bond Fund, Class III		19,794,069
	9,497,185	GMO International Core Equity Fund, Class VI		353,485,226
	6,445,525	GMO International Growth Equity Fund, Class IV		178,541,031
	5,911,275	GMO International Intrinsic Value Fund, Class IV		177,101,792
	359,061	GMO Short-Duration Investment Fund, Class III		3,034,068
	8,595,280	GMO Special Situations Fund, Class VI		183,337,321
	35,030,805	GMO Strategic Fixed Income Fund, Class VI		825,676,074
	6,946,692	GMO U.S. Core Equity Fund, Class VI		83,499,236
	26,581,499	GMO U.S. Quality Equity Fund, Class VI		546,781,435
		TOTAL MUTUAL FUNDS (COST $3,516,628,328)		3,364,741,311
		SHORT-TERM INVESTMENTS — 0.0%
	30,364	Eurodollar Time Deposit, 2.00%, due 03/03/08		30,364
		TOTAL SHORT-TERM INVESTMENTS (COST $30,364)		30,364
		TOTAL INVESTMENTS — 100.0% (Cost $3,516,658,692)		3,364,771,675
		Other Assets and Liabilities (net) — 0.0%		83,311
		TOTAL NET ASSETS — 100.0%	$	3,364,854,986

See accompanying notes to the financial statements.

3

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments – (Continued)
February 29, 2008

Notes to Schedule of Investments:

As of February 29, 2008, 32.32% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair values prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.

4

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $30,364) (Note 2)	$	30,364
Investments in affiliated issuers, at value (cost $3,516,628,328) (Notes 2 and 8)		3,364,741,311
Receivable for investments sold		534,403,448
Receivable for Fund shares sold		12,000
Receivable for expenses reimbursed by Manager (Note 3)		30,537
Total assets		3,899,217,660
Liabilities:
Due to custodian		1,800
Payable for Fund shares repurchased		534,260,300
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		4,240
Accrued expenses		96,334
Total liabilities		534,362,674
Net assets	$	3,364,854,986
Net assets consist of:
Paid-in capital	$	3,396,043,762
Accumulated undistributed net investment income		18,656,535
Accumulated net realized gain		102,041,706
Net unrealized depreciation		(151,887,017	)
	$	3,364,854,986
Net assets attributable to:
Class III shares	$	3,364,854,986
Shares outstanding:
Class III		295,888,056
Net asset value per share:
Class III	$	11.37

See accompanying notes to the financial statements.

5

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	138,509,806
Interest		1,316
Total investment income		138,511,122
Expenses:
Custodian, fund accounting agent and transfer agent fees		47,536
Audit and tax fees		36,946
Legal fees		78,789
Chief Compliance Officer (Note 3)		15,058
Trustees fees and related expenses (Note 3)		33,292
Registration fees		31,371
Miscellaneous		16,862
Total expenses		259,854
Fees and expenses reimbursed by Manager (Note 3)		(211,454	)
Expense reductions (Note 2)		(57,505	)
Net expenses		(9,105	)
Net investment income (loss)		138,520,227
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		41,592,867
Realized gains distributions from affiliated issuers (Note 8)		214,605,150
Net realized gain (loss)		256,198,017
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(284,868,880	)
Net realized and unrealized gain (loss)		(28,670,863	)
Net increase (decrease) in net assets resulting from operations	$	109,849,364

See accompanying notes to the financial statements.

6

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	138,520,227		$	77,547,567
Net realized gain (loss)		256,198,017			141,698,243
Change in net unrealized appreciation (depreciation)		(284,868,880	)		(2,413,878	)
Net increase (decrease) in net assets from operations		109,849,364			216,831,932
Distributions to shareholders from:
Net investment income
Class III		(163,753,134	)		(104,092,536	)
Net realized gains
Class III		(185,650,495	)		(76,782,210	)
		(349,403,629	)		(180,874,746	)
Net share transactions (Note 7):
Class III		524,385,283			1,229,975,659
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		860,204			1,039,471
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		525,245,487			1,231,015,130
Total increase (decrease) in net assets		285,691,222			1,266,972,316
Net assets:
Beginning of period		3,079,163,764			1,812,191,448
End of period (including accumulated undistributed net investment income of $18,656,535 and distributions in excess of net investment income of $2,547,096, respectively)	$	3,364,854,986		$	3,079,163,764

See accompanying notes to the financial statements.

7

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	12.01		$	11.76		$	11.33		$	10.74		$	8.13
Income (loss) from investment operations:
Net investment income (loss)(a)		0.48	†		0.39	†		0.36	†		0.27	†		0.18
Net realized and unrealized gain (loss)		0.05			0.66			0.86			0.90			2.68
Total from investment operations		0.53			1.05			1.22			1.17			2.86
Less distributions to shareholders:
From net investment income		(0.53	)		(0.43	)		(0.37	)		(0.32	)		(0.23	)
From net realized gains		(0.64	)		(0.37	)		(0.42	)		(0.26	)		(0.02	)
Total distributions		(1.17	)		(0.80	)		(0.79	)		(0.58	)		(0.25	)
Net asset value, end of period	$	11.37		$	12.01		$	11.76		$	11.33		$	10.74
Total Return(b)(c)		4.10	%		9.22	%		11.05	%		11.07	%		35.53	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,364,855		$	3,079,164		$	1,812,191		$	1,030,238		$	453,807
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		3.89	%		3.28	%		3.17	%		2.53	%		2.19	%
Portfolio turnover rate		76	%		23	%		16	%		10	%		59	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.01	%		0.01	%		0.02	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(g)	$	0.01		$	0.01		$	0.01		$	0.01

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions.

(c)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  Net expenses to average daily net assets were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

8

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO Global Balanced Asset Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the GMO Global Balanced Index. The Fund is a fund of funds and invests in shares of other GMO Funds, which may include the GMO International Equity Funds (including one or more of the GMO Emerging Markets Funds), GMO U.S. Equity Funds, GMO Fixed Income Funds, GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund and GMO Special Situations Fund. The GMO Global Balanced Index is a composite index computed by GMO consisting of: (i) the MSCI ACWI (All Country World Index) Index and (ii) the Lehman Brothers U.S. Aggregate Index in the following proportions: 65% MSCI ACWI (All Country World Index) Index and 35% Lehman Brothers U.S. Aggregate Index. From June 30, 2002 through March 31, 2007, the GMO Global Balanced Index consisted of: (i) the S&P 500 Index; (ii) the MSCI ACWI (All Country World Index) ex-U.S. Index; and (iii) the Lehman Brothers U.S. Aggregate Index in the following proportions: 48.75% S&P 500 Index, 16.25% MSCI ACWI (All Country World Index) ex-U.S. Index, and 35% Lehman Brothers U.S. Aggregate Index.

The financial statements of the series of the Trust in which the Fund invests ("underlying funds") should be read in conjunction with the Fund's financial statements. These financial statements are available, without charge, upon request, by calling (617) 346-7646 (collect). Shares of GMO Special Situations Fund are not publicly available for direct purchase.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

9

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. 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 pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

Fixed income securities held by the Fund or the underlying funds are typically valued pursuant to prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates such primary pricing sources on an ongoing basis, and may change a pricing source should it deem it appropriate. The Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source if such action is deemed appropriate. The prices provided by such primary pricing sources may differ from the value that would be realized if the securities were sold and the differences could be material.

Certain securities held by the Fund or the underlying funds are valued on the basis of a price provided by a single source. The prices provided may differ from the value that would be realized if the securities were sold and the differences could be material. As of February 29, 2008, the total value of these securities represented 8.96% of net assets.

The Fund indirectly invests through underlying funds in securities with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the securities' market values and changes in interest rates.

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

10

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received, losses on wash sale transactions, partnership interest tax allocations and redemption in-kind transactions.

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 29, 2008. The financial highlights exclude these adjustments.

11

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	46,436,538	$	(53,033,315	)	$	6,596,777

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	165,809,077	$	104,092,536
Long-term capital gains		183,594,552		76,782,210
Total distributions	$	349,403,629	$	180,874,746

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income	$	31,938,487
Undistributed long-term capital gain	$	107,504,961

As of February 29, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Utilization of the capital loss carryforwards could be subject to limitations imposed by the Code related to share ownership activity. Such losses expire as follows:

2/28/2010	$	(1,276	)
Total	$	(1,276	)

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,535,402,623	$	27,871,816	$	(198,502,764	)	$	(170,630,948	)

For the period ended February 29, 2008, the Fund had net realized gains attributed to redemption in-kind transactions of $6,601,132.

12

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.09% of the amount invested or redeemed. The redemption fee is only applicable to shares acquired on or after June 30, 2003. The Fund's purchase premium and redemption fee are approximately equal to the weighted average of the purchase premiums and redemption fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed,

13

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

14

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among designated underlying funds. The Manager does not directly charge a management fee or shareholder service fee to the Fund, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees and interest expense)			Indirect Shareholder Service Fees			Indirect Interest Expense			Total Indirect Expenses
	0.432	%		0.070	%		0.021	%		0.523	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $28,784 and $15,058, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $3,212,061,908 and $2,683,242,531, respectively.

15

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

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.

6.  Principal shareholders and related parties

As of February 29, 2008, 14.05% of the outstanding shares of the Fund were held by one shareholder. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of this shareholder may have a material effect on the Fund.

As of February 29, 2008, 0.07% of the Fund's shares were held by fifteen related parties comprised of certain GMO employee accounts.

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:

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		71,503,366		$	884,679,303			96,416,659		$	1,162,398,617
Shares issued to shareholders in reinvestment of distributions		28,319,819			339,998,843			14,544,192			171,981,824
Shares repurchased		(60,342,225	)		(700,292,863	)		(8,670,747	)		(104,404,782	)
Purchase premiums		—			770,412			—			982,849
Redemption fees		—			89,792			—			56,622
Net increase (decrease)		39,480,960		$	525,245,487			102,290,104		$	1,231,015,130

16

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gaines		Value, end of period
GMO Alpha Only Fund, Class IV	$	380,002,186	$	365,957,517	$	235,335,214	$	9,531,981	$	—	$	535,974,748
GMO Alternative Asset Opportunity Fund, Class III		62,157,956		81,595		60,714,048		—		—		—
GMO Core Plus Bond Fund, Class IV		333,599,965		30,585,594		299,802,878		12,018,404		—		49,187,750
GMO Domestic Bond Fund, Class VI		20,617,931		35,674,047		8,225,536		2,295,912		—		47,058,826
GMO Emerging Countries Fund, Class III		21,889,917		8,710,245		3,943,408		462,107		8,219,499		24,700,654
GMO Emerging Country Debt Fund, Class IV		11,833,586		1,400,642		1,675,124		873,442		511,577		10,781,541
GMO Emerging Markets Fund, Class VI		275,288,575		124,006,412		58,155,880		5,024,777		88,521,015		325,787,540
GMO Inflation Indexed Plus Bond Fund, Class VI		328,859,382		450,711,234		732,474,094		63,610,142		1,378,036		—
GMO International Bond Fund, Class III		21,923,157		4,389,742		6,190,995		2,060,770		—		19,794,069
GMO International Core Equity Fund, Class VI		—		545,754,532		146,849,712		7,814,178		21,417,380		353,485,226
GMO International Growth Equity Fund, Class IV		271,341,941		56,715,312		123,024,975		3,033,004		40,757,306		178,541,031
GMO International Intrinsic Value Fund, Class IV		271,767,810		51,550,431		108,941,665		5,899,697		31,814,808		177,101,792
GMO International Small Companies Fund, Class III		4,237,261		152,419		4,220,247		—		146,870		—
GMO Short-Duration Investment Fund, Class III		3,489,627		206,559		469,351		206,559		—		3,034,068
GMO Special Situations Fund, Class VI		—		198,000,000		27,922,601		—		—		183,337,321
GMO Strategic Fixed Income Fund, Class VI		307,603,773		875,419,406		328,927,357		17,732,681		1,087,637		825,676,074
GMO U.S. Core Equity Fund, Class VI		489,370,403		56,562,573		447,434,047		1,610,649		9,564,858		83,499,236
GMO U.S. Quality Equity Fund, Class VI		274,837,403		406,118,796		88,567,947		6,328,778		11,128,535		546,781,435
GMO U.S. Value Fund, Class III		377,075		64,852		367,452		6,725		57,629		—
Totals	$	3,079,197,948	$	3,212,061,908	$	2,683,242,531	$	138,509,806	$	214,605,150	$	3,364,741,311

17

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Global Balanced Asset Allocation 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 Global Balanced Asset Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

18

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.53	%	$	1,000.00	$	989.90	$	2.62
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.23	$	2.66

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

19

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $183,594,552 from long-term capital gains.

For taxable, non-corporate shareholders, 23.37% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 6.75% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 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 29, 2008, $70,273,184 and $2,055,943, respectively, or if determined to be different, the qualified interest income and qualified short-term gains of such year.

20

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 Office1 and 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 – Law and Business2, Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

21

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

22

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

23

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

24

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 29, 2008

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Asset Allocation Team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO International Equity Allocation Fund returned +7.8% for the fiscal year ended February 29, 2008, as compared to +7.3% for the MSCI ACWI (All Country World Index) ex-U.S. Index. During the fiscal year the Fund was exposed to international equity securities through its investment in underlying GMO mutual funds.

Implementation detracted 0.9%, as the GMO Emerging Markets and GMO International Value Funds underperformed their respective benchmarks.

Asset allocation added 1.4%. The Fund's overweight to emerging equities was the primary driver of 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. GMO disclaims any responsibility to update such views. They are not meant as investment advice.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from the Manager. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of .16% on the purchase and .16% on the redemption. Transaction fees are retained by the Fund to cover trading costs. 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. All information is unaudited.

GMO International Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 29, 2008 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		91.2	%
Preferred Stocks		3.7
Short-Term Investments		3.6
Forward Currency Contracts		0.3
Private Equity Securities		0.1
Investment Funds		0.1
Debt Obligations		0.0
Rights and Warrants		0.0
Convertible Securities		0.0
Futures		(0.5	)
Other		1.5
		100.0	%

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

1

GMO International Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 29, 2008 (Unaudited)

Country / Region Summary**	% of Investments
Euro Region***		27.7	%
United Kingdom		15.7
Japan		14.4
Brazil		5.1
Switzerland		5.0
Korea		4.5
Australia		4.3
Taiwan		3.7
China		2.3
Hong Kong		2.3
Russia		2.0
Singapore		1.9
Canada		1.6
Thailand		1.6
India		1.3
Sweden		1.3
Malaysia		1.1
Denmark		1.0
Turkey		0.7
Norway		0.6
South Africa		0.5
Indonesia		0.4
Philippines		0.4
Hungary		0.2
Israel		0.2
Poland		0.2
		100.0	%

**  The table above incorporates aggregate indirect country exposure associated with investments in the underlying funds. The table excludes short-term investments. The table includes exposure through the use of derivative contracts.

***  The "Euro Region" is comprised of Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain.

2

GMO International Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 29, 2008

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	1,594,440	GMO Emerging Countries Fund, Class III		24,331,147
	8,109,529	GMO Emerging Markets Fund, Class VI		165,596,573
	10,249,580	GMO International Growth Equity Fund, Class IV		283,913,374
	9,403,102	GMO International Intrinsic Value Fund, Class IV		281,716,937
		TOTAL MUTUAL FUNDS (COST $700,107,606)		755,558,031
		SHORT-TERM INVESTMENTS — 0.0%
	19,355	Eurodollar Time Deposit, 2.00%, due 03/03/08		19,355
		TOTAL SHORT-TERM INVESTMENTS (COST $19,355)		19,355
		TOTAL INVESTMENTS — 100.0% (Cost $700,126,961)		755,577,386
		Other Assets and Liabilities (net) — (0.0%)		(35,361	)
		TOTAL NET ASSETS — 100.0%	$	755,542,025

Notes to Schedule of Investments:

As of February 29, 2008, 82.04% of the Net Assets of the Fund, through investments in the underlying funds, were valued using fair value prices based on models used by a third party vendor (Note 2).

See accompanying notes to the financial statements.
3

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 29, 2008

Assets:
Investments in unaffiliated issuers, at value (cost $19,355) (Note 2)	$	19,355
Investments in affiliated issuers, at value (cost $700,107,606) (Notes 2 and 8)		755,558,031
Receivable for Fund shares sold		3,749
Receivable for expenses reimbursed by Manager (Note 3)		8,729
Total assets		755,589,864
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		881
Accrued expenses		46,958
Total liabilities		47,839
Net assets	$	755,542,025
Net assets consist of:
Paid-in capital	$	602,838,131
Accumulated net realized gain		97,253,469
Net unrealized appreciation		55,450,425
	$	755,542,025
Net assets attributable to:
Class III shares	$	755,542,025
Shares outstanding:
Class III		45,936,690
Net asset value per share:
Class III	$	16.45

See accompanying notes to the financial statements.
4

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 29, 2008

Investment Income:
Dividends from affiliated issuers (Note 8)	$	13,693,703
Interest		981
Total investment income		13,694,684
Expenses:
Custodian, fund accounting agent and transfer agent fees		46,599
Audit and tax fees		31,432
Legal fees		17,568
Trustees fees and related expenses (Note 3)		7,980
Registration fees		3,997
Miscellaneous		7,520
Total expenses		115,096
Fees and expenses reimbursed by Manager (Note 3)		(103,617	)
Expense reductions (Note 2)		(3	)
Net expenses		11,476
Net investment income (loss)		13,683,208
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		29,873,470
Realized gains distributions from affiliated issuers (Note 8)		134,728,510
Net realized gain (loss)		164,601,980
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(115,404,606	)
Net realized and unrealized gain (loss)		49,197,374
Net increase (decrease) in net assets resulting from operations	$	62,880,582

See accompanying notes to the financial statements.
5

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 29, 2008			Year Ended February 28, 2007
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	13,683,208		$	13,139,578
Net realized gain (loss)		164,601,980			100,493,550
Change in net unrealized appreciation (depreciation)		(115,404,606	)		11,639,862
Net increase (decrease) in net assets from operations		62,880,582			125,272,990
Distributions to shareholders from:
Net investment income
Class III		(42,033,244	)		(32,342,398	)
Net realized gains
Class III		(90,134,712	)		(58,801,341	)
		(132,167,956	)		(91,143,739	)
Net share transactions (Note 7):
Class III		65,994,952			65,087,399
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		77,341			20,199
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		66,072,293			65,107,598
Total increase (decrease) in net assets		(3,215,081	)		99,236,849
Net assets:
Beginning of period		758,757,106			659,520,257
End of period	$	755,542,025		$	758,757,106

See accompanying notes to the financial statements.
6

GMO International Equity Allocation Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2008			2007			2006			2005			2004
Net asset value, beginning of period	$	17.96		$	17.13		$	15.19		$	12.83		$	8.23
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.31			0.33			0.18			0.29			0.25
Net realized and unrealized gain (loss)		1.32			2.85			2.90			2.65			4.60
Total from investment operations		1.63			3.18			3.08			2.94			4.85
Less distributions to shareholders:
From net investment income		(1.00	)		(0.83	)		(0.47	)		(0.42	)		(0.25	)
From net realized gains		(2.14	)		(1.52	)		(0.67	)		(0.16	)		—
Total distributions		(3.14	)		(2.35	)		(1.14	)		(0.58	)		(0.25	)
Net asset value, end of period	$	16.45		$	17.96		$	17.13		$	15.19		$	12.83
Total Return(b)(c)		7.81	%		19.33	%		21.15	%		23.25	%		60.41	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	755,542		$	758,757		$	659,520		$	489,026		$	256,277
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		1.66	%		1.87	%		1.15	%		2.18	%		2.35	%
Portfolio turnover rate		9	%		4	%		7	%		15	%		43	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.01	%		0.02	%		0.03	%		0.05	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.01		$	0.02

(a)  Net investment income is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

(b)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions.

(c)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

(d)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(e)  Net expenses to average daily net assets were less than 0.01%.

(f)  The net expense ratio does not include the effect of expense reductions.

(g)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

7

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 29, 2008

1.  Organization

GMO International Equity Allocation 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 Funds into classes.

The Fund seeks total return greater than that of the MSCI ACWI (All Country World Index) ex-U.S. Index. The Fund is a fund of funds and invests primarily in shares of the GMO International Equity Funds (which may include one or more of the GMO Emerging Markets Funds). The Fund may also invest in shares of other GMO Funds, including the GMO Fixed Income Funds, GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund.

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

The Fund currently limits subscriptions due to capacity considerations.

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. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

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

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange for which market quotations are readily available are valued at 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 generally 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. Securities for which quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as

8

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

determined in good faith by the Trustees or other persons acting at their direction pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and may not reflect the value that would be realized if the security was sold and the differences could be material. 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 are generally valued using fair value prices supplied by a third party vendor based on models to the extent that these fair value prices are available.

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. There were no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and 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.

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.

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

9

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received.

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 29, 2008. The financial highlights exclude these adjustments.

Distributions In Excess Of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	28,350,036	$	(28,350,037	)	$	1

The tax character of distributions declared to shareholders is as follows:

	2/29/2008		2/28/2007
Ordinary income (including any short-term capital gains)	$	42,017,444	$	32,338,744
Long-term capital gains		90,150,512		58,804,995
Total distributions	$	132,167,956	$	91,143,739

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

As of February 29, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed long-term capital gain $ 97,253,469

As of February 29, 2008, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation and depreciation in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	700,126,961	$	79,859,610	$	(24,409,185	)	$	55,450,425

Security transactions and related investment income

Security transactions are accounted for on trade date. Income dividends and capital gain distributions from the underlying funds are recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Non-cash dividends, if any, are recorded at the fair market value of the securities received. In determining the net gain or loss on securities sold, the cost of securities is determined on the identified cost basis.

10

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

Expenses

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. In addition, the Fund will also incur certain fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have varied expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fee may be reduced by credits that are an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. Credit balances used to reduce the fee paid to State Street, if any, are reported as a reduction of expenses in the Statement of Operations.

Purchases and redemptions of Fund shares

As of February 29, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares are each 0.16% of the amount invested. The redemption fee is only applicable to shares acquired on or after June 30, 2003. The Fund's purchase premium or redemption fee are approximately equal to the weighted average of the purchase premiums and redemptions fees, if any, of the underlying funds in which the Fund was invested as of June 30, 2007. The level of purchase premium and redemption fee for the Fund may be adjusted to account for changes in the Fund's investments (i.e., changes in the percentage of Fund assets allocated to each underlying fund). 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. The Manager will waive the purchase premium relating to the in-kind portion of a purchase transaction except to the extent of certain estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund in connection with the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except to the extent those transactions include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may assess estimated or known transaction costs. There is no premium for reinvested distributions.

Investment risks

The Fund is subject to the investment risks associated with an investment in the underlying funds, some of which may invest in foreign securities. There are certain additional risks involved in investing in foreign securities that are not inherent in investments in U.S. 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 more volatile than securities of comparable U.S. companies and U.S. securities markets. The risks described above apply to an even greater extent to investments in

11

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

emerging markets. The securities markets of emerging countries are generally smaller, less developed, less liquid, and more volatile than the securities markets of the U.S. and developed foreign markets. Additionally, the investment risks associated with an investment in the underlying funds may be more pronounced to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncements

In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109 ("FIN 48"). FIN 48 clarifies the accounting for uncertainty in income taxes recognized in accordance with FASB Statement No. 109, Accounting for Income Taxes. FIN 48 prescribes a recognition threshold and measurement attribute for a tax position taken or expected to be taken in the tax return that could impact the Fund's financial statements. It also provides guidance in relation to the Fund's financial statements on classification of tax benefits or liabilities, interest and penalties, accounting in interim periods, disclosure, and transition. FIN 48 is effective for fiscal years beginning after December 15, 2006 for registered investment companies. Management has evaluated the effects of applying the various provisions of FIN 48 and has determined that the adoption of FIN 48 does not have a material effect on the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service. Management will continue to monitor the rules and guidance pertaining to FIN 48 and will take action if appropriate.

In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157 ("FAS 157"), "Fair Value Measurements." FAS 157 defines fair value, establishes a framework for measuring fair value in accordance with generally accepted accounting principles and expands disclosure about fair value measurements. FAS 157 is effective for fiscal years beginning after November 15, 2007. Management is currently evaluating the impact the adoption of FAS 157 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager determines the allocation of the assets of the Fund among the designated underlying funds. The Manager does not directly charge a management fee or shareholder service fee, but receives management and shareholder service fees from the underlying funds in which the Fund invests.

The Manager has contractually agreed to reimburse the Fund for Fund expenses through at least June 30, 2008 (excluding expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, compensation and expenses of the Trust's Chief Compliance Officer ("CCO") (excluding any employee benefits), brokerage commissions, securities lending fees and expenses, interest expense, transfer taxes, and other investment-related costs (including expenses associated with investments in any company that is an investment company or would be an investment company under the 1940 Act, but for the exceptions to the

12

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

definition of investment company provided in Section 3(c)(1) and 3(c)(7) of the 1940 Act), hedging transaction fees, extraordinary, non-recurring and certain other unusual expenses (including taxes)).

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 29, 2008, these indirect fees and expenses expressed as an annualized percentage of the Fund's average daily net assets were as follows:

Indirect Net Expenses (excluding shareholder service fees)			Indirect Shareholder Service Fees			Total Indirect Expenses
	0.631	%		0.084	%		0.715	%

The Fund's portion of the fees paid by the Trust to the independent Trustees and CCO during the year ended February 29, 2008 was $6,876 and $3,486, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. No remuneration was paid by the Fund 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 and class exchanges, for the year ended February 29, 2008 aggregated $153,880,308 and $71,563,297, 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.

6.  Principal shareholders and related parties

As of February 29, 2008, 29.14% of the outstanding shares of the Fund were held by two shareholders, each holding in excess of 10% of the Fund's outstanding shares. No other shareholder owned in excess of 10% of the outstanding shares of the Fund. Investment activities of these shareholders may have a material effect on the Fund.

As of February 29, 2008, 0.02% of the Fund's shares were held by four related parties comprised of certain GMO employee accounts.

13

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 29, 2008

7.  Share transactions

	Year Ended February 29, 2008						Year Ended February 28, 2007
Class III:	Shares			Amount			Shares			Amount
Shares sold		25,844		$	478,479			77,925		$	1,404,568
Shares issued to shareholders in reinvestment of distributions		6,819,633			126,019,627			4,812,509			84,216,341
Shares repurchased		(3,144,468	)		(60,503,154	)		(1,145,352	)		(20,533,510	)
Purchase premiums		—			742			—			2,056
Redemption fees		—			76,599			—			18,143
Net increase (decrease)		3,701,009		$	66,072,293			3,745,082		$	65,107,598

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 29, 2008 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Emerging Countries Fund, Class III	$	18,624,705	$	7,374,423	$	7,000	$	392,529	$	6,981,895	$	24,331,147
GMO Emerging Markets Fund, Class VI		146,067,671		44,329,944		22,307,561		2,366,774		41,863,170		165,596,573
GMO International Growth Equity Fund, Class IV		295,016,842		54,167,876		30,806,933		3,707,736		48,009,094		283,913,374
GMO International Intrinsic Value Fund, Class IV		297,957,461		47,969,798		17,342,231		7,226,664		37,836,085		281,716,937
GMO International Small Companies Fund, Class III		1,105,478		38,267		1,099,572		—		38,266		—
Totals	$	758,772,157	$	153,880,308	$	71,563,297	$	13,693,703	$	134,728,510	$	755,558,031

14

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO International Equity Allocation 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 Equity Allocation Fund (the "Fund") at February 29, 2008, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, 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 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 audits, which included confirmation of securities at February 29, 2008 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2008

15

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 29, 2008 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 29, 2008.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including purchase premiums and redemption fees; and (2) ongoing costs including indirect management fees, 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 1, 2007 through February 29, 2008.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $10,000,000 account value divided by $1,000 = 10,000), then multiply the result by the number in the first line under the heading entitled "Net Expense Incurred" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as purchase premiums and redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total 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		0.73	%	$	1,000.00	$	973.20	$	3.58
2) Hypothetical		0.73	%	$	1,000.00	$	1,021.23	$	3.67

*  Expenses are calculated using the Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 29, 2008, multiplied by the average account value over the period, multiplied by 182 days in the period, divided by 366 days in the year.

16

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 29, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2008 income tax forms in January 2009.

The Fund's distributions to shareholders include $90,150,512 from long-term capital gains.

For taxable, non-corporate shareholders, 36.57% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 29, 2008 represents qualified dividend income subject to the 15% rate category.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 29, 2008, $25,720,142 or if determined to be different, the qualified interest income of such year.

17

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 Office1 and 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 – Law and Business2; Vice Chair (since 2002) and Secretary, Provant, Inc. (provider of personnel performance improvement services and training products); Author of Legal Treatises.		47	None.

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

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, 2006 and December 31, 2007, these entities paid $825,738 and $291,721 respectively, in legal fees and disbursements to Goodwin.

18

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1 and 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: 10/03/1941	Trustee	Since May 1996.	Dean (since April 2006), Acting Dean (August 2005 – April 2006), Senior Associate Dean (1998 – 2005), and Professor of Business Administration, Harvard Business School.		47	Director of Harvard Management Company, Inc.3 and Verde, Inc.; Director of Partners HealthCare System, Inc. and Chair of its Investment Committee.4
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).		47	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.4

¹  Each Trustee is elected to serve during the continued lifetime of the Trust until he/she dies, resigns or is removed, or if sooner, until the next meeting of Shareholders called for the purpose of electing Trustees and until the election and qualification of his/her successor.

³  Harvard Management Company, Inc. is a client of the Manager.

⁴  Partners HealthCare System, Inc. is a client of the Manager.

19

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and 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; Chief Financial Officer, November 2006 – February 2007.	Chief Financial Officer, Chief Operating Officer and Member, Grantham, Mayo, Van Otterloo & Co. LLC.
Sheppard N. Burnett c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/24/1968	Treasurer and Chief Financial Officer	Chief Financial Officer since March 2007; Treasurer since November 2006; Assistant Treasurer, September 2004 – November 2006.	Fund Administration Staff, Grantham, Mayo, Van Otterloo & Co. LLC (June 2004 – present); Vice President, Director of Tax, Columbia Management Group (2002 – 2004).
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.
John L. Nasrah c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 05/27/1977	Assistant Treasurer	Since March 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. LLC (September 2004 – present); Tax Analyst, Bain & Company, Inc (June 2003 – September 2004); Senior Tax Associate, PricewaterhouseCoopers LLP (2001 – 2003).
Mahmoodur Rahman c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 11/30/1967	Assistant Treasurer	Since September 2007.	Fund Administrator, Grantham, Mayo, Van Otterloo & Co. (April 2007 – present); Vice President and Senior Tax Manager, Massachusetts Financial Services Company (January 2000 – April 2007).

⁵  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.

20

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office5 and Length of Time Served	Principal Occupation(s) During Past Five Years
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).
Jason B. Harrison c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 01/29/1977	Vice President and Clerk	Vice President since November 2006; Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since February 2006) and Attorney, Ropes & Gray LLP (September 2002 – February 2006).
David L. Bohan c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 06/21/1964	Vice President and Assistant Clerk	Vice President since March 2005; Assistant Clerk since March 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (September 2003 – present); Attorney, Goodwin Procter LLP (September 1996 – September 2003).
Gregory L. Pottle c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 07/09/1971	Vice President and Assistant Clerk	Since November 2006.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC.
Anne K. Trinque c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/15/1978	Vice President and Assistant Clerk	Since September 2007.	Legal Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (since January 2007); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁵  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.

21

Item 2. Code of Ethics.

As of February 29, 2008, 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 29, 2008, 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 2008 and 2007 were $2,154,900 and $1,984,100, respectively.

(b)AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2008 and 2007 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $64,212 and $142,402, respectively. The aggregate fees billed in 2008 and 2007 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 $250,000 and $409,700, respectively.

(c)TAX FEES:  The aggregate fees billed to the registrant in 2008 and 2007 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 $904,314 and $885,694, respectively.   The aggregate fees billed in 2008 and 2007 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 $9,800 and $5,810, 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 2008 or 2007.

(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) certain 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 to the policy, 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 2008 and 2007 for non-audit services rendered to the registrant, the registrant’s Service Affiliates were $1,229,726 and $1,445,706, respectively.  For the fiscal year ended February 29, 2008, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $1,400 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, 2007, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $2,100 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.

*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 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 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 hereto as EX-99.CODEETH.

(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 Principal Executive Officer and Principal Financial Officer of the registrant  pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 (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 (Signature and Title):	/s/ Scott E. Eston
	Scott E. Eston, Chief Executive Officer
	Date:	April 30, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ Scott E. Eston
	Scott E. Eston, Principal Executive Officer
	Date:	April 30, 2008
By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Financial Officer
	Date:	April 30, 2008