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)
J.B. Kittredge, Chief Executive Officer, 40 Rowes Wharf, Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code:				617-346-7646
Date of fiscal year end:	02/28/09
Date of reporting period:		02/28/09

Item 1. Reports to Stockholders.

The annual reports for each series of the registrant for the periods ended February 28, 2009 are filed herewith.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Developed World Stock Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -45.6% for the fiscal year ended February 28, 2009, as compared to -47.1% for the MSCI World Index. The Fund was invested substantially in global equity securities throughout the period.

Country allocation had a slight positive impact on relative performance. This was the result of positions in several countries and holding small cash balances in a falling market.

Sector weightings had the most significant positive impact on performance relative to the index. During the period, our underweight to Financials and overweight to Health Care contributed.

Currency allocation had a positive impact on relative performance as our underweight in the British pound and Australian dollar and overweight in the Japanese yen added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI World Index returned almost 5% more in local currency terms than in U.S. dollars.

Stock selection had mixed results. Holdings in Royal Bank of Scotland and Barclays PLC underperformed and were among the most significant detractors from returns. Among the contributors were holdings in U.S. pharmaceutical Johnson & Johnson and U.S. retailer Wal-Mart Stores, both of which outperformed.

Among GMO's global quantitative stock selection disciplines, stocks ranked highly by intrinsic value (with its boost of high quality) outperformed strongly. Stocks with strong momentum had index-like returns. Those selected by quality-adjusted value underperformed significantly.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.2	%
Short-Term Investments		5.9
Rights and Warrants		0.0
Forward Currency Contracts		(0.4	)
Futures		(0.7	)
Other		2.0
		100.0	%
Country Summary	% of Equity Investments
United States		56.1	%
Japan		13.5
United Kingdom		9.0
France		7.4
Germany		2.8
Switzerland		2.7
Italy		2.0
Canada		1.7
Singapore		1.5
Hong Kong		1.1
Netherlands		0.9
Australia		0.6
Spain		0.3
Sweden		0.3
Belgium		0.1
Finland		0.0
		100.0	%

1

GMO Developed World Stock Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Health Care		21.2	%
Energy		13.7
Consumer Staples		13.6
Financials		10.4
Information Technology		9.7
Industrials		9.6
Consumer Discretionary		9.3
Materials		5.1
Utilities		4.6
Telecommunication Services		2.8
		100.0	%

2

GMO Developed World Stock Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 93.2%
		Australia — 0.5%
	377,275	Telstra Corp Ltd		850,256
	25,295	Woodside Petroleum Ltd		575,698
		Total Australia		1,425,954
		Belgium — 0.1%
	75,924	Dexia		158,162
		Canada — 1.6%
	5,600	Agrium Inc		194,429
	17,000	Bank of Nova Scotia		383,642
	13,300	Canadian National Railway Co		427,164
	15,100	Canadian Natural Resources		485,450
	22,800	Canadian Pacific Railway Ltd		645,182
	15,500	EnCana Corp		611,618
	22,800	Husky Energy Inc		487,471
	7,900	Potash Corp of Saskatchewan Inc		663,073
	4,500	Research In Motion Ltd *		179,830
	26,700	Talisman Energy Inc		250,798
		Total Canada		4,328,657
		Finland — 0.0%
	6,817	Fortum Oyj		117,080
		France — 6.9%
	5,313	Air Liquide SA		387,703
	7,637	Alstom		358,357
	37,732	ArcelorMittal		723,199
	54,733	AXA		498,905
	83,407	BNP Paribas		2,701,151
	11,559	Casino Guichard-Perrachon SA		714,130
	19,114	Cie de Saint-Gobain		436,031
	8,252	CNP Assurances		530,773

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 28, 2009

Shares		Description	Value ($)
		France — continued
	23,039	Credit Agricole SA		223,109
	20,679	France Telecom SA		462,129
	35,293	GDF Suez		1,114,545
	29,881	Peugeot SA		508,466
	32,517	Renault SA		466,921
	60,800	Sanofi-Aventis		3,124,945
	32,408	Societe Generale		1,004,571
	104,547	Total SA		4,911,780
	2,696	Vallourec SA		209,842
		Total France		18,376,557
		Germany — 2.6%
	9,172	BASF AG		254,428
	26,489	Bayerische Motoren Werke AG		655,221
	4,549	Beiersdorf AG		188,413
	20,342	Deutsche Post AG (Registered)		194,598
	52,791	Deutsche Telekom AG (Registered)		638,392
	25,237	Hannover Rueckversicherungs AG (Registered)		899,709
	18,167	K&S AG		808,679
	5,590	MAN AG		225,008
	7,583	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		924,043
	6,154	Salzgitter AG		380,084
	18,430	SAP AG		592,057
	16,286	Solarworld AG		279,790
	37,885	Suedzucker AG		671,019
	17,390	ThyssenKrupp AG		307,063
		Total Germany		7,018,504
		Hong Kong — 1.0%
	133,000	CLP Holdings Ltd		983,208
	55,400	Esprit Holdings Ltd		298,352
	49,700	Hang Seng Bank Ltd		549,783
	138,500	Hong Kong Electric Holdings Ltd		853,924
		Total Hong Kong		2,685,267

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 28, 2009

Shares		Description	Value ($)
		Italy — 1.9%
	249,056	ENI SPA		4,971,054
	120,146	UniCredit SPA		152,178
		Total Italy		5,123,232
		Japan — 12.6%
	23,000	Asahi Breweries Ltd		287,993
	10,100	Astellas Pharma Inc		335,153
	18,000	Bridgestone Corp		245,156
	13,800	Canon Inc		348,272
	14,100	Chubu Electric Power Co Inc		347,634
	167,000	Cosmo Oil Co Ltd		462,883
	21,800	Daiichi Sankyo Co Ltd		350,238
	7,900	Eisai Co Ltd		242,031
	17,100	Fast Retailing Co Ltd		1,717,696
	167,000	Fuji Heavy Industries Ltd		532,120
	114,000	Hitachi Ltd		283,873
	103,500	Honda Motor Co Ltd		2,474,974
	54	INPEX Corp		365,325
	144,000	Itochu Corp		645,685
	19,700	JFE Holdings Inc		426,267
	15,600	Kansai Electric Power Co Inc		375,082
	15,000	Kao Corp		285,063
	56,000	Kawasaki Kisen Kaisha Ltd		176,051
	89	KDDI Corp		466,242
	2,300	Keyence Corp		434,100
	9,000	Kirin Holdings Co Ltd		86,869
	4,700	Kyocera Corp		276,011
	127,000	Marubeni Corp		394,275
	229,000	Mazda Motor Corp		289,319
	145,000	Mitsubishi Heavy Industries Ltd		405,991
	5,000	Nintendo Co Ltd		1,427,498
	173,000	Nippon Mining Holdings Inc		600,853
	200,000	Nippon Oil Corp		953,166
	23,200	Nippon Telegraph & Telephone Corp		992,019

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	71,000	Nippon Yusen KK		292,886
	391,000	Nissan Motor Co		1,193,623
	681	NTT Docomo Inc		1,060,876
	246,000	Osaka Gas Co Ltd		879,573
	44,000	Panasonic Corp		509,441
	677	Rakuten Inc		348,364
	81,000	Ricoh Company Ltd		914,953
	6,300	Sankyo Co Ltd		282,740
	89,400	Seven & I Holdings Co Ltd		1,981,268
	36,400	Shin-Etsu Chemical Co Ltd		1,620,587
	65,400	Showa Shell Sekiyu KK		543,401
	388,600	Sojitz Corp		436,705
	53,400	SUMCO Corp		661,642
	90,300	Sumitomo Corp		753,953
	258,000	Sumitomo Metal Industries Ltd		483,306
	10,450	T&D Holdings Inc		233,882
	181,000	Taisei Corp		320,450
	29,000	Taisho Pharmaceutical Co Ltd		520,567
	33,000	Takeda Pharmaceutical Co Ltd		1,332,864
	17,900	Tokio Marine Holdings Inc		406,526
	26,300	Tokyo Electric Power Co Inc (The)		742,450
	181,000	Tokyo Gas Co Ltd		725,076
	83,000	TonenGeneral Sekiyu KK		784,268
	63,200	Toyota Tsusho Kaisha		510,418
		Total Japan		33,767,658
		Netherlands — 0.9%
	161,505	Aegon NV		574,809
	15,412	Heineken NV		411,512
	235,059	ING Groep NV		1,062,535
	11,627	Koninklijke DSM NV		265,717
		Total Netherlands		2,314,573

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 28, 2009

Shares		Description	Value ($)
		Singapore — 1.4%
	276,000	Sembcorp Industries Ltd		370,199
	119,200	Singapore Airlines Ltd		776,681
	363,000	Singapore Technologies Engineering Ltd		536,215
	1,010,600	Singapore Telecommunications		1,590,516
	85,000	United Overseas Bank Ltd		541,633
		Total Singapore		3,815,244
		Spain — 0.3%
	10,986	Gas Natural SDG SA		196,940
	37,918	Repsol YPF SA		579,154
		Total Spain		776,094
		Sweden — 0.2%
	54,169	Electrolux AB Series B		368,550
	45,900	Svenska Cellulosa AB Class B		297,079
		Total Sweden		665,629
		Switzerland — 2.5%
	32,295	ABB Ltd *		389,842
	8,900	Alcon Inc		733,004
	85,157	Novartis AG (Registered)		3,106,809
	3,720	Syngenta AG (Registered)		795,253
	2,779	Synthes Inc		322,490
	141,444	UBS AG (Registered) *		1,324,473
		Total Switzerland		6,671,871
		United Kingdom — 8.4%
	100,030	AstraZeneca Plc		3,172,131
	238,856	Aviva Plc		981,352
	959,030	Barclays Plc		1,258,169
	90,235	BG Group Plc		1,289,854
	159,910	BP Plc		1,018,749
	21,537	British American Tobacco Plc		550,493
	482,136	BT Group Plc		615,958

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	142,840	Cable & Wireless Plc		279,537
	77,221	Compass Group Plc		339,266
	273,102	GlaxoSmithKline Plc		4,142,083
	136,449	HSBC Holdings Plc		949,022
	356,199	Kingfisher Plc		638,336
	1,295,525	Lloyds Banking Group Plc		1,063,470
	27,699	Next Plc		459,331
	667,837	Old Mutual Plc		392,469
	22,109	Rio Tinto Plc		564,380
	1,706,198	Royal Bank of Scotland Group Plc		555,690
	24,702	Royal Dutch Shell Group Class A (Amsterdam)		540,028
	128,687	Royal Dutch Shell Plc A Shares (London)		2,825,233
	173,387	Tomkins Plc		278,553
	191,026	Wolseley Plc		482,433
		Total United Kingdom		22,396,537
		United States — 52.3%
	44,100	3M Co.		2,004,786
	69,300	Abbott Laboratories		3,280,662
	16,400	Accenture Ltd.-Class A		478,716
	6,600	ACE Ltd.		240,966
	20,000	Aflac, Inc.		335,200
	41,300	Allstate Corp. (The)		695,079
	16,300	Altera Corp.		249,879
	78,300	Altria Group, Inc.		1,208,952
	10,100	AMDOCS Ltd *		169,175
	21,700	Amgen, Inc. *		1,061,781
	4,300	Amphenol Corp.-Class A		109,306
	19,000	Anadarko Petroleum Corp.		664,050
	11,400	Aon Corp.		435,936
	9,100	Apache Corp.		537,719
	4,200	Apollo Group, Inc.-Class A *		304,500
	7,600	Assurant, Inc.		155,040
	56,200	Automatic Data Processing, Inc.		1,919,230

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	42,400	AutoNation, Inc. *		423,152
	2,600	AutoZone, Inc. *		369,798
	141,291	Bank of America Corp.		558,099
	10,000	Bard (C.R.), Inc.		802,600
	31,100	Baxter International, Inc.		1,583,301
	17,000	Becton, Dickinson & Co.		1,052,130
	28,100	Best Buy Co., Inc.		809,842
	1,500	BlackRock, Inc.		145,215
	5,900	Boston Properties, Inc. REIT		218,831
	10,400	Burlington Northern Santa Fe Corp.		611,208
	22,600	Capital One Financial Corp.		272,330
	38,700	CenterPoint Energy, Inc.		399,384
	21,300	CH Robinson Worldwide, Inc.		881,394
	26,705	Chevron Corp.		1,621,261
	137,900	Citigroup, Inc.		206,850
	37,300	Coach, Inc. *		521,454
	151,500	Coca-Cola Co. (The)		6,188,775
	21,200	Cognizant Technology Solutions Corp.-Class A *		390,080
	9,000	Colgate-Palmolive Co.		541,620
	25,200	Comcast Corp-Class A (Non-Voting)		306,180
	30,100	Comcast Corp.-Class A		393,106
	16,700	Comerica, Inc.		250,667
	24,300	Computer Sciences Corp. *		844,182
	50,653	ConocoPhillips		1,891,890
	28,900	Convergys Corp. *		186,405
	8,900	Costco Wholesale Corp.		376,826
	10,400	Covidien Ltd.		329,368
	17,100	D.R. Horton, Inc.		144,495
	16,100	Devon Energy Corp.		703,087
	17,300	DirecTV Group (The), Inc. *		344,962
	13,500	Dow Chemical Co. (The)		96,660
	22,600	DTE Energy Co.		605,002
	54,800	Duke Energy Corp.		738,156
	30,000	Ecolab, Inc.		953,400

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	77,600	Eli Lilly & Co.		2,279,888
	19,500	Emerson Electric Co.		521,625
	9,900	EOG Resources, Inc.		495,396
	12,200	Equity Residential REIT		214,720
	26,600	Expeditors International of Washington, Inc.		732,830
	7,800	Express Scripts, Inc. *		392,340
	7,900	Fastenal Co.		237,948
	18,292	Fidelity National Title Group, Inc.-Class A		303,098
	12,700	First American Corp.		294,259
	4,500	First Solar, Inc. *		475,830
	5,700	FirstEnergy Corp.		242,592
	16,600	Fiserv, Inc. *		541,492
	13,900	FLIR Systems, Inc. *		283,699
	10,200	Fluor Corp.		339,150
	19,100	Forest Laboratories, Inc. *		409,504
	47,300	Gannett Co., Inc.		153,252
	33,600	General Dynamics Corp.		1,472,352
	10,700	General Mills, Inc.		561,536
	12,400	Genuine Parts Co.		348,936
	10,900	Gilead Sciences, Inc. *		488,320
	11,000	Google, Inc.-Class A *		3,717,890
	27,600	Halliburton Co.		450,156
	27,900	Hartford Financial Services Group (The), Inc.		170,190
	13,100	HCP, Inc. REIT		239,337
	6,500	Health Care REIT, Inc.		200,005
	10,100	Hess Corp.		552,369
	23,900	Hewlett-Packard Co.		693,817
	51,500	Home Depot, Inc.		1,075,835
	13,900	Hospitality Properties Trust REIT		158,460
	39,200	Hudson City Bancorp, Inc.		406,504
	36,400	Illinois Tool Works, Inc.		1,011,920
	33,300	International Business Machines Corp.		3,064,599
	230,500	Johnson & Johnson		11,525,000
	40,700	KeyCorp.		285,307

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	48,500	Kimberly-Clark Corp.		2,284,835
	15,235	Kraft Foods, Inc.-Class A		347,053
	3,000	Leucadia National Corp. *		43,890
	18,000	Lexmark International, Inc. *		308,520
	10,200	Lincare Holdings, Inc. *		214,914
	4,800	Lockheed Martin Corp.		302,928
	37,700	Lowe's Cos., Inc.		597,168
	40,100	Macy's Inc		315,587
	22,800	Marathon Oil Corp.		530,556
	17,700	Marsh & McLennan Cos., Inc.		317,361
	5,900	MasterCard, Inc.-Class A		932,377
	38,600	McDonald's Corp.		2,016,850
	30,500	McGraw-Hill Cos. (The), Inc.		601,765
	13,800	Medco Health Solutions, Inc. *		560,004
	51,400	Medtronic, Inc.		1,520,926
	144,800	Merck & Co., Inc.		3,504,160
	54,000	Microsoft Corp.		872,100
	16,300	Monsanto Co.		1,243,201
	15,100	Morgan Stanley		295,054
	8,300	Murphy Oil Corp.		347,023
	35,300	Nike, Inc.-Class B		1,466,009
	46,100	NiSource, Inc.		403,375
	8,100	Noble Energy, Inc.		368,874
	10,700	Norfolk Southern Corp.		339,404
	13,500	Nucor Corp.		454,275
	600	NVR, Inc. *		199,662
	20,000	Occidental Petroleum Corp.		1,037,400
	45,025	Old Republic International Corp.		408,827
	50,300	Oracle Corp. *		781,662
	51,200	Paychex, Inc.		1,129,472
	14,700	Pepco Holdings, Inc.		220,500
	90,100	PepsiCo, Inc.		4,337,414
	362,800	Pfizer, Inc.		4,466,068
	9,200	PG&E Corp.		351,624

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	38,700	Philip Morris International, Inc.		1,295,289
	11,000	Pinnacle West Capital Corp.		288,860
	11,100	Plum Creek Timber Co., Inc.		291,153
	6,500	PPG Industries, Inc.		201,890
	18,600	Praxair, Inc.		1,055,550
	36,200	Procter & Gamble Co. (The)		1,743,754
	16,800	Progress Energy, Inc.		595,056
	6,900	Public Storage REIT		382,812
	31,200	Qualcomm, Inc.		1,043,016
	68,400	Regions Financial Corp.		233,928
	13,600	Rockwell Collins, Inc.		424,320
	9,400	Ryder System, Inc.		214,884
	17,400	Schlumberger Ltd.		662,244
	14,800	Sigma-Aldrich Corp.		528,360
	18,500	Southern Co.		560,735
	16,500	Southwestern Energy Co. *		474,705
	29,600	Stryker Corp.		996,632
	13,542	Supervalu, Inc.		211,391
	46,800	Sysco Corp.		1,006,200
	39,400	TJX Cos. (The), Inc.		877,438
	9,900	Torchmark Corp.		203,940
	9,800	Travelers Cos. (The), Inc.		354,270
	27,200	Tyco Electronics Ltd.		257,856
	18,100	Union Pacific Corp.		679,112
	39,400	United Parcel Service, Inc.-Class B		1,622,492
	47,300	United Technologies Corp.		1,931,259
	35,915	UnitedHealth Group, Inc.		705,730
	44,900	Valero Energy Corp.		870,162
	10,400	VF Corp.		539,760
	8,100	Visa, Inc.-Class A		459,351
	5,900	Vornado Realty Trust REIT		193,107
	9,500	W.W. Grainger, Inc.		628,520
	175,900	Wal-Mart Stores, Inc.		8,661,316
	13,700	WellPoint, Inc. *		464,704

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		United States — continued
	12,900	Wells Fargo & Co.		156,090
	27,500	Western Union Co.		306,900
	6,400	Whirlpool Corp.		142,272
	36,800	Xcel Energy, Inc.		652,832
	21,000	Xilinx, Inc.		371,280
	22,600	XTO Energy, Inc.		715,516
		Total United States		140,078,367
		TOTAL COMMON STOCKS (COST $446,219,087)		249,719,386
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	23,262	Cie de Saint-Gobain Warrants, Expires 03/06/09 *		34,209
		TOTAL RIGHTS AND WARRANTS (COST $136,847)		34,209
		SHORT-TERM INVESTMENTS — 5.9%
	2,500,000	Bank of America Time Deposit, 0.08%, due 03/02/09		2,500,000
	5,824,660	Brown Brothers Harriman Time Deposit, 0.02% - 2.29%, due 03/02/09		5,824,660
	2,499,692	Citibank Time Deposit, 0.05% - 0.09%, due 03/02/09		2,499,692
	19,962	Hong Kong & Shanghai Banking Corp. Time Deposit, 0.01%, due 03/02/09		19,962
	2,500,000	HSBC Bank USA Time Deposit, 0.08%, due 03/02/09		2,500,000
	2,500,000	JPMorgan Chase Time Deposit, 0.08%, due 03/02/09		2,500,000
	60,708	Societe Generale Time Deposit, 0.33%, due 03/02/09		60,708
		TOTAL SHORT-TERM INVESTMENTS (COST $15,905,022)		15,905,022
		TOTAL INVESTMENTS — 99.1% (Cost $462,260,956)		265,658,617
		Other Assets and Liabilities (net) — 0.9%		2,339,969
		TOTAL NET ASSETS — 100.0%	$	267,998,586

See accompanying notes to the financial statements.

13

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	CAD		6,380,120	$	5,015,374	$	(28,917	)
4/24/09	CAD		6,380,120		5,015,374		(23,515	)
4/24/09	CAD		890,000		699,624		(21,838	)
4/24/09	CHF		6,696,520		5,730,698		15,670
4/24/09	CHF		5,571,520		4,767,954		7,273
4/24/09	CHF		5,571,520		4,767,954		12,925
4/24/09	CHF		5,571,520		4,767,954		19,243
4/24/09	DKK		4,535,854		770,441		3,828
4/24/09	EUR		801,000		1,015,206		(19,334	)
4/24/09	GBP		2,612,885		3,740,219		(45,394	)
4/24/09	GBP		388,000		555,403		(9,874	)
4/24/09	JPY		574,600,174		5,894,056		(336,023	)
4/24/09	JPY		446,911,246		4,584,266		(275,943	)
4/24/09	JPY		397,800,855		4,080,507		(278,200	)
4/24/09	NZD		469,710		234,411		(3,638	)
4/24/09	SEK		43,052,742		4,779,719		(153,051	)
4/24/09	SEK		43,052,742		4,779,719		(99,387	)
4/24/09	SGD		5,599,872		3,616,819		(51,426	)
				$	64,815,698	$	(1,287,601	)
Sales
4/24/09	AUD		2,180,760	$	1,389,364	$	(2,989	)
4/24/09	EUR		3,001,582		3,804,273		(16,577	)
4/24/09	EUR		2,121,730		2,689,129		32,605
4/24/09	EUR		3,001,582		3,804,273		(23,540	)
4/24/09	GBP		3,581,824		5,127,209		(32,924	)
4/24/09	GBP		5,372,736		7,690,814		(28,352	)
4/24/09	HKD		18,460,666		2,381,470		182
4/24/09	JPY		237,000,448		2,431,071		215,411
4/24/09	SGD		6,896,797		4,454,470		126,445
				$	33,772,073	$	270,261

See accompanying notes to the financial statements.

14

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	2	AEX	March 2009	$	109,816	$	(10,225	)
	34	CAC 40	March 2009		1,148,712		(89,233	)
	26	DAX	March 2009		3,132,891		(557,146	)
	52	FTSE 100	March 2009		2,807,630		(319,834	)
	1	Hang Seng	March 2009		80,813		(1,415	)
	5	MSCI Singapore	March 2009		122,472		(1,867	)
	8	OMXS 30	March 2009		56,149		(1,328	)
	7	S&P/MIB	March 2009		671,232		(220,985	)
	2	S&P Toronto 60	March 2009		153,687		(16,829	)
	117	TOPIX	March 2009		8,979,002		(902,324	)
				$	17,262,404	$	(2,121,186	)
Sales
	6	IBEX 35	March 2009	$	571,689	$	23,599
	33	S&P 500 E-Mini Index	March 2009		1,211,430		171,728
	22	SPI 200	March 2009		1,149,228		105,513
				$	2,932,347	$	300,840

As of February 28, 2009, 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.

15

GMO Developed World Stock Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

16

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $462,260,956) (Note 2)	$	265,658,617
Foreign currency, at value (cost $142) (Note 2)		136
Receivable for investments sold		153,533
Dividends receivable		963,950
Foreign taxes receivable		57,229
Unrealized appreciation on open forward currency contracts (Note 2)		433,582
Receivable for collateral on open futures contracts (Note 2)		2,825,911
Receivable for expenses reimbursed by Manager (Note 3)		16,538
Total assets		270,109,496
Liabilities:
Payable for investments purchased		101,893
Payable to affiliate for (Note 3):
Management fee		100,831
Shareholder service fee		28,864
Trustees and Chief Compliance Officer of GMO Trust fees		1,047
Payable for variation margin on open futures contracts (Note 2)		143,975
Unrealized depreciation on open forward currency contracts (Note 2)		1,450,922
Miscellaneous payable		101,852
Accrued expenses		181,526
Total liabilities		2,110,910
Net assets	$	267,998,586

See accompanying notes to the financial statements.

17

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	512,234,166
Accumulated undistributed net investment income		3,794,038
Distributions in excess of net realized gain		(48,575,741	)
Net unrealized depreciation		(199,453,877	)
	$	267,998,586
Net assets attributable to:
Class III shares	$	155,560,332
Class IV shares	$	112,438,254
Shares outstanding:
Class III		13,719,101
Class IV		9,907,339
Net asset value per share:
Class III	$	11.34
Class IV	$	11.35

See accompanying notes to the financial statements.

18

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $701,531)	$	13,254,496
Interest		257,990
Securities lending income		224,067
Total investment income		13,736,553
Expenses:
Management fee (Note 3)		1,855,185
Shareholder service fee – Class III (Note 3)		345,373
Shareholder service fee – Class IV (Note 3)		174,814
Custodian and fund accounting agent fees		332,711
Transfer agent fees		41,829
Audit and tax fees		77,429
Legal fees		10,174
Trustees fees and related expenses (Note 3)		5,946
Registration fees		3,033
Miscellaneous		8,379
Total expenses		2,854,873
Fees and expenses reimbursed by Manager (Note 3)		(470,537	)
Expense reductions (Note 2)		(6,397	)
Net expenses		2,377,939
Net investment income (loss)		11,358,614
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(40,364,908	)
Closed futures contracts		(8,976,566	)
Foreign currency, forward contracts and foreign currency related transactions		2,801,989
Net realized gain (loss)		(46,539,485	)
Change in net unrealized appreciation (depreciation) on:
Investments		(182,845,007	)
Open futures contracts		516,916
Foreign currency, forward contracts and foreign currency related transactions		(3,161,715	)
Net unrealized gain (loss)		(185,489,806	)
Net realized and unrealized gain (loss)		(232,029,291	)
Net increase (decrease) in net assets resulting from operations	$	(220,670,677	)

See accompanying notes to the financial statements.

19

GMO Developed World Stock Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	11,358,614		$	11,232,424
Net realized gain (loss)		(46,539,485	)		39,545,032
Change in net unrealized appreciation (depreciation)		(185,489,806	)		(63,583,976	)
Net increase (decrease) in net assets from operations		(220,670,677	)		(12,806,520	)
Distributions to shareholders from:
Net investment income
Class III		(7,860,790	)		(8,471,254	)
Class IV		(6,163,416	)		(5,941,447	)
Total distributions from net investment income		(14,024,206	)		(14,412,701	)
Net realized gains
Class III		(2,479,946	)		(22,082,339	)
Class IV		(1,952,911	)		(15,851,765	)
Total distributions from net realized gains		(4,432,857	)		(37,934,104	)
		(18,457,063	)		(52,346,805	)
Net share transactions (Note 7):
Class III		(17,180,224	)		66,739,553
Class IV		8,116,327			21,793,212
Increase (decrease) in net assets resulting from net share transactions		(9,063,897	)		88,532,765
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		173,735			253,528
Increase in net assets resulting from purchase premiums and redemption fees		173,735			253,528
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(8,890,162	)		88,786,293
Total increase (decrease) in net assets		(248,017,902	)		23,632,968
Net assets:
Beginning of period		516,016,488			492,383,520
End of period (including accumulated undistributed net investment income of $3,794,038 and $4,927,285, respectively)	$	267,998,586		$	516,016,488

See accompanying notes to the financial statements.

20

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	21.88		$	24.58		$	22.24		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.51			0.54			0.43			0.15
Net realized and unrealized gain (loss)		(10.20	)		(0.74	)		2.84			2.15
Total from investment operations		(9.69	)		(0.20	)		3.27			2.30
Less distributions to shareholders:
From net investment income		(0.64	)		(0.67	)		(0.32	)		(0.06	)
From net realized gains		(0.21	)		(1.83	)		(0.61	)		—
Total distributions		(0.85	)		(2.50	)		(0.93	)		(0.06	)
Net asset value, end of period	$	11.34		$	21.88		$	24.58		$	22.24
Total Return(b)		(45.56	)%		(1.73	)%		14.87	%		11.51	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	155,560		$	309,609		$	282,446		$	179,466
Net expenses to average daily net assets		0.61	%(c)		0.62	%(c)		0.62	%		0.62	%*
Net investment income to average daily net assets		2.79	%		2.15	%		1.83	%		1.27	%*
Portfolio turnover rate		50	%		53	%		43	%		15	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%		0.11	%		0.12	%		0.20	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.02		$	0.03		$	0.07

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

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

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

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

21

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	21.90		$	24.59		$	22.25		$	20.24
Income (loss) from investment operations:
Net investment income (loss)†		0.51			0.56			0.45			0.12
Net realized and unrealized gain (loss)		(10.20	)		(0.74	)		2.82			1.95
Total from investment operations		(9.69	)		(0.18	)		3.27			2.07
Less distributions to shareholders:
From net investment income		(0.65	)		(0.68	)		(0.32	)		(0.06	)
From net realized gains		(0.21	)		(1.83	)		(0.61	)		—
Total distributions		(0.86	)		(2.51	)		(0.93	)		(0.06	)
Net asset value, end of period	$	11.35		$	21.90		$	24.59		$	22.25
Total Return(b)		(45.52	)%		(1.66	)%		14.88	%		10.23	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	112,438		$	206,408		$	209,937		$	137,409
Net expenses to average daily net assets		0.56	%(c)		0.57	%(c)		0.57	%		0.57	%*
Net investment income to average daily net assets		2.82	%		2.22	%		1.93	%		1.20	%*
Portfolio turnover rate		50	%		53	%		43	%		15	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%		0.11	%		0.12	%		0.17	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†		—	(d)		—	(d)	$	0.02		$	0.06

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

(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, except for reimbursements related to securities lending transactions (Note 2).

(d)  For the years ended February 28, 2009 and February 29, 2008, the class received no purchase premiums or redemptions fees.

†  Calculated using average shares outstanding throughout the period.

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

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

22

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

1.  Organization

GMO Developed World Stock 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 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 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material. Because many foreign equity securities markets and exchanges close prior to the close of the

23

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 37.86% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	164,151,859	$	171,728
Level 2 - Other Significant Observable Inputs		101,506,758		562,694
Level 3 - Significant Unobservable Inputs		—		—
Total	$	265,658,617	$	734,422

*  Other financial instruments include forward currency contracts and futures contracts.

24

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(16,829	)
Level 2 - Other Significant Observable Inputs		—		(3,555,279	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(3,572,108	)

**  Other financial instruments include forward currency contracts and futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

25

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

26

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

27

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing

28

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. As of February 28, 2009 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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

29

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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 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 28, 2009, The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Distributions In Excess of Net Realized Gain			Paid-in Capital
$	1,532,345	$	(1,532,345	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	14,034,754	$	22,308,523
Net long-term capital gain		4,422,309		30,038,282
Total distributions	$	18,457,063	$	52,346,805

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any net short-term capital gain) $ 2,711,661

As of February 28, 2009 the Fund elected to defer to March 1, 2009 post-October capital losses of $32,763,918.

30

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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:

2/28/2017	$	(12,590,155	)
Total	$	(12,590,155	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	465,208,979	$	1,496,482	$	(201,046,844	)	$	(199,550,362	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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

31

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 28, 2009, 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. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate and existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

32

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

Effective June 30, 2008, GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.45% of average daily net assets. For the period from March 1, 2008 through June 29, 2008, the management fee rate was 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.45% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009, was $4,762 and $2,990, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $192,356,311 and $211,660,162, respectively.

33

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 52.26% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.   Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,345,030		$	22,152,501			2,679,838		$	67,974,333
Shares issued to shareholders in reinvestment of distributions		465,528			7,953,416			1,157,471			28,331,295
Shares repurchased		(2,243,384	)		(47,286,141	)		(1,177,880	)		(29,566,075	)
Purchase premiums		—			55,520			—			170,362
Redemption fees		—			118,215			—			83,166
Net increase (decrease)		(432,826	)	$	(17,006,489	)		2,659,429		$	66,993,081

34

GMO Developed World Stock Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009				Year Ended February 29, 2008
Class IV:	Shares		Amount		Shares		Amount
Shares sold		—	$	—		—	$	—
Shares issued to shareholders in reinvestment of distributions		482,092		8,116,327		889,056		21,793,212
Shares repurchased		—		—		—		—
Purchase premiums		—		—		—		—
Redemption fees		—		—		—		—
Net increase (decrease)		482,092	$	8,116,327		889,056	$	21,793,212

35

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 28, 2009 , 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

36

GMO Developed World Stock Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.60	%	$	1,000.00	$	574.80	$	2.34
2) Hypothetical		0.60	%	$	1,000.00	$	1,021.82	$	3.01
Class IV
1) Actual		0.55	%	$	1,000.00	$	575.10	$	2.15
2) Hypothetical		0.55	%	$	1,000.00	$	1,022.07	$	2.76

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

37

GMO Developed World Stock Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $4,422,309 from long-term capital gains.

For taxable, non-corporate shareholders, 78.44% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 36.22% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

39

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

40

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

41

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

42

GMO Emerging Countries Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Countries Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets team 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 -58.6% for the fiscal year ended February 28, 2009, as compared to -56.3% for the S&P/IFCI (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 1.5% from performance during the period. The Fund's underweights in Russia and India and overweight in Brazil contributed to relative performance. The Fund's overweights in Korea, Hungary, and Pakistan and underweights in China and Israel detracted from relative performance.

Stock selection was successful in Taiwan while it detracted from performance in Korea, Russia, Israel, Mexico, and Indonesia.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		84.3	%
Preferred Stocks		12.3
Short-Term Investments		1.9
Investment Funds		0.1
Forward Currency Contracts		0.0
Rights and Warrants		0.0
Other		1.4
		100.0	%
Country Summary	% of Equity Investments
Brazil		19.2	%
South Korea		18.1
Taiwan		13.6
China		12.0
South Africa		7.6
Turkey		5.5
Thailand		5.0
Russia		3.4
Malaysia		3.0
India		2.4
Mexico		1.7
Israel		1.5
Poland		1.2
Chile		1.1
Egypt		1.1
Indonesia		0.8
Philippines		0.8
Czech Republic		0.7
Hungary		0.7
Morocco		0.4
United States*		0.1
Argentina		0.1
Peru		0.0
		100.0	%

*  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

1

GMO Emerging Countries Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		22.9	%
Information Technology		13.5
Telecommunication Services		12.5
Energy		12.4
Materials		11.8
Industrials		8.0
Consumer Discretionary		6.1
Utilities		6.0
Consumer Staples		5.3
Health Care		1.3
Miscellaneous*		0.2
		100.0	%

*  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

2

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 84.3%
		Argentina — 0.1%
	5,060	Cresud SA Sponsored ADR		36,280
	22,280	Petrobras Energia Participaciones SA Sponsored ADR		111,846
		Total Argentina		148,126
		Brazil — 6.7%
	76,400	Banco do Brasil SA		442,477
	3,000	Banco Nossa Caixa SA		87,689
	3,200	Brasil Telecom Participacoes SA		80,756
	4,100	Cia de Saneamento de Minas Gerais-Copasa MG *		35,644
	33,509	Companhia Saneamento Basico Sao Paulo		336,856
	81,600	Companhia Vale do Rio Doce		1,053,355
	5,700	CPFL Energia SA		74,962
	20,400	Cyrela Brazil Realty SA		60,055
	23,200	EDP-Energias Do Brasil SA		227,013
	31,100	Electrobras (Centro)		340,729
	68,700	Empresa Brasileira de Aeronautica SA		189,317
	9,100	Empresa Brasileira de Aeronautica SA Sponsored ADR		98,371
	38,200	Fertilizantes Heringer SA *		63,576
	27,300	Gerdau SA		114,045
	34,448	Investimentos Itau SA		147,651
	31,300	JBS SA		60,338
	53,200	Natura Cosmeticos SA		482,747
	72,940	Petroleo Brasileiro SA (Petrobras)		997,381
	32,660	Petroleo Brasileiro SA (Petrobras) ADR		905,662
	53,900	Redecard SA		563,478
	8,523	Souza Cruz SA		171,073
	11,800	Tele Norte Leste Participacoes SA		175,169
	22,920	Uniao de Bancos Brasileiros SA		120,763
	5,020	Unibanco-Uniao de Bancos Brasileiros SA GDR		262,697
	28,325	Usinas Siderurgicas de Minas Gerais SA		291,612
		Total Brazil		7,383,416

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 28, 2009

Shares		Description	Value ($)
		Chile — 1.0%
	1,912	Banco de Chile ADR		69,788
	6,110	Banco Santander Chile SA ADR		213,422
	4,080	Compania Cervecerias Unidas ADR		108,691
	3,560	Embotelladora Andina SA ADR A Shares		44,286
	5,830	Embotelladora Andina SA ADR B Shares		83,369
	4,000	Empresa Nacional de Electricidad SA Sponsored ADR		145,040
	16,850	Enersis SA Sponsored ADR		242,977
	30,330	Lan Airlines SA Sponsored ADR		250,223
		Total Chile		1,157,796
		China — 11.6%
	196,000	Agile Property Holdings Ltd		64,841
	3,810,000	Bank of China Ltd Class H		1,049,571
	602,400	Chaoda Modern Agriculture Holdings Ltd		344,239
	926,000	China Construction Bank Class H		464,167
	54,000	China Huiyuan Juice Group Ltd		62,357
	122,397	China International Marine Containers Co Ltd Class B		68,597
	174,000	China Life Insurance Co Ltd Class H		481,299
	208,500	China Merchants Bank Co Ltd Class H		302,510
	224,664	China Mobile Ltd		1,951,907
	3,872	China Mobile Ltd Sponsored ADR		167,851
	1,337,083	China Petroleum & Chemical Corp Class H		684,054
	182,000	China Railway Construction Corp Ltd Class H *		219,754
	488,000	China Railway Group Ltd Class H *		265,437
	44,000	China Resources Power Holdings Co Ltd		81,418
	142,000	China Shipping Development Co Ltd Class H		108,980
	704,000	China Telecom Corp Ltd Class H		236,193
	176,000	CNOOC Ltd		151,294
	194,000	Cosco Pacific Ltd		139,951
	506,000	Datang International Power Generation Co Ltd		209,923
	580,000	Dongfeng Motor Group Co Ltd		210,379
	823,000	Huaneng Power International Inc Class H		536,105
	1,188,000	Industrial and Commercial Bank of China Ltd Class H		478,478
	126,000	Kingboard Chemical Holdings Ltd		203,938

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 28, 2009

Shares		Description	Value ($)
		China — continued
	17,950	Mindray Medical International Ltd ADR		327,588
	10,580	Netease.Com Inc ADR *		216,678
	384,000	Nine Dragons Paper Holdings Ltd		102,922
	200,000	Parkson Retail Group Ltd		159,907
	1,605,553	PetroChina Co Ltd Class H		1,137,266
	128,000	PICC Property & Casualty Co Ltd Class H *		57,010
	28,000	Ping An Insurance (Group) Co of China Ltd Class H		132,097
	21,280	Shanda Interactive Entertainment Ltd Sponsored ADR *		698,410
	76,400	Shanghai Industrial Holdings Ltd		172,660
	416,000	Shenzhen Investment Ltd		65,308
	282,000	Shimao Property Holdings Ltd		143,915
	15,400	Sina.com *		330,638
	10,270	Suntech Power Holdings Co Ltd ADR *		62,544
	88,000	Tencent Holdings Ltd		502,739
	190,000	Want Want China Holdings Ltd		74,422
	168,000	Yanzhou Coal Mining Co Ltd Class H		94,928
	82,000	Zhuzhou CSR Times Electric Co Ltd Class H		74,038
		Total China		12,836,313
		Czech Republic — 0.7%
	4,900	Central European Media Enterprises Ltd Class A *		28,438
	16,860	CEZ AS		505,127
	9,300	New World Resources NV Class A		25,618
	1,245	Pegas Nonwovens SA		13,797
	116	Philip Morris CR AS		29,922
	3,800	Telefonica 02 Czech Republic AS		64,060
	13,320	Unipetrol		67,102
		Total Czech Republic		734,064
		Egypt — 1.1%
	9,612	Alexandria Mineral Oils Co		59,494
	35,620	Commercial International Bank		216,079
	5,367	Egyptian Co for Mobile Services		131,219
	430	El Ezz Aldekhela Steel Alexa Co		47,093

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 28, 2009

Shares		Description	Value ($)
		Egypt — continued
	37,000	El Ezz Steel Rebars SAE		45,457
	4,870	ElSwedy Cables Holding Co *		34,351
	5,200	Orascom Construction Industries		102,914
	31,620	Orascom Telecom Holding SAE		104,938
	5,800	Oriental Weavers Co		20,812
	19,800	Palm Hills Developments SAE *		22,349
	46,827	Sidi Kerir Petrochemicals Co		67,663
	182,300	Talaat Moustafa Group *		83,354
	107,254	Telecom Egypt		275,359
		Total Egypt		1,211,082
		Hungary — 0.7%
	380	Egis Gyogyszergyar Nyrt		15,825
	110,680	Magyar Telekom Nyrt		254,482
	2,960	MOL Magyar Olaj es Gazipari Nyrt		110,372
	37,870	OTP Bank Nyrt *		254,191
	900	Richter Gedeon Nyrt		92,943
		Total Hungary		727,813
		India — 2.3%
	50,570	Canara Bank Ltd		160,431
	4,400	Hero Honda Motors Ltd		79,143
	85,700	Hindustan Unilever Ltd		424,140
	55,100	Indiabulls Financial Services Ltd		101,849
	9,024	Jindal Steel & Power Ltd		180,406
	16,900	Maruti Suzuki India Ltd		220,561
	23,300	Punjab National Bank Ltd		151,878
	141,000	Reliance Communications Ltd		422,360
	24,600	Reliance Energy Ltd		232,088
	43,766	Reliance Power Ltd *		83,667
	11,400	State Bank of India		225,930
	190,430	Steel Authority of India Ltd		279,428
		Total India		2,561,881

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 28, 2009

Shares		Description	Value ($)
		Indonesia — 0.8%
	260,000	Aneka Tambang Tbk PT		25,739
	2,907,751	Bakrie & Brothers Tbk PT *		12,038
	537,000	Bank Central Asia Tbk PT		104,092
	509,000	Bank CIMB Niaga Tbk PT		16,554
	335,500	Bank Mandiri Tbk PT		47,748
	634,000	Bank Negara Indonesia (Persero) Tbk PT		36,437
	3,978,500	Bumi Resources Tbk PT		245,131
	45,500	Gudang Garam Tbk PT		19,586
	879,500	Indah Kiat Pulp and Paper Corp Tbk PT *		65,736
	283,500	Indofood Sukses Makmur Tbk PT		20,490
	669,500	Kalbe Farma Tbk PT		35,740
	341,500	Perusahaan Gas Negara PT		53,526
	306,500	Telekomunikasi Indonesia Tbk PT		161,307
	52,500	United Tractors Tbk PT		23,088
		Total Indonesia		867,212
		Israel — 1.5%
	3,560	Africa Israel Properties Ltd *		31,763
	129,940	Bank Hapoalim BM *		222,193
	238,270	Bank Leumi Le		408,155
	29,430	Bezeq Israeli Telecommunication Corp Ltd		44,404
	3,790	Check Point Software Technologies Ltd *		83,266
	540	Delek Group Ltd		35,726
	3,663	IDB Development Corp Ltd		36,037
	65,160	Israel Discount Bank Ltd		42,279
	9,830	Jerusalem Economy Ltd *		34,584
	15,610	Teva Pharmaceutical Industries Ltd Sponsored ADR		695,894
		Total Israel		1,634,301
		Malaysia — 2.9%
	26,199	British American Tobacco Malaysia Berhad		315,854
	270,400	Genting Berhad		250,394
	45,600	Hong Leong Financial Group Berhad		56,121
	53,800	Kulim Malaysia Berhad		71,810

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 28, 2009

Shares		Description	Value ($)
		Malaysia — continued
	43,400	MISC Berhad		99,804
	257,300	MISC Berhad (Foreign Registered)		584,645
	53,309	PPB Group Berhad		138,582
	119,005	Public Bank Berhad		280,945
	415,378	Resorts World Berhad		245,955
	591,800	RHB Capital Berhad		592,870
	78,699	Tanjong Plc		293,535
	196,700	Tenaga Nasional Berhad		340,314
		Total Malaysia		3,270,829
		Mexico — 1.6%
	64,200	Alfa SA de CV Class A		89,787
	792,729	Cemex SA de CV CPO *		426,814
	22,400	Desarrolladora Homex SA de CV *		47,065
	11,640	Fomento Economico Mexicano Sponsored ADR		268,186
	604,916	Grupo Mexico SA Class B		345,156
	44,380	Telefonos de Mexico SA de CV Class L Sponsored ADR		609,781
		Total Mexico		1,786,789
		Morocco — 0.4%
	380	Attijariwafa Bank		11,522
	502	Banque Centrale Populaire		15,058
	1,044	Banque Marocaine du Commerce Exterieur		29,612
	119	Compagnie Generale Immobiliere		28,495
	16,519	Maroc Telecom		304,336
	220	ONA SA		34,496
	70	Societe Nationale De Siderurgie		21,938
		Total Morocco		445,457
		Peru — 0.0%
	7,022	Compania Minera Milpo SA		10,694
	378	Sociedad Minera Cerro Verde SA		3,859
	18,387	Volcan Compania Minera SA Class B		5,317
		Total Peru		19,870

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 28, 2009

Shares		Description	Value ($)
		Philippines — 0.7%
	196,700	Aboitiz Power Corp		16,727
	634,500	Alliance Global Group Inc *		19,207
	22,212	Ayala Corp		86,264
	44	Ayala Land Inc		5
	148,300	Bank of the Philippine Islands		103,544
	1,016,800	Benpres Holdings Corp *		25,861
	196,800	First Gen Corp *		61,460
	1,300	Globe Telecom Inc		20,668
	16,200	Manila Electric Co		29,489
	59,100	Metropolitan Bank & Trust Co		24,783
	8,280	Philippine Long Distance Telephone Co		364,402
	827,200	PNOC Energy Development Corp		41,558
	101,300	SM Prime Holdings Inc		14,964
	1,262,600	Vista Land & Lifescapes Inc		21,153
		Total Philippines		830,085
		Poland — 1.2%
	6,100	Bank Handlowy W Warszawie SA		56,440
	17,620	KGHM Polska Miedz SA		163,137
	60,500	Polski Koncern Naftowy Orlen SA		339,459
	38,140	Polskie Gornictwo Naftowe I Gazownictwo SA		35,770
	42,950	Powszechna Kasa Oszczednosci Bank Polski SA		223,817
	95,360	Telekomunikacja Polska SA		459,727
		Total Poland		1,278,350
		Russia — 3.2%
	39,320	Aeroflot - Russian Airlines		29,115
	76,370	Cherepovets MK Severstal GDR (Registered Shares)		277,223
	66,940	KamAZ *		31,726
	6,080	Lukoil Sponsored ADR		194,803
	9,630	Mobile Telesystems Sponsored ADR		228,135
	124,144	OAO Gazprom Sponsored GDR		1,612,631
	2,550	OAO Tatneft Sponsored GDR (Registered Shares)		90,780
	3,150	Rostelecom Sponsored ADR		151,578

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 28, 2009

Shares		Description	Value ($)
		Russia — continued
	531,050	Sberbank RF		208,065
	109,700	Surgutneftegaz Sponsored ADR		627,484
	70,500	VTB Bank GDR		75,435
		Total Russia		3,526,975
		South Africa — 7.3%
	39,852	Absa Group Ltd		348,947
	17,545	Adcock Ingram Holdings Ltd *		66,032
	8,100	AngloGold Ashanti Ltd		239,666
	30,567	ArcelorMittal South Africa Ltd		222,667
	72,667	Aveng Ltd		184,017
	31,179	Bidvest Group Ltd		255,167
	9,261	British American Tobacco Plc *		233,931
	331,300	FirstRand Ltd		392,904
	59,900	Foschini Ltd		244,780
	19,700	Gold Fields Ltd		202,074
	45,300	Grindrod Ltd		58,638
	42,300	Harmony Gold Mining Co Ltd *		510,373
	7,300	Highveld Steel and Vanadium Corp Ltd		50,889
	45,300	Imperial Holdings Ltd		198,024
	46,000	Investec Ltd		136,446
	44,600	JD Group Ltd		129,468
	38,900	Massmart Holdings Ltd		278,027
	38,700	MTN Group Ltd		327,736
	21,800	Naspers Ltd Class N		330,658
	12,500	Nedbank Group Ltd		92,513
	14,528	Reinet Investments SCA *		13,227
	87,507	Remgro Ltd		573,014
	29,700	Reunert Ltd		109,236
	131,600	RMB Holdings Ltd		249,078
	251,300	Sanlam Ltd		377,875
	19,600	Sasol Ltd		488,806
	72,068	Standard Bank Group Ltd		461,114
	264,000	Steinhoff International Holdings Ltd		292,169

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 28, 2009

Shares		Description	Value ($)
		South Africa — continued
	46,900	Telkom South Africa Ltd		458,515
	25,524	Tiger Brands Ltd		318,456
	94,000	Truworths International Ltd		288,580
		Total South Africa		8,133,027
		South Korea — 17.2%
	210	Amorepacific Corp		74,844
	57,039	Busan Bank		189,057
	3,110	CJ Corp		65,919
	40,140	Daegu Bank		150,194
	9,146	Daelim Industrial Co Ltd		235,646
	2,070	DC Chemical Co Ltd		284,518
	6,350	Dongbu Insurance Co Ltd		58,385
	8,610	Dongkuk Steel Mill Co Ltd		117,736
	6,610	GS Engineering & Construction Corp		200,061
	5,920	GS Holdings Corp		96,768
	37,270	Hana Financial Group Inc		441,061
	4,330	Hanjin Heavy Industries & Construction Co Ltd		68,563
	7,841	Hanjin Heavy Industries & Construction Holdings Co Ltd		62,472
	16,200	Hanjin Shipping		159,285
	14,100	Hankook Tire Co Ltd		114,511
	5,158	Honam Petrochemical Corp *		155,120
	1,860	Hyundai Elevator Co Ltd		64,988
	2,570	Hyundai Heavy Industries Co Ltd		291,308
	5,945	Hyundai Mipo Dockyard		452,397
	24,390	Hyundai Mobis		1,171,218
	26,340	Hyundai Motor Co		824,498
	8,840	Hyundai Steel Co		195,022
	13,222	Hyunjin Materials Co Ltd *		226,052
	55,440	Industrial Bank of Korea *		210,648
	5,890	INTOPS Co Ltd		56,240
	61,690	KB Financial Group Inc *		1,182,749
	800	KB Financial Group Inc ADR *		15,056
	2,094	Keangnam Enterprises Ltd *		6,869

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 28, 2009

Shares		Description	Value ($)
		South Korea — continued
	34,840	Kia Motors Corp *		149,978
	35,150	Korea Electric Power Corp *		544,309
	59,690	Korea Exchange Bank		208,668
	6,430	Korea Kumho Petrochemical Co Ltd *		69,635
	2,760	Korea Line Corp		94,738
	5,700	Korea Zinc Co Ltd		327,421
	4,210	Korean Air Lines Co Ltd *		83,038
	7,500	KT Corp		182,268
	20,330	KT Corp Sponsored ADR *		244,367
	20,663	KT&G Corp		1,059,284
	8,470	Kumho Industrial Co Ltd *		63,296
	5,050	LG Chem Ltd		274,004
	14,820	LG Corp		387,512
	10,760	LG Dacom Corp		121,480
	16,510	LG Display Co Ltd		274,179
	15,620	LG International Corp		156,892
	37,740	LG Telecom Ltd		217,016
	1,380	Lotte Shopping Co Ltd		146,263
	2,238	NCSoft Corp		101,508
	5,720	POSCO		1,154,683
	8,340	S-Oil Corp		283,422
	29,710	Samho International Co Ltd *		48,201
	5,348	Samsung Electronics Co Ltd		1,644,874
	5,880	Samsung Fire & Marine Insurance Co Ltd		596,604
	2,636	Samsung SDI Co Ltd		97,683
	3,330	Samsung Securities Co Ltd		112,634
	5,560	Seoul Semiconductor Co Ltd *		80,923
	40,485	Shinhan Financial Group Co Ltd *		594,953
	6,145	SK Energy Co Ltd		285,364
	17,677	SK Holdings Co Ltd		971,314
	39,060	SK Networks Co Ltd		182,620
	1,146	SK Telecom Co Ltd		139,298
	43,530	SK Telecom Co Ltd ADR		582,867
	5,720	STX Engine Co Ltd *		55,819

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 28, 2009

Shares		Description	Value ($)
		South Korea — continued
	22,640	Sungwoo Hitech Co Ltd		49,183
	50,481	Woori Finance Holdings Co Ltd *		202,096
	9,640	Woori Investment & Securities Co Ltd		84,137
		Total South Korea		19,043,716
		Taiwan — 13.2%
	263,000	Acer Inc		344,360
	176,000	Asia Cement Corp		129,938
	66,000	Asia Optical Co Inc		70,109
	263,733	Asustek Computer Inc		249,022
	173,500	Catcher Technology Co Ltd		289,630
	530,339	China Development Financial Holding Corp		89,238
	937,000	Chinatrust Financial Holding Co Ltd		280,294
	658,755	Chunghwa Telecom Co Ltd		1,014,194
	647,557	Compal Electronics Inc		368,749
	96,000	Delta Electronics Inc		151,174
	42,260	Dynapack International Technology Corp		87,392
	135,000	Far Eastone Telecommunications Co Ltd		130,407
	667,983	First Financial Holding Co Ltd		264,596
	206,000	Formosa Plastics Corp		278,808
	91,000	Foxconn Technology Co Ltd		207,618
	603,000	Fubon Financial Holding Co Ltd		320,288
	90,940	High Tech Computer Corp		986,251
	477,990	Hon Hai Precision Industry Co Ltd		938,937
	344,000	Hung Sheng Construction Co Ltd		61,746
	305,000	Inventec Co Ltd		89,285
	570,845	Lite-On Technology Corp		333,179
	464,000	Macronix International Co Ltd		148,068
	136,097	MediaTek Inc		1,167,408
	48,970	Motech Industries Inc		107,955
	330,417	Nan Ya Plastics Corp		311,605
	159,198	Novatek Microelectronics Corp Ltd		192,271
	610,000	Pou Chen Corp		260,233
	80,000	Powertech Technology Inc		121,683

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 28, 2009

Shares		Description	Value ($)
		Taiwan — continued
	608,000	Prince Housing Development Corp		77,629
	2,050,000	ProMOS Technologies Inc *		69,250
	658,431	Quanta Computer Inc		664,804
	107,000	Radiant Opto-Electronics Corp		80,412
	220,000	Synnex Technology International Corp		249,622
	759,000	Taishin Financial Holding Co Ltd		105,675
	586,213	Taiwan Cement Corp		433,927
	239,950	Taiwan Cooperative Bank		98,749
	144,000	Taiwan Fertilizer Co Ltd		216,244
	279,787	Taiwan Mobile Co Ltd		363,559
	1,940,330	Taiwan Semiconductor Manufacturing Co Ltd		2,450,915
	42,000	Transcend Information Inc		83,723
	49,000	U-Ming Marine Transport Corp		62,041
	224,000	Wistron Corp		169,195
	1,362,000	Yuanta Financial Holding Co Ltd		489,769
		Total Taiwan		14,609,952
		Thailand — 4.8%
	393,690	Advanced Info Service Pcl (Foreign Registered) (a)		870,481
	168,250	Bangkok Bank Pcl NVDR (a)		342,507
	340,300	Bangkok Dusit Medical Service Pcl (Foreign Registered) (a)		159,943
	631,570	Bank of Ayudhya Pcl (Foreign Registered) (a)		155,511
	180,000	Bank of Ayudhya Pcl NVDR (a)		43,587
	41,000	Banpu Pcl (Foreign Registered) (a)		236,816
	937,640	BEC World Pcl (Foreign Registered) (a)		497,091
	34,000	Electricity Generating Pcl NVDR (a)		66,356
	3,092,950	IRPC Pcl (Foreign Registered) (a)		158,405
	1,808,670	Italian Thai Development Pcl (Foreign Registered) (a)		114,315
	273,010	Kasikornbank Pcl (Foreign Registered) (a)		332,682
	39,000	Kasikornbank Pcl NVDR (a)		47,524
	1,289,000	Krung Thai Bank Pcl (Foreign Registered) (a)		146,335
	68,200	PTT Exploration & Production Pcl (Foreign Registered) (a)		165,641
	219,722	PTT Pcl (Foreign Registered) (a)		937,479
	49,859	Siam Cement Pcl (Foreign Registered) (a)		137,551

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 28, 2009

Shares		Description	Value ($)
		Thailand — continued
	37,180	Siam Cement Pcl NVDR (a)		102,059
	655,000	Siam City Bank PCL (Foreign Registered) * (a)		134,214
	338,000	Siam Commercial Bank Pcl (Foreign Registered) (a)		517,051
	285,770	Thai Oil Pcl (Foreign Registered) (a)		187,200
		Total Thailand		5,352,748
		Turkey — 5.3%
	186,338	Akbank TAS		429,517
	20,240	Anadolu Efes Biracilik ve Malt Sanayii AS		127,857
	569,970	Dogan Sirketler Grubu Holdings AS *		171,987
	26,516	Enka Insaat ve Sanayi AS		96,335
	118,330	Eregli Demir ve Celik Fabrikalari TAS		238,915
	151,470	Haci Omer Sabanci Holding AS		219,779
	256,242	KOC Holding AS *		320,314
	114,000	Sekerbank TAS		59,035
	47,500	Tekfen Holding AS		73,377
	40,384	Tupras-Turkiye Petrol Rafineriler AS		366,283
	67,730	Turk Hava Yollari Anonim Ortakligi *		222,978
	159,100	Turk Sise ve Cam Fabrikalari AS *		89,063
	139,180	Turk Telekomunikasyon AS *		318,458
	243,987	Turkcell Iletisim Hizmet AS		1,208,210
	656,290	Turkiye Garanti Bankasi *		800,241
	60,160	Turkiye Halk Bankasi AS		126,597
	217,520	Turkiye IS Bankasi Class C		421,311
	245,375	Turkiye Sinai Kalkinma Bankasi AS *		96,773
	297,970	Turkiye Vakiflar Bankasi TAO Class D		190,216
	144,900	Vestel Elektronik Sanayi *		67,852
	225,300	Yapi ve Kredi Bankasi AS *		219,442
		Total Turkey		5,864,540
		TOTAL COMMON STOCKS (COST $144,498,873)		93,424,342

See accompanying notes to the financial statements.

15

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		PREFERRED STOCKS — 12.3%
		Brazil — 11.9%
	127,700	Aracruz SA Class B (Registered) 11.82%		91,314
	113,012	Banco Bradesco SA 0.84%		978,234
	132,125	Banco Itau Holding Financeira SA 0.65%		1,226,551
	24,700	Bradespar SA 1.89%		231,362
	25,300	Brasil Telecom Participacoes SA 6.99%		158,694
	14,300	Brasil Telecom SA 6.36%		69,903
	14,500	Companhia Brasileira de Distribuicao Grupo Pao de Acucar 0.79%		174,565
	12,200	Companhia de Bebidas das Americas 4.31%		489,194
	3,900	Companhia de Transmissao de Energia Eletrica Paulista 1.82%		73,877
	68,793	Companhia Energetica de Minas Gerais 2.63%		956,497
	42,200	Companhia Paranaense de Energia Class B 1.17%		393,519
	146,156	Companhia Vale do Rio Doce Class A 4.07%		1,639,778
	14,100	Duratex SA 2.64%		90,152
	22,500	Electrobras (Centro) SA Class B 6.65%		228,161
	21,600	Eletropaulo Metropolitana SA 7.61%		264,558
	66,800	Gerdau Metalurgica SA 2.46%		466,209
	100,708	Gerdau SA 1.29%		533,145
	263,027	Itausa-Investimentos Itau SA 0.81%		777,620
	23,900	Net Servicos de Comunicacoa SA *		151,411
	183,424	Petroleo Brasileiro SA (Petrobras) 0.10%		2,024,920
	28,300	Petroleo Brasileiro SA Sponsored ADR 0.10%		633,354
	115,900	Sadia SA 1.33%		138,611
	12,230	Tele Norte Leste Participacoes ADR 1.03%		148,228
	31,600	Tele Norte Leste Participacoes SA 0.71%		391,796
	9,400	Telecomunicacoes de Sao Paulo SA 10.06%		173,700
	5,700	Telemar Norte Leste SA Class A 3.13%		111,240
	53,400	Usinas Siderrurgicas de Minas Gerais SA Class A 1.93%		579,017
		Total Brazil		13,195,610
		Russia — 0.1%
	500	Transneft 3.44%		95,607

See accompanying notes to the financial statements.

16

GMO Emerging Countries Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		South Korea — 0.3%
	8,770	Hyundai Motor Co 5.64%		100,565
	1,492	Samsung Electronics Co Ltd (Non Voting) 3.79%		264,258
		Total South Korea		364,823
		TOTAL PREFERRED STOCKS (COST $19,463,294)		13,656,040
		INVESTMENT FUNDS — 0.1%
		United States — 0.1%
	8,205	iShares MSCI Emerging Markets Index Fund (b)		174,192
		TOTAL INVESTMENT FUNDS (COST $203,131)		174,192
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	205	Net Servicos de Comunicacao SA Rights, Expires 12/31/49 *		119
		South Korea — 0.0%
	5,880	Shinhan Financial Group Co Ltd Rights, Expires 03/19/09 *		12,270
		TOTAL RIGHTS AND WARRANTS (COST $31,068)		12,389
		SHORT-TERM INVESTMENTS — 1.9%
	59,894	Banco Santander Time Deposit, 0.02%, due 03/02/09		59,894
	15,809	Brown Brothers Harriman Time Deposit, 0.08%-9.25%, due 03/02/09		15,809
	2,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		2,000,000
		TOTAL SHORT-TERM INVESTMENTS (COST $2,075,703)		2,075,703
		TOTAL INVESTMENTS — 98.6% (Cost $166,272,069)		109,342,666
		Other Assets and Liabilities (net) — 1.4%		1,507,516
		TOTAL NET ASSETS — 100.0%	$	110,850,182

See accompanying notes to the financial statements.

17

GMO Emerging Countries Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/29/09	HUF		25,668,900	$	107,329	$	329
Sales
4/29/09	HUF		194,979,400	$	815,262	$	31,738

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

MTN - Medium Term Note

NVDR - Non-Voting Depository Receipt

*  Non-income producing security.

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

(b)  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

Currency Abbreviations:

HUF - Hungarian Forint

See accompanying notes to the financial statements.

18

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $166,272,069) (Note 2)	$	109,342,666
Cash		1,550,649
Foreign currency, at value (cost $271,083) (Note 2)		267,814
Receivable for investments sold		2,909,320
Receivable for Fund shares sold		38,529
Dividends and interest receivable		507,306
Foreign taxes receivable		228,138
Unrealized appreciation on open forward currency contracts (Note 2)		32,067
Receivable for expenses reimbursed by Manager (Note 3)		34,385
Miscellaneous receivable		179,611
Total assets		115,090,485
Liabilities:
Payable for investments purchased		3,515,768
Payable for Fund shares repurchased		61,085
Payable to affiliate for (Note 3):
Management fee		59,929
Shareholder service fee		11,091
Administration fee – Class M		3,653
Trustees and Chief Compliance Officer of GMO Trust fees		350
Payable for 12b-1 fee – Class M		9,128
Miscellaneous payable		123,164
Accrued expenses		456,135
Total liabilities		4,240,303
Net assets	$	110,850,182

See accompanying notes to the financial statements.

19

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	252,654,640
Distributions in excess of net investment income		(49,506	)
Distributions in excess of net realized gain		(84,781,410	)
Net unrealized depreciation		(56,973,542	)
	$	110,850,182
Net assets attributable to:
Class III shares	$	89,902,027
Class M shares	$	20,948,155
Shares outstanding:
Class III		17,756,717
Class M		4,189,761
Net asset value per share:
Class III	$	5.06
Class M	$	5.00

See accompanying notes to the financial statements.

20

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $1,187,351)	$	8,712,502
Interest		139,469
Securities lending income		14,832
Total investment income		8,866,803
Expenses:
Management fee (Note 3)		1,702,677
Shareholder service fee – Class III (Note 3)		350,077
12b-1 fee – Class M (Note 3)		71,415
Administration fee – Class M (Note 3)		57,132
Custodian and fund accounting agent fees		1,105,543
Transfer agent fees		51,252
Audit and tax fees		124,552
Legal fees		36,928
Trustees fees and related expenses (Note 3)		4,801
Registration fees		28,365
Miscellaneous		10,224
Total expenses		3,542,966
Fees and expenses reimbursed by Manager (Note 3)		(399,673	)
Expense reductions (Note 2)		(5,865	)
Net expenses		3,137,428
Net investment income (loss)		5,729,375
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments (net of foreign capital gains tax of $14,592) (Note 2)		(78,022,210	)
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $554) (Note 2)		(1,133,517	)
Net realized gain (loss)		(79,155,727	)
Change in net unrealized appreciation (depreciation) on:
Investments (net of change in foreign capital gains tax accrual of $(17,159)) (Note 2)		(130,134,573	)
Foreign currency, forward contracts and foreign currency related transactions		(74,637	)
Net unrealized gain (loss)		(130,209,210	)
Net realized and unrealized gain (loss)		(209,364,937	)
Net increase (decrease) in net assets resulting from operations	$	(203,635,562	)

See accompanying notes to the financial statements.

21

GMO Emerging Countries Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,729,375		$	5,408,824
Net realized gain (loss)		(79,155,727	)		118,746,655
Change in net unrealized appreciation (depreciation)		(130,209,210	)		(14,494,242	)
Net increase (decrease) in net assets from operations		(203,635,562	)		109,661,237
Distributions to shareholders from:
Net investment income
Class III		(3,618,944	)		(6,266,144	)
Class M		(355,007	)		(465,425	)
Total distributions from net investment income		(3,973,951	)		(6,731,569	)
Net realized gains
Class III		(45,733,749	)		(113,812,595	)
Class M		(3,890,739	)		(10,207,292	)
Total distributions from net realized gains		(49,624,488	)		(124,019,887	)
		(53,598,439	)		(130,751,456	)
Net share transactions (Note 7):
Class III		(62,229,331	)		51,505,212
Class M		27,387,567			3,819,194
Increase (decrease) in net assets resulting from net share transactions		(34,841,764	)		55,324,406
Total increase (decrease) in net assets		(292,075,765	)		34,234,187
Net assets:
Beginning of period		402,925,947			368,691,760
End of period (including distributions in excess of net investment income of $49,506 and $1,034,768, respectively)	$	110,850,182		$	402,925,947

See accompanying notes to the financial statements.

22

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	15.26		$	16.04		$	19.20		$	15.99		$	14.99
Income (loss) from investment operations:
Net investment income (loss)†		0.24			0.23			0.32			0.28			0.30
Net realized and unrealized gain (loss)		(8.10	)		4.87			2.50			5.09			3.43
Total from investment operations		(7.86	)		5.10			2.82			5.37			3.73
Less distributions to shareholders:
From net investment income		(0.22	)		(0.30	)		(0.36	)		(0.35	)		(0.31	)
From net realized gains		(2.12	)		(5.58	)		(5.62	)		(1.81	)		(2.42	)
Total distributions		(2.34	)		(5.88	)		(5.98	)		(2.16	)		(2.73	)
Net asset value, end of period	$	5.06		$	15.26		$	16.04		$	19.20		$	15.99
Total Return		(58.58	)%(a)		30.68	%(a)		16.20	%		36.38	%(a)		28.76	%(a)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	89,902		$	371,540		$	339,268		$	346,018		$	249,005
Net expenses to average daily net assets		1.16	%(b)		1.11	%(b)		1.06	%		1.10	%		1.10	%
Net investment income to average daily net assets		2.25	%		1.31	%		1.74	%		1.68	%		2.12	%
Portfolio turnover rate		128	%		72	%		58	%		35	%		53	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.14	%		0.03	%		—			0.01	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

23

GMO Emerging Countries Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	15.07		$	15.90		$	19.05		$	15.87		$	14.91
Income (loss) from investment operations:
Net investment income (loss)†		0.16			0.18			0.30			0.27			0.26
Net realized and unrealized gain (loss)		(7.92	)		4.82			2.44			5.00			3.39
Total from investment operations		(7.76	)		5.00			2.74			5.27			3.65
Less distributions to shareholders:
From net investment income		(0.19	)		(0.25	)		(0.27	)		(0.28	)		(0.27	)
From net realized gains		(2.12	)		(5.58	)		(5.62	)		(1.81	)		(2.42	)
Total distributions		(2.31	)		(5.83	)		(5.89	)		(2.09	)		(2.69	)
Net asset value, end of period	$	5.00		$	15.07		$	15.90		$	19.05		$	15.87
Total Return		(58.67	)%(a)		30.29	%(a)		15.89	%		35.99	%(a)		28.30	%(a)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	20,948		$	31,386		$	29,423		$	57,136		$	69,109
Net expenses to average daily net assets		1.48	%(b)		1.41	%(b)		1.36	%		1.39	%		1.40	%
Net investment income to average daily net assets		1.68	%		0.99	%		1.63	%		1.65	%		1.82	%
Portfolio turnover rate		128	%		72	%		58	%		35	%		53	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.23	%		0.03	%		—			0.01	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

24

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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/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 countries ("emerging countries"), which excludes countries that are included in the MSCI EAFE Index. The Fund normally invests at least 80% of its assets in investments tied economically to emerging countries.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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

25

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 62.93% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund's securities in Thailand were subject to a premium adjustment upon exceeding foreign ownership limitations.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	34,219,077	$	—
Level 2 - Other Significant Observable Inputs		69,770,841		32,067
Level 3 - Significant Unobservable Inputs		5,352,748		—
Total	$	109,342,666	$	32,067

*  Other financial instruments include forward currency contracts.

26

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	20,880,690		$	—
Realized gain (loss)		(4,423,366	)		—
Change in unrealized appreciation/depreciation		(7,812,044	)		—
Net purchases (sales)		(3,292,532	)		—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	5,352,748		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

27

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from

28

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. The Fund had no indexed securities outstanding at the end of the period.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

29

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss in the Statement of Operations.

30

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Payments received or made on swap agreements are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon termination of the swap agreements.

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. The Fund had no securities on loan at February 28, 2009.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

31

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 28, 2009, the Fund incurred $14,592 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 0.30% of the transaction amount on equities, which must be paid by the Fund upon the sale or transfer of any portfolio securities subject to that 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. For the year ended February 28, 2009, the Fund incurred $554 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to foreign currency transactions, losses on wash sale transactions, passive foreign investment company transactions, adjustments related to securities on loan 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income			Distributions In Excess of Net Realized Gain		Paid-in Capital
$	(770,162	)	$	770,162	$	—

32

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/28/2008
Ordinary income (including any net short-term capital gain)	$	7,965,253	$	22,711,741
Net long-term capital gain		45,633,186		108,039,715
Total distributions	$	53,598,439	$	130,751,456

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including net any short-term capital gain)	$	35,641
Undistributed net long-term capital gain	$	479,385

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $72,060,837.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	179,398,575	$	1,216,165	$	(71,272,074	)	$	(70,055,909	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

33

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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, 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 risks that are not presented by many other investments. Many emerging countries are subject to 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 expropriate or impose various types of foreign currency regulations or controls that impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities of companies in some countries based on the Manager's expectations that conditions in those countries will improve. These factors may result in significant volatility in the values of the Fund's 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 the values it has placed on its holdings.

34

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net assets Class M shares.

Through at least June 30, 2009, The Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 1.00% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, administration and distribution (12b-1) 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

35

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $4,316 and $1,856, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $325,812,499 and $395,557,434, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 65.46% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.16% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 2.58% of the Fund's shares were held by accounts for which the Manager had investment discretion.

36

GMO Emerging Countries Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		8,395,532		$	66,791,311			957,007		$	16,034,781
Shares issued to shareholders in reinvestment of distributions		4,479,699			46,605,889			6,663,042			113,483,330
Shares repurchased		(19,463,147	)		(175,626,531	)		(4,425,134	)		(78,012,899	)
Net increase (decrease)		(6,587,916	)	$	(62,229,331	)		3,194,915		$	51,505,212
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class M:	Shares			Amount			Shares			Amount
Shares sold		6,833,888		$	59,787,842			628,963		$	10,927,518
Shares issued to shareholders in reinvestment of distributions		433,569			4,245,746			634,368			10,672,717
Shares repurchased		(5,160,510	)		(36,646,021	)		(1,031,321	)		(17,781,041	)
Net increase (decrease)		2,106,947		$	27,387,567			232,010		$	3,819,194

37

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

38

GMO Emerging Countries Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		1.19	%	$	1,000.00	$	497.00	$	4.42
2) Hypothetical		1.19	%	$	1,000.00	$	1,018.89	$	5.96
Class M
1) Actual		1.49	%	$	1,000.00	$	496.70	$	5.53
2) Hypothetical		1.49	%	$	1,000.00	$	1,017.41	$	7.45

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

39

GMO Emerging Countries Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $45,633,186 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $1,197,971 and recognized foreign source income of $9,899,853.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $3,991,302 or if determined to be different, the qualified short-term capital 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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

42

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

43

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

44

GMO Global Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Growth Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Global Growth Fund returned -42.4% for the fiscal year ended February 28, 2009, as compared to -47.1% for the MSCI World Index and -45.2% for the MSCI World Growth Index (the Fund's benchmark). The Fund was invested substantially in global equity securities throughout the period.

Stock selection had a strong positive impact on performance relative to the Fund's benchmark. Among the most significant contributors were holdings in U.S. pharmaceutical Johnson & Johnson and U.S. oil company ExxonMobil, both of which outperformed. Holdings in Royal Bank of Scotland and Barclays underperformed, which hurt returns.

Among GMO's global quantitative stock selection disciplines, stocks ranked highly by intrinsic value (with its boost of high quality) outperformed significantly. Momentum had mixed results. Price momentum worked well while earnings revision momentum did not.

Country allocation had a slight positive impact on performance relative to the Fund's benchmark. Our small underweights in Japan and Germany and holding small cash balances in a falling market were mainly responsible.

Sector weightings had a negative impact on performance relative to the Fund's benchmark. During the period, an overweight position in Energy detracted despite our overweight in Health Care, which helped.

Currency allocation had a positive impact on performance relative to the Fund's benchmark as our underweight in the British pound and Australian dollar added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI World Index returned almost 5% more in local currency terms than in U.S. dollars.

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.

*  Effective January 1, 2009, the benchmark for the Global Growth Fund was changed from the S&P Developed Large Mid Cap Growth Index to the MSCI World Growth Index.This change was applicable retroactively as well as going forward.

GMO Global Growth Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		100.1	%
Short-Term Investments		1.7
Forward Currency Contracts		(0.6	)
Other		(1.2	)
		100.0	%
Country Summary	% of Equity Investments
United States		59.0	%
United Kingdom		11.6
Japan		8.3
France		4.7
Canada		4.6
Switzerland		4.3
Germany		2.5
Singapore		1.2
Hong Kong		0.8
Denmark		0.7
Italy		0.7
Australia		0.6
Netherlands		0.5
Norway		0.3
Finland		0.1
Spain		0.1
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		21.0	%
Consumer Staples		15.6
Information Technology		14.5
Energy		11.5
Industrials		10.0
Consumer Discretionary		9.2
Materials		6.7
Financials		6.2
Utilities		2.7
Telecommunication Services		2.6
		100.0	%

1

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 100.1%
		Australia — 0.6%
	799	CSL Ltd		18,478
	938	Woodside Petroleum Ltd		21,348
		Total Australia		39,826
		Canada — 4.6%
	200	Agnico-Eagle Mines Ltd		10,053
	600	Agrium Inc		20,832
	900	Bank of Nova Scotia		20,311
	700	Canadian National Railway Co		22,482
	600	Canadian Natural Resources		19,289
	600	Canadian Pacific Railway Ltd		16,979
	900	EnCana Corp		35,513
	1,000	Husky Energy Inc		21,380
	300	Imperial Oil Ltd		9,371
	900	Petro-Canada		19,865
	700	Potash Corp of Saskatchewan Inc		58,753
	800	Research In Motion Ltd *		31,970
	700	Suncor Energy Inc		14,559
	1,400	Talisman Energy Inc		13,151
		Total Canada		314,508
		Denmark — 0.7%
	671	Novo-Nordisk A/S Class B		32,673
	375	Vestas Wind Systems A/S *		16,329
		Total Denmark		49,002
		Finland — 0.1%
	201	Fortum Oyj		3,452
		France — 4.7%
	1,279	ArcelorMittal		24,514
	1,148	BNP Paribas		37,178

See accompanying notes to the financial statements.

2

GMO Global Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		France — continued
	925	Electricite de France		35,847
	282	GDF Suez		8,906
	341	Pernod-Ricard SA		18,568
	937	Peugeot SA		15,944
	1,952	Sanofi-Aventis		100,327
	890	Societe Generale		27,588
	869	Total SA		40,827
	147	Vallourec SA		11,442
		Total France		321,141
		Germany — 2.5%
	3,109	Deutsche Telekom AG (Registered)		37,597
	1,226	E.ON AG		31,526
	832	K&S AG		37,035
	300	Linde AG		19,279
	145	RWE AG		9,223
	1,114	SAP AG		35,787
		Total Germany		170,447
		Hong Kong — 0.8%
	2,000	CLP Holdings Ltd		14,785
	3,000	Esprit Holdings Ltd		16,156
	200	Hang Seng Bank Ltd		2,213
	14,800	Hong Kong & China Gas		22,319
		Total Hong Kong		55,473
		Italy — 0.7%
	2,220	ENI SPA		44,310
		Japan — 8.3%
	300	Astellas Pharma Inc		9,955
	500	Daiichi Sankyo Co Ltd		8,033
	400	Fast Retailing Co Ltd		40,180
	4,000	Hitachi Ltd		9,961

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	2,800	Honda Motor Co Ltd		66,956
	4	KDDI Corp		20,955
	5,000	Marubeni Corp		15,523
	900	Mitsubishi Corp		11,197
	6,000	Mitsubishi Heavy Industries Ltd		16,800
	200	Nintendo Co Ltd		57,100
	3,500	Nippon Mining Holdings Inc		12,156
	4,000	Nippon Oil Corp		19,063
	2,000	Nippon Yusen KK		8,250
	7,700	Nissan Motor Co		23,506
	19	NTT Docomo Inc		29,599
	5,000	Osaka Gas Co Ltd		17,878
	1,000	Panasonic Corp		11,578
	2,300	Seven & I Holdings Co Ltd		50,972
	900	Shin-Etsu Chemical Co Ltd		40,069
	700	SoftBank Corp		8,470
	1,000	SUMCO Corp		12,390
	8,000	Sumitomo Metal Industries Ltd		14,986
	500	Takeda Pharmaceutical Co Ltd		20,195
	600	Tokio Marine Holdings Inc		13,627
	400	Tokyo Electric Power Co Inc (The)		11,292
	1,000	TonenGeneral Sekiyu KK		9,449
		Total Japan		560,140
		Netherlands — 0.5%
	3,394	ING Groep NV		15,342
	900	Unilever NV		17,245
		Total Netherlands		32,587
		Norway — 0.4%
	1,438	StatoilHydro ASA		23,875

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 28, 2009

Shares		Description	Value ($)
		Singapore — 1.2%
	2,800	Singapore Airlines Ltd		18,244
	15,000	Singapore Technologies Engineering Ltd		22,158
	26,320	Singapore Telecommunications		41,423
		Total Singapore		81,825
		Spain — 0.1%
	426	Gas Natural SDG SA		7,637
		Switzerland — 4.3%
	1,878	ABB Ltd *		22,670
	500	Alcon Inc		41,180
	1,173	Nestle SA (Registered)		38,346
	2,512	Novartis AG (Registered)		91,646
	198	Roche Holding AG (Non Voting)		22,476
	115	Syngenta AG (Registered)		24,584
	5,371	UBS AG (Registered) *		50,294
		Total Switzerland		291,196
		United Kingdom — 11.6%
	2,932	AstraZeneca Plc		92,979
	8,024	BAE Systems Plc		42,362
	16,782	Barclays Plc		22,017
	5,270	BG Group Plc		75,331
	1,021	BHP Billiton Plc		15,912
	10,684	BP Plc		68,065
	2,468	British American Tobacco Plc		63,083
	5,402	Centrica Plc		20,775
	4,597	GlaxoSmithKline Plc		69,722
	1,960	HSBC Holdings Plc		13,632
	1,191	Imperial Tobacco Group Plc		28,515
	2,703	Lloyds Banking Group Plc		2,219
	1,227	Next Plc		20,347
	25,270	Old Mutual Plc		14,850
	1,332	Reckitt Benckiser Group Plc		50,970

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	4,130	Reed Elsevier Plc		30,853
	749	Rio Tinto Plc		19,120
	35,586	Royal Bank of Scotland Group Plc		11,590
	1,921	Royal Dutch Shell Plc A Shares (London)		42,174
	1,183	Unilever Plc		22,853
	23,640	Vodafone Group Plc		41,888
	1,835	Xstrata Plc		18,078
		Total United Kingdom		787,335
		United States — 59.0%
	1,800	3M Co.		81,828
	2,600	Abbott Laboratories		123,084
	1,100	Accenture Ltd.-Class A		32,109
	300	ACE Ltd.		10,953
	1,000	Adobe Systems, Inc. *		16,700
	800	Aflac, Inc.		13,408
	900	Altera Corp.		13,797
	200	Amazon.com, Inc. *		12,958
	1,100	Amgen, Inc. *		53,823
	600	Anadarko Petroleum Corp.		20,970
	400	Aon Corp.		15,296
	200	Apache Corp.		11,818
	300	Apollo Group, Inc.-Class A *		21,750
	700	Archer-Daniels-Midland Co.		18,662
	600	Assurant, Inc.		12,240
	1,700	Automatic Data Processing, Inc.		58,055
	100	AutoZone, Inc. *		14,223
	500	Avon Products, Inc.		8,795
	300	Bard (C.R.), Inc.		24,078
	1,400	Baxter International, Inc.		71,274
	700	Becton, Dickinson & Co.		43,323
	100	BlackRock, Inc.		9,681
	700	Broadcom Corp.-Class A *		11,515
	400	Burlington Northern Santa Fe Corp.		23,508

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	1,100	CA, Inc.		18,645
	500	Cardinal Health, Inc.		16,225
	500	CH Robinson Worldwide, Inc.		20,690
	1,400	Charles Schwab Corp. (The)		17,794
	500	Chevron Corp.		30,355
	200	Clorox Co.		9,720
	900	Coach, Inc. *		12,582
	1,800	Coca-Cola Co. (The)		73,530
	700	Cognizant Technology Solutions Corp.-Class A *		12,880
	600	Colgate-Palmolive Co.		36,108
	800	Comcast Corp.-Class A		10,448
	300	ConocoPhillips		11,205
	1,700	Corning, Inc.		17,935
	400	Covidien Ltd.		12,668
	500	CSX Corp.		12,340
	1,000	Dell, Inc. *		8,530
	400	Devon Energy Corp.		17,468
	200	Diamond Offshore Drilling, Inc.		12,528
	1,000	DirecTV Group (The), Inc. *		19,940
	500	Dollar Tree, Inc. *		19,410
	800	Ecolab, Inc.		25,424
	400	EOG Resources, Inc.		20,016
	700	Equity Residential REIT		12,320
	700	Expeditors International of Washington, Inc.		19,285
	300	Express Scripts, Inc. *		15,090
	400	Family Dollar Stores, Inc.		10,976
	300	Fastenal Co.		9,036
	200	First Solar, Inc. *		21,148
	900	FLIR Systems, Inc. *		18,369
	1,000	Forest Laboratories, Inc. *		21,440
	900	Gap (The), Inc.		9,711
	200	Genentech, Inc. *		17,110
	1,100	General Dynamics Corp.		48,202
	200	General Mills, Inc.		10,496

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	1,000	Gilead Sciences, Inc. *		44,800
	300	Google, Inc.-Class A *		101,397
	1,000	Halliburton Co.		16,310
	500	Health Care REIT, Inc.		15,385
	400	Hess Corp.		21,876
	2,100	Hewlett-Packard Co.		60,963
	1,200	Hudson City Bancorp, Inc.		12,444
	700	Illinois Tool Works, Inc.		19,460
	1,700	International Business Machines Corp.		156,451
	900	Intuit, Inc. *		20,511
	100	ITT Educational Services, Inc. *		11,350
	5,900	Johnson & Johnson		295,000
	1,100	Juniper Networks, Inc. *		15,631
	500	Kellogg Co.		19,460
	900	Kroger Co. (The)		18,603
	400	Linear Technology Corp.		8,720
	300	Lockheed Martin Corp.		18,933
	1,000	Marsh & McLennan Cos., Inc.		17,930
	200	MasterCard, Inc.-Class A		31,606
	800	Mattel, Inc.		9,472
	300	McAfee, Inc. *		8,385
	2,200	McDonald's Corp.		114,950
	700	McGraw-Hill Cos. (The), Inc.		13,811
	700	Medco Health Solutions, Inc. *		28,406
	1,700	Medtronic, Inc.		50,303
	1,700	Merck & Co., Inc.		41,140
	3,000	Microsoft Corp.		48,450
	800	Monsanto Co.		61,016
	500	Mosaic Co. (The)		21,525
	500	National Oilwell Varco, Inc. *		13,365
	1,100	Nike, Inc.-Class B		45,683
	200	Noble Energy, Inc.		9,108
	600	Norfolk Southern Corp.		19,032
	300	Northern Trust Corp.		16,665

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 28, 2009

Shares		Description	Value ($)
		United States — continued
	300	Nucor Corp.		10,095
	500	Occidental Petroleum Corp.		25,935
	1,900	Oracle Corp. *		29,526
	1,500	Paychex, Inc.		33,090
	3,800	PepsiCo, Inc.		182,932
	300	Praxair, Inc.		17,025
	200	Priceline.com Inc. *		16,972
	1,300	Procter & Gamble Co. (The)		62,621
	300	Public Storage REIT		16,644
	1,400	Qualcomm, Inc.		46,802
	200	Raytheon Co.		7,994
	400	Rockwell Collins, Inc.		12,480
	400	Ross Stores, Inc.		11,808
	600	Schering-Plough Corp.		10,434
	400	Schlumberger Ltd.		15,224
	200	Sherwin-Williams Co. (The)		9,190
	400	Sigma-Aldrich Corp.		14,280
	800	Southwestern Energy Co. *		23,016
	400	St. Jude Medical, Inc. *		13,264
	800	State Street Corp.		20,216
	1,100	Stryker Corp.		37,037
	300	Sunoco, Inc.		10,035
	1,200	Symantec Corp. *		16,596
	1,900	Sysco Corp.		40,850
	800	TJX Cos. (The), Inc.		17,816
	1,400	Tyco Electronics Ltd.		13,272
	700	Union Pacific Corp.		26,264
	1,000	United Parcel Service, Inc.-Class B		41,180
	1,400	United Technologies Corp.		57,162
	300	VF Corp.		15,570
	200	W.W. Grainger, Inc.		13,232
	5,800	Wal-Mart Stores, Inc.		285,592
	1,300	Weatherford International Ltd. *		13,871
	1,400	Western Union Co.		15,624

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		United States — continued
	1,000	Xilinx, Inc.		17,680
	500	XTO Energy, Inc.		15,830
		Total United States		3,998,772
		TOTAL COMMON STOCKS (COST $10,563,014)		6,781,526
		SHORT-TERM INVESTMENTS — 1.7%
	4,254	Brown Brothers Harriman Time Deposit, 0.01%-2.29%, due 03/02/09		4,254
	112,367	Citibank Time Deposit, 0.08%, due 03/02/09		112,367
		TOTAL SHORT-TERM INVESTMENTS (COST $116,621)		116,621
		TOTAL INVESTMENTS — 101.8% (Cost $10,679,635)		6,898,147
		Other Assets and Liabilities (net) — (1.8%)		(123,061	)
		TOTAL NET ASSETS — 100.0%	$	6,775,086

See accompanying notes to the financial statements.

10

GMO Global Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	CHF		214,729	$	183,759	$	(1,685	)
4/24/09	CHF		89,963		76,988		128
4/24/09	CHF		87,317		74,724		203
4/24/09	CHF		87,317		74,724		426
4/24/09	EUR		131,654		166,861		1,034
4/24/09	GBP		30,519		43,686		(530	)
4/24/09	JPY		18,413,646		188,881		(11,456	)
4/24/09	JPY		17,872,068		183,325		(11,274	)
4/24/09	JPY		17,872,068		183,325		(11,183	)
4/24/09	NOK		166,473		23,639		(1,231	)
4/24/09	NZD		20,901		10,431		(176	)
4/24/09	SEK		973,865		108,119		(3,316	)
4/24/09	SEK		973,865		108,119		(2,248	)
4/24/09	SGD		57,791		37,326		(531	)
				$	1,463,907	$	(41,839	)
Sales
4/24/09	AUD		55,003	$	35,042	$	(105	)
4/24/09	CAD		44,760		35,186		251
4/24/09	DKK		186,761		31,722		(301	)
4/24/09	DKK		133,793		22,726		273
4/24/09	EUR		245,025		310,550		3,765
4/24/09	GBP		77,446		110,860		(712	)
4/24/09	GBP		116,168		166,289		(613	)
4/24/09	HKD		78,969		10,187		2
4/24/09	NOK		257,129		36,512		(37	)
4/24/09	SGD		49,856		32,201		914
				$	791,275	$	3,437

See accompanying notes to the financial statements.

11

GMO Global Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

12

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $10,679,635) (Note 2)	$	6,898,147
Foreign currency, at value (cost $316) (Note 2)		295
Dividends receivable		21,726
Foreign taxes receivable		4,386
Unrealized appreciation on open forward currency contracts (Note 2)		6,996
Receivable for expenses reimbursed by Manager (Note 3)		18,831
Total assets		6,950,381
Liabilities:
Payable to affiliate for (Note 3):
Management fee		2,544
Shareholder service fee		848
Trustees and Chief Compliance Officer of GMO Trust fees		81
Unrealized depreciation on open forward currency contracts (Note 2)		45,398
Miscellaneous payable		2,239
Accrued expenses		124,185
Total liabilities		175,295
Net assets	$	6,775,086
Net assets consist of:
Paid-in capital	$	16,244,089
Accumulated undistributed net investment income		62,510
Distributions in excess of net realized gain		(5,711,291	)
Net unrealized depreciation		(3,820,222	)
	$	6,775,086
Net assets attributable to:
Class III shares	$	6,775,086
Shares outstanding:
Class III		519,848
Net asset value per share:
Class III	$	13.03

See accompanying notes to the financial statements.

13

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $41,910)	$	630,751
Securities lending income		8,755
Interest		8,488
Total investment income		647,994
Expenses:
Management fee (Note 3)		108,471
Shareholder service fee – Class III (Note 3)		35,366
Custodian and fund accounting agent fees		163,463
Transfer agent fees		27,399
Audit and tax fees		81,761
Legal fees		581
Trustees fees and related expenses (Note 3)		305
Registration fees		2,304
Miscellaneous		3,663
Total expenses		423,313
Fees and expenses reimbursed by Manager (Note 3)		(279,052	)
Expense reductions (Note 2)		(2,832	)
Net expenses		141,429
Net investment income (loss)		506,565
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(5,540,402	)
Closed futures contracts		(42,652	)
Foreign currency, forward contracts and foreign currency related transactions		(547	)
Net realized gain (loss)		(5,583,601	)
Change in net unrealized appreciation (depreciation) on:
Investments		(3,110,559	)
Foreign currency, forward contracts and foreign currency related transactions		(118,686	)
Net unrealized gain (loss)		(3,229,245	)
Net realized and unrealized gain (loss)		(8,812,846	)
Net increase (decrease) in net assets resulting from operations	$	(8,306,281	)

See accompanying notes to the financial statements.

14

GMO Global Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	506,565		$	267,831
Net realized gain (loss)		(5,583,601	)		10,165,594
Change in net unrealized appreciation (depreciation)		(3,229,245	)		(12,289,738	)
Net increase (decrease) in net assets from operations		(8,306,281	)		(1,856,313	)
Distributions to shareholders from:
Net investment income
Class III		(354,277	)		(576,031	)
Net realized gains
Class III		(238,054	)		(1,987,132	)
		(592,331	)		(2,563,163	)
Net share transactions (Note 7):
Class III		(18,893,652	)		(31,353,712	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		48,776			67,093
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(18,844,876	)		(31,286,619	)
Total increase (decrease) in net assets		(27,743,488	)		(35,706,095	)
Net assets:
Beginning of period		34,518,574			70,224,669
End of period (including accumulated undistributed net investment income of $62,510 and distributions in excess of net investment income of $89,207, respectively)	$	6,775,086		$	34,518,574

See accompanying notes to the financial statements.

15

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,
	2009			2008			2007			2006			2005(a)
Net asset value, beginning of period	$	23.82		$	24.59		$	25.13		$	22.67		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.48			0.40			0.31			0.33			0.15
Net realized and unrealized gain (loss)		(10.40	)		0.45	(b)		2.56			2.72			2.79
Total from investment operations		(9.92	)		0.85			2.87			3.05			2.94
Less distributions to shareholders:
From net investment income		(0.70	)		(0.49	)		(0.17	)		(0.10	)		(0.27	)
From net realized gains		(0.17	)		(1.13	)		(3.24	)		(0.49	)		—
Total distributions		(0.87	)		(1.62	)		(3.41	)		(0.59	)		(0.27	)
Net asset value, end of period	$	13.03		$	23.82		$	24.59		$	25.13		$	22.67
Total Return(c)		(42.36	)%		3.10	%		12.45	%		13.61	%		14.72	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	6,775		$	34,519		$	70,225		$	52,195		$	57,960
Net expenses to average daily net assets		0.61	%(d)		0.62	%(d)		0.62	%		0.62	%		0.62	%*
Net investment income to average daily net assets		2.15	%		1.58	%		1.27	%		1.40	%		1.17	%*
Portfolio turnover rate		58	%		158	%		43	%		53	%		40	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		1.18	%		1.37	%		0.37	%		0.34	%		0.51	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.05		$	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 net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund.

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

(d)  The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions (Note 2).

(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.

16

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 Morgan Stanley Capital International ("MSCI") World Growth Index. The Fund typically makes equity investments in companies from the world's developed countries, including the U.S. Effective January 1, 2009, the Fund changed its benchmark from the S&P Developed Large Mid Cap Growth Index (formerly S&P/Citigroup Primary Markets Index (PMI) World Growth Index) to the MSCI World Growth Index to better reflect a more appropriate, comparative, broad-based market index for the Fund.

2.  Significant accounting policies

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

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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material. Because many foreign equity securities markets and exchanges close prior to the close of the

17

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 34.47% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	4,562,727	$	—
Level 2 - Other Significant Observable Inputs		2,335,420		6,996
Level 3 - Significant Unobservable Inputs		—		—
Total	$	6,898,147	$	6,996

*  Other financial instruments include forward currency contracts.

18

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(45,398	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(45,398	)

**  Other financial instruments include forward currency contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

19

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

20

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

21

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing

22

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. The Fund had no securities on loan at February 28, 2009.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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

23

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to differing treatment of dividend reserves, losses on wash sale transactions, derivative contract transactions, capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions in Excess of Net Realized Gain		Paid-in Capital
$	(571	)	$	571	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	592,331	$	680,833
Net long-term capital gain		—		1,882,330
Total distributions	$	592,331	$	2,563,163

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including
any net short-term capital gain) $ 34,436

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $1,243,070.

24

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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:

2/28/2017	$	(4,230,858	)
Total	$	(4,230,858	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	10,914,759	$	12,213	$	(4,028,825	)	$	(4,016,612	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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.

25

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 28, 2009, 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. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that

26

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

counterparty. Such an election by one or more of the counterparties could have a material impact on the Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. Effective June 30, 2008, that fee is paid monthly at the annual rate of 0.45% of average daily net assets. For the period from March 1, 2008 through June 29, 2008, the management fee rate was 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.45% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $305 and $120, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $13,705,683 and $32,230,827, respectively.

27

GMO Global Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 98.71% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.08% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.   Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		799		$	12,435			920,964		$	23,778,708
Shares issued to shareholders in reinvestment of distributions		33,458			591,973			102,111			2,562,902
Shares repurchased		(963,289	)		(19,498,060	)		(2,430,110	)		(57,695,322	)
Purchase premiums		—			31			—			59,409
Redemption fees		—			48,745			—			7,684
Net increase (decrease)		(929,032	)	$	(18,844,876	)		(1,407,035	)	$	(31,286,619	)

8.  Subsequent event

Pursuant to a plan of liquidation adopted by the Board of Trustees of the Fund on March 12, 2009, the Fund was liquidated on March 31, 2009.

28

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The Trustees of the Trust approved a plan to liquidate the Fund on March 12, 2009 and the Fund was subsequently liquidated on March 31, 2009 (see Note 8).

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

29

GMO Global Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.60	%	$	1,000.00	$	595.70	$	2.37
2) Hypothetical		0.60	%	$	1,000.00	$	1,021.82	$	3.01

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

30

GMO Global Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 34.67% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 28, 2009, $238,054 or if determined to be different, the qualified short-term capital gains of such year.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

32

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

33

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

34

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

35

GMO Taiwan Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

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 team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Taiwan Fund returned -47.1% for the fiscal year ended February 28, 2009, as compared to -51.3% for the MSCI Taiwan Index. Consistent with the Fund's investment objectives and policies, throughout the period the Fund was invested substantially in emerging market equities tied economically to Taiwan.

Performance was helped by an overweight in the Telecommunication Services sector and an underweight in the Information Technology sector. The underweight in the Consumer Staples and Energy sectors detracted from performance. Stock selection in the Financials and Information Technology sectors added to performance while stock selection in the Telecommunication Services 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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		1.8
Other		0.3
		100.0	%
Industry Sector Summary	% of Equity Investments
Information Technology		60.3	%
Telecommunication Services		13.4
Financials		11.4
Materials		9.4
Industrials		3.8
Consumer Discretionary		1.6
Energy		0.1
Consumer Staples		0.0
		100.0	%

1

GMO Taiwan Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Taiwan — 97.9%
	1,965,000	Acer Inc		2,572,881
	6,968	Altek Corp		5,858
	5,084	Arima Computer Corp *		476
	1,602,000	Asia Cement Corp		1,182,732
	2,470,599	Asustek Computer Inc		2,332,787
	129,344	AU Optronics Corp		94,220
	1,173,000	Catcher Technology Co Ltd		1,958,134
	276,394	Chi Mei Optoelectronics Corp		88,262
	7,082,000	China Bills Finance Corp *		1,268,015
	5,683,806	China Development Financial Holding Corp		956,394
	4,530	China Motor Corp		1,457
	135,688	China Steel Corp		85,780
	7,290,628	Chinatrust Financial Holding Co Ltd		2,180,917
	7,000	Chunghwa Picture Tubes Ltd		588
	5,426,630	Chunghwa Telecom Co Ltd		8,354,632
	6,537	Chunghwa Telecom Co Ltd ADR		100,343
	4,589,831	Compal Electronics Inc		2,613,661
	5,700	Continental Engineering Corp		1,235
	193,270	Coretronic Corp		100,805
	1,874	D-Link Corp		1,018
	685,420	Delta Electronics Inc		1,079,348
	532,965	DFI Inc		518,956
	1,867,879	Dimerco Express Taiwan Corp		1,027,102
	179,382	Far Eastern Department Stores Ltd		69,603
	2,058,685	Far Eastern Textile Co Ltd		1,216,729
	2,526,507	Far Eastone Telecommunications Co Ltd		2,440,553
	5,372,448	First Financial Holding Co Ltd		2,128,093
	990,169	Formosa Chemicals & Fibre Co		987,836
	18,000	Formosa International Hotels Corp		139,798
	41,077	Formosa Petrochemical Corp		66,854
	97,424	Formosa Plastics Corp		131,857
	4,155,000	Fubon Financial Holding Co Ltd		2,206,956

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 28, 2009

Shares		Description	Value ($)
		Taiwan — continued
	2,000	Gigabyte Technology Co Ltd		838
	45,430	Gloria Material Technology Corp		15,488
	675,254	High Tech Computer Corp		7,323,180
	3,717,285	Hon Hai Precision Industry Co Ltd		7,302,028
	1,000	Hotai Motor Company Ltd		1,302
	96,000	Huaku Development Co Ltd		93,086
	2,882	Innolux Display Corp		2,432
	280,630	KGI Securities Co Ltd		58,772
	25,594	Kinpo Electronics		4,426
	87,000	Largan Precision Co Ltd		611,286
	1,630,588	Les Enphants Co Ltd		728,510
	3,967,407	Lite-On Technology Corp		2,315,615
	862,826	MediaTek Inc		7,401,121
	5,250	Mercuries & Associates Ltd		1,274
	1,079	Micro-Star International Co Ltd		450
	2,056,000	Mitac International Corp		741,929
	367,810	Motech Industries Inc		810,845
	2,173,000	Nan Ya Plastics Corp		2,049,282
	30,000	Nan Ya Printed Circuit Board Corp		59,243
	1,000	Nien Hsing Textile Co Ltd		218
	9,109	Oriental Union Chemical		3,486
	17,000	Prodisc Technology Inc (a) (b) *		470
	10,800	Qisda Corp		1,951
	4,015,709	Quanta Computer Inc		4,054,577
	14,802	Sampo Corp *		1,412
	2,521	Shinkong Synthetic Fibers		278
	1,583,000	Synnex Technology International Corp		1,796,141
	2,403	Systex Corp		1,264
	611,000	Taishin Financial Holding Co Ltd		85,069
	4,251,607	Taiwan Cement Corp		3,147,125
	1,057,000	Taiwan Fertilizer Co Ltd		1,587,293
	1,759,539	Taiwan Mobile Co Ltd		2,286,366
	12,087,567	Taiwan Semiconductor Manufacturing Co Ltd		15,268,333
	9,889	Tsann Kuen Enterprises Co Ltd		3,244

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		Taiwan — continued
	2,409	TXC Corp		1,834
	542,000	U-Ming Marine Transport Corp		686,251
	5,250	Uni-President Enterprises Corp		3,871
	231,789	Unimicron Technology Corp		103,249
	16,000	USI Corp		4,601
	9,760	Wan Hai Lines Ltd		3,654
	639,933	Waterland Financial Holdings		101,757
	1,842,786	Wistron Corp		1,391,916
	2,968,195	Ya Hsin Industrial Co Ltd (a) (b) *		850
	14,716	Yang Ming Marine Transport		3,722
	3,084	Yieh Phui Enterprise		769
	5,898,000	Yuanta Financial Holding Co Ltd		2,120,893
	2,000	Yungtay Engineering Co Ltd		743
		Total Taiwan		98,096,324
		TOTAL COMMON STOCKS (COST $125,928,272)		98,096,324
		SHORT-TERM INVESTMENTS — 1.8%
	700,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		700,000
	1,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		1,000,000
	97,284	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		97,284
		TOTAL SHORT-TERM INVESTMENTS (COST $1,797,284)		1,797,284
		TOTAL INVESTMENTS — 99.7% (Cost $127,725,556)		99,893,608
		Other Assets and Liabilities (net) — 0.3%		282,452
		TOTAL NET ASSETS — 100.0%	$	100,176,060

See accompanying notes to the financial statements.

4

GMO Taiwan Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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).

See accompanying notes to the financial statements.

5

GMO Taiwan Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $127,725,556) (Note 2)	$	99,893,608
Foreign currency, at value (cost $3,369,048) (Note 2)		3,368,837
Receivable for investments sold		3,450,229
Interest receivable		20
Total assets		106,712,694
Liabilities:
Payable for investments purchased		3,005,883
Payable for Fund shares repurchased		3,218,000
Payable to affiliate for (Note 3):
Management fee		66,061
Shareholder service fee		12,234
Trustees and Chief Compliance Officer of GMO Trust fees		303
Accrued expenses		234,153
Total liabilities		6,536,634
Net assets	$	100,176,060
Net assets consist of:
Paid-in capital	$	181,279,962
Accumulated undistributed net investment income		2,148,460
Distributions in excess of net realized gain		(55,418,600	)
Net unrealized depreciation		(27,833,762	)
	$	100,176,060
Net assets attributable to:
Class III shares	$	100,176,060
Shares outstanding:
Class III		9,055,632
Net asset value per share:
Class III	$	11.06

See accompanying notes to the financial statements.

6

GMO Taiwan Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $1,860,426)	$	7,461,822
Interest		60,012
Total investment income		7,521,834
Expenses:
Management fee (Note 3)		1,285,293
Shareholder service fee – Class III (Note 3)		238,017
Custodian and fund accounting agent fees		459,381
Transfer agent fees		26,972
Audit and tax fees		78,367
Legal fees		6,496
Trustees fees and related expenses (Note 3)		1,948
Miscellaneous		3,573
Total expenses		2,100,047
Expense reductions (Note 2)		(948	)
Net expenses		2,099,099
Net investment income (loss)		5,422,735
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(53,951,301	)
Foreign currency, forward contracts and foreign currency related transactions		(525,369	)
Net realized gain (loss)		(54,476,670	)
Change in net unrealized appreciation (depreciation) on:
Investments		(38,053,910	)
Foreign currency, forward contracts and foreign currency related transactions		(29,725	)
Net unrealized gain (loss)		(38,083,635	)
Net realized and unrealized gain (loss)		(92,560,305	)
Net increase (decrease) in net assets resulting from operations	$	(87,137,570	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,422,735		$	5,859,879
Net realized gain (loss)		(54,476,670	)		59,520,538
Change in net unrealized appreciation (depreciation)		(38,083,635	)		(38,936,381	)
Net increase (decrease) in net assets from operations		(87,137,570	)		26,444,036
Distributions to shareholders from:
Net investment income
Class III		(2,600,079	)		(6,074,310	)
Net realized gains
Class III		(7,935,155	)		(75,886,885	)
		(10,535,234	)		(81,961,195	)
Net share transactions (Note 7):
Class III		(22,811,861	)		(41,624,038	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		301,595			613,631
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(22,510,266	)		(41,010,407	)
Total increase (decrease) in net assets		(120,183,070	)		(96,527,566	)
Net assets:
Beginning of period		220,359,130			316,886,696
End of period (including accumulated undistributed net investment income of $2,148,460 and distributions in excess of net investment income of $134,693, respectively)	$	100,176,060		$	220,359,130

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	22.42		$	30.98		$	28.34		$	26.79		$	29.67
Income (loss) from investment operations:
Net investment income (loss)†		0.59			0.61			0.46			0.52			0.13
Net realized and unrealized gain (loss)		(10.80	)		1.50			4.32			1.91			(1.45	)
Total from investment operations		(10.21	)		2.11			4.78			2.43			(1.32	)
Less distributions to shareholders:
From net investment income		(0.30	)		(0.85	)		(0.39	)		(0.59	)		—
From net realized gains		(0.85	)		(9.82	)		(1.75	)		(0.29	)		(1.56	)
Total distributions		(1.15	)		(10.67	)		(2.14	)		(0.88	)		(1.56	)
Net asset value, end of period	$	11.06		$	22.42		$	30.98		$	28.34		$	26.79
Total Return(a)		(47.14	)%		6.97	%(b)		17.12	%		9.13	%		(3.82	)%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	100,176		$	220,359		$	316,887		$	291,250		$	224,466
Net expenses to average daily net assets		1.32	%(c)		1.29	%(c)		1.26	%		1.28	%		1.34	%
Net investment income to average daily net assets		3.42	%		1.98	%		1.56	%		1.95	%		0.53	%
Portfolio turnover rate		88	%		94	%		41	%		31	%		88	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.03		$	0.06		$	0.03		$	0.04		$	0.05

(a)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder 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 28, 2009

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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

10

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

result, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 97.82% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	1,897,628	$	—
Level 2 - Other Significant Observable Inputs		97,994,660		—
Level 3 - Significant Unobservable Inputs		1,320		—
Total	$	99,893,608	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

11

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	960		$	—
Realized gain (loss)		—			—
Change in unrealized appreciation/depreciation		(2,435	)		—
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		2,795			—
Balance as of February 28, 2009	$	1,320		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

12

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a

13

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. The Fund had no indexed securities outstanding at the end of the period.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default

14

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

15

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on Taiwan-source interest and dividend income are withheld in accordance with applicable Taiwanese law.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund 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 that 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

16

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions, foreign currency 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions in Excess of Net Realized Gain		Paid-in Capital
$	(539,503	)	$	539,503	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	2,614,212	$	16,985,992
Net long-term capital gain		7,921,022		64,975,203
Total distributions	$	10,535,234	$	81,961,195

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 2,158,489

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $32,757,923.

As of February 28, 2009, 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:

2/28/2017	$	(15,146,428	)
Total	$	(15,146,428	)

17

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	135,249,833	$	1,130,404	$	(36,486,629	)	$	(35,356,225	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Taiwanese companies typically declare dividends in the third calendar quarter of each year.

Dividend and interest income generated in Taiwan is subject to a 20% withholding tax. Stock dividends received (except those which have resulted from capitalization of capital surplus) are taxable at 20% of the par value of the stock dividends received.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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

18

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 28, 2009, the premium on cash purchases of Fund shares was 0.15% of the amount invested and the fee on cash redemptions was 0.45% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

Investments in emerging countries, such as Taiwan, present certain risks that are not presented by many other securities. Many emerging countries are subject to 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. 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 expropriate or impose various types of foreign currency regulations or controls that impede the Fund's ability to repatriate amounts it receives. These factors may result in significant volatility in the values of the Fund's holdings. Due to the liquidity of the Taiwanese markets, 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.

The Manager is registered with the Securities and Futures Commission of Taiwan as a Qualified Foreign Institutional Investor ("QFII") in Taiwan and is therefore authorized to invest directly in the Taiwanese

19

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

securities market, subject to certain limitations including a maximum investment amount. The Fund is listed as a sub-account under the Manager's QFII license and is authorized to invest directly in the Taiwanese securities market. The Fund's ability to continue to invest directly in Taiwan is subject to the risk that the Manager's QFII license or the Fund's sub-account under the Manager's QFII license may be terminated or suspended by the Securities and Futures Commission. If the license were terminated or suspended, the Fund could be required to liquidate or seek exposure to the Taiwanese market through the purchase of American Depositary Receipts ("ADRs") and Global Depository Receipts ("GDRs"), shares of other funds which are licensed to invest directly, or derivative instruments.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.81% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for class III shares.

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and Chief Compliance Officer ("CCO") during the year ended February 28, 2009 was $1,794 and $1,124, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $135,340,851 and $159,016,520, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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

20

GMO Taiwan Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

of loss in connection with its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 98.91% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		2,164,635		$	25,246,074			294,310		$	9,579,509
Shares issued to shareholders in reinvestment of distributions		646,035			10,535,234			3,387,026			81,961,194
Shares repurchased		(3,583,100	)		(58,593,169	)		(4,083,581	)		(133,164,741	)
Purchase premiums		—			37,926			—			14,390
Redemption fees		—			263,669			—			599,241
Net increase (decrease)		(772,430	)	$	(22,510,266	)		(402,245	)	$	(41,010,407	)

21

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

22

GMO Taiwan Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		1.29	%	$	1,000.00	$	621.10	$	5.19
2) Hypothetical		1.29	%	$	1,000.00	$	1,018.40	$	6.46

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

23

GMO Taiwan Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $7,921,022 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $1,860,426 and recognized foreign source income of $9,322,248.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

26

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

27

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

28

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Annual Report

February 28, 2009

For a free copy of the Fund's proxy voting guidelines, shareholders may call 1-617-346-7646 (collect) or visit GMO's website at www.gmo.com, or visit the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the 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 private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling (617)346-7646 (collect).

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 team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

The GMO Special Purpose Holding Fund returned +137.7% for the fiscal year ended February 28, 2009.

The Fund outperformed the JPMorgan U.S. 3 Month Cash Index during the fiscal year by 134.2%. The Fund's investments consist primarily of: (i) units of GMO SPV I, LLC, a special purpose vehicle that holds an interest in liquidating trusts related to certain defaulted asset-backed securities issued by NPF VI, Inc. and NPF XII, Inc. and (ii) cash and cash items. The Fund's return for the period was driven by a payment received from the liquidating trusts in May 2008.

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 total assumes the effect of reinvested dividends, which are prohibited on this Fund. An investor could not have achieved this return due to this prohibition.

GMO Special Purpose Holding Fund

(A Series of GMO Trust)
Consolidated Investments Concentration Summary (a)
February 28, 2009 (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 28, 2009

Shares		Description	Value ($)
		DEBT OBLIGATIONS — 0.0% (a)
		Asset-Backed Securities — 0.0%
		Health Care Receivables — 0.0%
		Interest related to the Bankruptcy Estate of NPF VI Inc. Series 02-1 Class A (b) (c)		—
		Interest related to the Bankruptcy Estate of NPF XII Inc. Series 00-3 Class A (b) (c)		—
		Interest related to the Bankruptcy Estate of NPF XII Inc. Series 02-1 Class A (b) (c)		—
				—
		Total Asset-Backed Securities		—
		TOTAL DEBT OBLIGATIONS (COST $0)		—
		SHORT-TERM INVESTMENTS — 9.8%
		Money Market Funds — 9.8%
	19,935	State Street Institutional Liquid Reserves Fund-Institutional Class		19,935
	19,935	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		19,935
		TOTAL SHORT-TERM INVESTMENTS (COST $39,870)		39,870
		TOTAL INVESTMENTS — 9.8% (Cost $39,870)		39,870
		Other Assets and Liabilities (net) — 90.2%		366,965
		TOTAL NET ASSETS — 100.0%	$	406,835

Notes to Consolidated Schedule of Investments:

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

(b)  Security in default.

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

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 28, 2009

	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	)	$	—
Investments in unaffiliated issuers, at value (cost $39,870) (Note 2)		39,870		—		—			—			39,870
Cash		164,857		416,919		—			—			581,776
Dividends receivable		21		—		—			—			21
Receivable for expenses reimbursed by Manager (Note 3)		3,071		3,864		—			—			6,935
Total assets		484,681		420,783		—			(276,862	)		628,602
Liabilities:
Accrued expenses		77,846		48,414		—			—			126,260
Minority interest		—		—		95,507			—			95,507
Total liabilities		77,846		48,414		95,507			—			221,767
Net assets	$	406,835	$	372,369	$	(95,507	)	$	(276,862	)	$	406,835
Shares outstanding		554,071										554,071
Net asset value per share	$	0.73									$	0.73

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 28, 2009

	GMO Special Purpose Holding Fund			GMO SPV I, LLC			Minority Interest			Eliminations			Consolidated Totals
Investment Income:
Interest	$	2,223		$	3,649		$	—		$	—		$	5,872
Dividends		166			—			—			—			166
Total income		2,389			3,649			—			—			6,038
Expenses:
Custodian and transfer agent fees		1,420			26,754			—			—			28,174
Audit and tax fees		43,529			12,382			—			—			55,911
Trustees fees and related expenses (Note 3)		1			—			—			—			1
Legal fees		—			5,220			—			—			5,220
Miscellaneous		1,238			547			—			—			1,785
Total expenses		46,188			44,903			—			—			91,091
Fees and expenses reimbursed by Manager (Note 3)		(46,187	)		(39,683	)		—			—			(85,870	)
Net expenses		1			5,220			—			—			5,221
Net income (loss)		2,388			(1,571	)		—			—			817
Minority Interest		—			—			403			—			403
Net investment income (loss) after minority interest		2,388			(1,571	)		403			—			1,220
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			1,294,501			—			—			1,294,501
Realized gains distributions from affiliated issuers		962,366			—			—			(962,366	)		—
Net realized gain (loss)		962,366			1,294,501			—			(962,366	)		1,294,501
Change in net unrealized appreciation (depreciation) on:
Investments		—			—			—			—			—
Net unrealized gain (loss)		—			—			—			—			—
Net realized and unrealized gain (loss)		962,366			1,294,501			—			(962,366	)		1,294,501
Minority interest in realized and unrealized gain (loss)		—			—			(330,967	)		—			(330,967	)
Net increase (decrease) in net assets resulting from operations	$	964,754		$	1,292,930		$	(330,564	)	$	(962,366	)	$	964,754

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,220		$	36,556
Net realized gain (loss)		1,294,501			4,638,699
Change in net unrealized appreciation (depreciation)		—			—
		1,295,721			4,675,255
Minority Interest		(330,967	)		(1,164,398	)
Net increase (decrease) in net assets from operations		964,754			3,510,857
Cash distributions to shareholders		(1,254,756	)		(3,593,689	)
		(1,254,756	)		(3,593,689	)
Fund share transactions: (Note 7)
Proceeds from sale of shares		—			—
Cost of shares repurchased		—			—
Net increase (decrease) from Fund share transactions		—			—
Total increase (decrease) in net assets		(290,002	)		(82,832	)
Net assets:
Beginning of period		696,837			779,669
End of period	$	406,835		$	696,837

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	1.26		$	1.41		$	8.22		$	15.51		$	24.11
Income from investment operations:
Net investment income (loss)†		0.00	(a)		0.06			0.02			(0.08	)		0.41
Net realized and unrealized gain (loss)		1.73			6.28			41.16			8.57			9.08
Total from investment operations		1.73			6.34			41.18			8.49			9.49
Less distributions to shareholders:
From net investment income		—			—			—			—			(0.74	)
From cash distributions		(2.26	)		(6.49	)		(47.99	)		(15.78	)		(17.29	)
From return of capital		—			—			—			—			(0.06	)
Total distributions		(2.26	)		(6.49	)		(47.99	)		(15.78	)		(18.09	)
Net asset value, end of period	$	0.73		$	1.26		$	1.41		$	8.22		$	15.51
Total Return(b)(c)		137.67	%		517.54	%		3613.95	%		124.75	%		36.35	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	407		$	697		$	780		$	4,553		$	8,595
Net expenses to average daily net assets		0.81	%		0.00	%(d)		0.85	%		1.26	%		(0.01	)%
Net investment income to average daily net assets		0.25	%		3.91	%		1.05	%		(0.65	)%		1.83	%
Portfolio turnover rate		0	%		0	%		0	%		0	%		0	%
Fees and expenses reimbursed by the Manager to average daily net assets:		15.56	%		8.84	%		3.74	%		1.39	%		0.67	%

(a)  Net investment income (loss) was less than $0.01 per share.

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

(c)  Had the effect of reinvested distributions not been assumed and income from investment operations been retained, the total returns would have been 1.93%, 7.61%, 97.84%, 25.27%, and 39.36% for the fiscal years ended 2009, 2008, 2007, 2006, and 2005, respectively.

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

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

6

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements
February 28, 2009

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. The Fund expects that any new investments will be made primarily in cash, cash items, and high quality debt securities.

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 28, 2009, the Fund indirectly received $962,366 in conjunction with a settlement agreement related to the default of those securities. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of the Fund. To the extent additional recoveries are realized, such recoveries may be material to the net asset value of the Fund.

2.  Significant accounting policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP

7

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 28, 2009

requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Basis of presentation and principles of consolidation

The accompanying consolidated financial statements include the accounts of the Fund and its majority owned investment in SPV. The consolidated financial statements include 100% of the assets and liabilities of SPV and the ownership interests of 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 generally 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

8

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 28, 2009

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments at value:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		39,870		—
Level 3 - Significant Unobservable Inputs*		—		—
Total	$	39,870	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

*  Represents the interest in securities that are in default and have no value at February 29, 2008 or February 28, 2009.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreements defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes

Effective April 1, 2004, the Fund elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to federal income tax. Instead, each shareholder is required to take into account in determining its tax liability its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. Accordingly, no provision (benefit) for federal and state income taxes is reflected in the accompanying financial statements.

9

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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)
$	39,870	$	—	$	—	$	—

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

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

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 in the financial statements 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 Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the

10

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 28, 2009

earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

In December, 2007, FASB issued SFAS No. 160, an amendment of Accounting Research Bulletin No. 51, Noncontrolling Interests in Consolidated Financial Statements. SFAS 160 is effective for fiscal years and interim periods beginning on or after December 15, 2008. SFAS 160 requires enhanced disclosures in consolidated financial statements that identifies and distinguishes between the interests of the parent's owners and the interests of the noncontrolling owners of a subsidiary. The Manager is currently evaluating the impact the adoption of SFAS 160 will have on the Fund's financial statements.

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, 2009 (excluding "Excluded Expenses", as defined below). Excluded Expenses include expenses, 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 Trust's independent Trustees and CCO during the period ended February 28, 2009 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.

11

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Consolidated Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

There were no purchases or sales of securities, excluding short-term investments, for the year ended February 28, 2009.

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that in the future such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 61.72% of the shares outstanding of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers, and 99.95% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009		Year Ended February 29, 2008
Shares sold		—		—
Shares repurchased		—		—
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 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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

13

GMO Special Purpose Holding Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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*
1) Actual		1.95	%	$	1,000.00	$	1,000.00	$	9.67
2) Hypothetical		1.95	%	$	1,000.00	$	1,015.12	$	9.74

*  Expenses are calculated using the annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

16

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

17

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

18

GMO U.S. Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -32.8% for the fiscal year ended February 28, 2009, as compared to -40.0% for the Russell 1000 Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the Russell 1000 Growth Index. Stock selections within Energy, Consumer Discretionary, and Consumer Staples added to relative returns while stock selections within Health Care, Industrials, and Utilities detracted. In terms of individual stocks, overweight positions in Wal-Mart Stores, Exxon Mobil, and Johnson & Johnson were among the positions adding to relative returns. Underweight positions in McDonald's and IBM and an overweight in UnitedHealth Group were among the positions detracting from relative returns.

Sector selection added to returns relative to the Russell 1000 Growth Index. Sector weightings positively impacting relative performance included overweight positions in Consumer Staples and Health Care and an underweight in Industrials. Sector weightings negatively impacting relative performance included an overweight in Energy and an underweight in 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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.3	%
Short-Term Investments		3.5
Futures		(0.4	)
Other		0.6
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.2	%
Information Technology		22.4
Consumer Staples		22.1
Energy		11.3
Consumer Discretionary		9.0
Industrials		6.8
Financials		3.1
Materials		0.9
Telecommunication Services		0.8
Utilities		0.4
		100.0	%

1

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 96.3%
		Consumer Discretionary — 8.7%
	1,300	Abercrombie & Fitch Co.-Class A		28,587
	2,000	Advance Auto Parts, Inc.		76,500
	1,400	Aeropostale, Inc. *		32,466
	1,100	American Eagle Outfitters, Inc.		10,736
	1,800	Apollo Group, Inc.-Class A *		130,500
	1,300	AutoNation, Inc. *		12,974
	850	AutoZone, Inc. *		120,895
	4,600	Bed Bath & Beyond, Inc. *		97,980
	1,800	Best Buy Co., Inc.		51,876
	1,500	Big Lots, Inc. *		23,265
	200	Black & Decker Corp.		4,734
	1,400	Cablevision Systems Corp.-Class A		18,186
	600	Carter's, Inc. *		9,786
	4,100	Coach, Inc. *		57,318
	17,500	Comcast Corp.-Class A		228,550
	700	Corinthian Colleges, Inc. *		13,790
	2,400	DirecTV Group (The), Inc. *		47,856
	1,300	Dollar Tree, Inc. *		50,466
	400	DreamWorks Animation SKG, Inc.-Class A *		7,716
	1,700	Family Dollar Stores, Inc.		46,648
	300	Genuine Parts Co.		8,442
	2,700	H&R Block, Inc.		51,570
	1,000	Harley-Davidson, Inc.		10,100
	2,700	Hasbro, Inc.		61,803
	8,100	Home Depot, Inc.		169,209
	800	ITT Educational Services, Inc. *		90,800
	1,200	Johnson Controls, Inc.		13,656
	4,200	Kohl's Corp. *		147,588
	700	Leggett & Platt, Inc.		8,001
	1,100	Limited Brands, Inc.		8,459
	7,868	Lowe's Cos., Inc.		124,629
	8,200	McDonald's Corp.		428,450

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	600	McGraw-Hill Cos. (The), Inc.		11,838
	300	Mohawk Industries, Inc. *		6,777
	600	NetFlix, Inc. *		21,684
	1,500	Nike, Inc.-Class B		62,295
	1,000	O'Reilly Automotive, Inc. *		33,360
	900	Omnicom Group, Inc.		21,627
	700	Panera Bread Co.-Class A *		30,828
	1,800	PetSmart, Inc.		36,072
	800	Polo Ralph Lauren Corp.		27,576
	700	Rent-A-Center, Inc. *		12,264
	2,900	Ross Stores, Inc.		85,608
	1,100	Sherwin-Williams Co. (The)		50,545
	500	Snap-On, Inc.		11,795
	7,700	Staples, Inc.		122,815
	1,700	Starbucks Corp. *		15,555
	110	Strayer Education, Inc.		18,673
	4,000	Target Corp.		113,240
	2,800	Time Warner Cable, Inc.-Class A *		51,044
	1,760	TJX Cos. (The), Inc.		39,195
	300	Tractor Supply Co. *		9,372
	3,800	Urban Outfitters, Inc. *		63,232
	600	Yum! Brands, Inc.		15,768
		Total Consumer Discretionary		3,054,699
		Consumer Staples — 21.3%
	22,584	Altria Group, Inc.		348,697
	2,400	Avon Products, Inc.		42,216
	300	BJ's Wholesale Club, Inc. *		8,964
	2,200	Campbell Soup Co.		58,894
	600	Church & Dwight Co., Inc.		29,352
	600	Clorox Co.		29,160
	20,300	Coca-Cola Co. (The)		829,255
	4,700	Colgate-Palmolive Co.		282,846
	1,800	Costco Wholesale Corp.		76,212

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — continued
	1,800	CVS Caremark Corp.		46,332
	600	Dean Foods Co. *		12,270
	1,500	Estee Lauder Cos. (The), Inc.-Class A		33,975
	1,200	Flowers Foods, Inc.		26,772
	6,900	General Mills, Inc.		362,112
	1,200	Hershey Co. (The)		40,428
	1,900	HJ Heinz Co.		62,073
	300	JM Smucker Co. (The)		11,136
	1,600	Kellogg Co.		62,272
	3,400	Kimberly-Clark Corp.		160,174
	3,144	Kraft Foods, Inc.-Class A		71,620
	6,500	Kroger Co. (The)		134,355
	600	McCormick & Co., Inc. (Non Voting)		18,810
	1,100	NBTY, Inc. *		16,357
	14,200	PepsiCo, Inc.		683,588
	12,984	Philip Morris International, Inc.		434,575
	18,900	Procter & Gamble Co. (The)		910,413
	400	Ralcorp Holdings, Inc. *		24,240
	400	Supervalu, Inc.		6,244
	3,100	Sysco Corp.		66,650
	45,900	Wal-Mart Stores, Inc.		2,260,116
	15,100	Walgreen Co.		360,286
		Total Consumer Staples		7,510,394
		Energy — 10.9%
	1,250	Apache Corp.		73,862
	1,100	Baker Hughes, Inc.		32,241
	4,500	BJ Services Co.		43,515
	1,200	Cabot Oil & Gas Corp.		24,444
	3,300	Chesapeake Energy Corp.		51,612
	10,000	Chevron Corp.		607,100
	200	Cimarex Energy Co.		3,930
	700	CNX Gas Corp. *		15,267
	600	Comstock Resources, Inc. *		18,258

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	2,629	ConocoPhillips		98,193
	600	Devon Energy Corp.		26,202
	500	Encore Acquisition Co. *		10,040
	1,600	ENSCO International, Inc.		39,328
	1,900	EOG Resources, Inc.		95,076
	1,300	EXCO Resources, Inc. *		11,843
	26,200	Exxon Mobil Corp.		1,778,980
	500	Foundation Coal Holdings, Inc.		8,040
	3,200	Halliburton Co.		52,192
	1,300	Helmerich & Payne, Inc.		30,758
	2,330	Hess Corp.		127,428
	400	Mariner Energy, Inc. *		3,700
	3,900	Nabors Industries Ltd. *		37,869
	1,300	Noble Corp.		31,967
	800	Noble Energy, Inc.		36,432
	2,900	Occidental Petroleum Corp.		150,423
	2,500	Patterson-UTI Energy, Inc.		21,475
	200	Penn Virginia Corp.		2,770
	1,100	Petrohawk Energy Corp. *		18,722
	1,500	Pioneer Natural Resources Co.		21,885
	1,000	Plains Exploration & Production Co. *		19,140
	600	Range Resources Corp.		21,342
	3,700	Southwestern Energy Co. *		106,449
	200	St. Mary Land & Exploration Co.		2,716
	800	Sunoco, Inc.		26,760
	300	Tidewater, Inc.		10,596
	383	Transocean Ltd. *		22,892
	600	Unit Corp. *		12,822
	4,000	Valero Energy Corp.		77,520
	1,400	W&T Offshore, Inc.		11,270
	2,200	Weatherford International Ltd. *		23,474
	500	Whiting Petroleum Corp. *		11,650
	1,000	XTO Energy, Inc.		31,660
		Total Energy		3,851,843

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 28, 2009

Shares		Description	Value ($)
		Financials — 3.0%
	1,200	Aflac, Inc.		20,112
	1,200	Annaly Capital Management, Inc. REIT		16,680
	400	Aon Corp.		15,296
	300	Arch Capital Group Ltd. *		16,200
	500	Arthur J. Gallagher & Co.		7,935
	700	Assurant, Inc.		14,280
	400	Axis Capital Holdings Ltd.		8,952
	2,304	Bank of America Corp.		9,101
	240	BlackRock, Inc.		23,234
	1,300	Brown & Brown, Inc.		21,931
	300	Capital One Financial Corp.		3,615
	600	Capitol Federal Financial		22,218
	500	Chubb Corp.		19,520
	400	Digital Realty Trust, Inc. REIT		11,956
	500	Equity Residential REIT		8,800
	100	Everest Re Group Ltd.		6,513
	1,300	Goldman Sachs Group (The), Inc.		118,404
	300	Hancock Holding Co.		8,508
	300	Hanover Insurance Group (The), Inc.		10,551
	1,100	HCC Insurance Holdings, Inc.		24,145
	900	HCP, Inc. REIT		16,443
	4,500	Hudson City Bancorp, Inc.		46,665
	500	International Bancshares Corp.		5,005
	800	JPMorgan Chase & Co.		18,280
	900	Knight Capital Group, Inc.-Class A *		15,831
	2,000	Marsh & McLennan Cos., Inc.		35,860
	1,600	MetLife, Inc.		29,536
	900	Moody's Corp.		16,155
	1,800	Morgan Stanley		35,172
	900	NewAlliance Bancshares, Inc.		10,278
	200	Odyssey Re Holdings Corp.		9,292
	200	PartnerRe Ltd.		12,380
	700	People's United Financial, Inc.		12,187
	400	Prosperity Bancshares, Inc.		10,208

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	800	Prudential Financial, Inc.		13,128
	400	Public Storage REIT		22,192
	1,100	SEI Investments Co.		13,024
	400	Simon Property Group, Inc. REIT		13,240
	1,100	SLM Corp. *		5,060
	700	St. Joe Co. (The) *		12,873
	900	T. Rowe Price Group, Inc.		20,466
	4,800	Travelers Cos. (The), Inc.		173,520
	72	UDR, Inc. REIT		570
	300	UMB Financial Corp.		11,379
	1,500	US Bancorp		21,465
	600	Valley National Bancorp		6,858
	600	Ventas, Inc. REIT		12,942
	1,300	W.R. Berkley Corp.		27,053
	2,800	Wells Fargo & Co.		33,880
	200	Westamerica Bancorporation		7,974
		Total Financials		1,056,867
		Health Care — 22.4%
	13,800	Abbott Laboratories		653,292
	400	Aetna, Inc.		9,548
	700	Allergan, Inc.		27,118
	600	AmerisourceBergen Corp.		19,056
	17,700	Amgen, Inc. *		866,061
	300	Bard (C.R.), Inc.		24,078
	4,100	Baxter International, Inc.		208,731
	1,200	Becton, Dickinson & Co.		74,268
	1,600	Biogen Idec, Inc. *		73,664
	800	BioMarin Pharmaceutical, Inc. *		9,600
	18,700	Bristol-Myers Squibb Co.		344,267
	2,000	Cardinal Health, Inc.		64,900
	1,500	Celgene Corp. *		67,095
	900	Cephalon, Inc. *		59,031
	700	Cigna Corp.		11,032

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	700	Covance, Inc. *		26,586
	2,400	Coventry Health Care, Inc. *		27,648
	600	Covidien Ltd.		19,002
	900	Cubist Pharmaceuticals, Inc. *		12,789
	500	DaVita, Inc. *		23,460
	1,300	Edwards Lifesciences Corp. *		72,293
	6,100	Eli Lilly & Co.		179,218
	1,200	Endo Pharmaceuticals Holdings, Inc. *		22,776
	2,600	Express Scripts, Inc. *		130,780
	7,200	Forest Laboratories, Inc. *		154,368
	3,000	Genentech, Inc. *		256,650
	500	Genzyme Corp. *		30,465
	14,200	Gilead Sciences, Inc. *		636,160
	300	Health Net, Inc. *		3,960
	500	Humana, Inc. *		11,835
	600	Idexx Laboratories, Inc. *		18,060
	1,000	Illumina, Inc. *		31,330
	500	Immucor, Inc. *		11,220
	17,764	Johnson & Johnson		888,200
	1,300	King Pharmaceuticals, Inc. *		9,542
	600	LifePoint Hospitals, Inc. *		12,612
	2,400	McKesson Corp.		98,448
	9,400	Medtronic, Inc.		278,146
	6,100	Merck & Co., Inc.		147,620
	2,300	Mylan, Inc. *		28,589
	400	Myriad Genetics, Inc. *		31,540
	900	Omnicare, Inc.		23,337
	700	Patterson Cos., Inc. *		12,649
	1,100	Perrigo Co.		22,099
	43,576	Pfizer, Inc.		536,421
	400	Psychiatric Solutions, Inc. *		6,776
	1,000	Quest Diagnostics, Inc.		45,830
	8,000	Schering-Plough Corp.		139,120

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	100	St. Jude Medical, Inc. **		3,316
	800	Steris Corp.		18,448
	3,500	Stryker Corp.		117,845
	300	Techne Corp.		14,655
	1,500	Tenet Healthcare Corp. *		1,665
	500	Thoratec Corp. *		11,420
	25,994	UnitedHealth Group, Inc.		510,782
	300	Universal Health Services, Inc.-Class B		11,049
	1,200	Valeant Pharmaceuticals International *		20,880
	900	Varian Medical Systems, Inc. *		27,459
	800	Vertex Pharmaceuticals, Inc. *		24,184
	400	Waters Corp. *		14,088
	500	Watson Pharmaceuticals, Inc. *		14,135
	3,100	WellPoint, Inc. *		105,152
	300	West Pharmaceutical Services, Inc.		9,210
	9,000	Wyeth		367,380
	4,400	Zimmer Holdings, Inc. *		154,088
		Total Health Care		7,887,026
		Industrials — 6.5%
	4,800	3M Co.		218,208
	400	Acuity Brands, Inc.		9,168
	400	Brink's Co. (The)		9,548
	5,250	Burlington Northern Santa Fe Corp.		308,543
	300	Caterpillar, Inc.		7,383
	2,100	CH Robinson Worldwide, Inc.		86,898
	500	Cintas Corp.		10,145
	100	Clean Harbors, Inc. *		4,858
	1,400	Copart, Inc. *		37,828
	7,000	CSX Corp.		172,760
	1,000	Danaher Corp.		50,760
	700	Donaldson Co., Inc.		17,087
	600	Dover Corp.		14,964
	200	Dun & Bradstreet Corp.		14,794

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	300	EMCOR Group, Inc. *		4,623
	2,600	Emerson Electric Co.		69,550
	2,200	Fastenal Co.		66,264
	500	FedEx Corp.		21,605
	320	Flowserve Corp.		16,150
	700	Gardner Denver, Inc. *		13,244
	400	GATX Corp.		7,308
	2,400	General Dynamics Corp.		105,168
	200	Huron Consulting Group, Inc. *		8,254
	1,800	JB Hunt Transport Services, Inc.		36,684
	800	Joy Global, Inc.		13,968
	1,100	Kansas City Southern *		19,459
	700	Knight Transportation, Inc.		9,072
	400	L-3 Communications Holdings, Inc.		27,060
	500	Landstar System, Inc.		15,825
	500	Lockheed Martin Corp.		31,555
	400	Manpower, Inc.		11,152
	700	MSC Industrial Direct Co., Inc.-Class A		21,413
	100	Nordson Corp.		2,490
	2,400	Norfolk Southern Corp.		76,128
	800	Owens Corning, Inc. *		6,680
	675	Paccar, Inc.		16,922
	700	Parker-Hannifin Corp.		23,359
	600	Quanta Services, Inc. *		10,560
	600	Robert Half International, Inc.		9,222
	700	Rockwell Collins, Inc.		21,840
	700	Ryder System, Inc.		16,002
	2,800	Southwest Airlines Co.		16,492
	600	Tetra Tech, Inc. *		13,440
	700	Trinity Industries, Inc.		5,166
	1,300	Tyco International Ltd.		26,065
	6,500	Union Pacific Corp.		243,880
	2,100	United Parcel Service, Inc.-Class B		86,478
	3,400	United Technologies Corp.		138,822

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	300	URS Corp. *		9,276
	900	UTi Worldwide Inc		11,061
	400	W.W. Grainger, Inc.		26,464
	1,200	Wabtec Corp.		32,112
	1,200	Waste Management, Inc.		32,400
	300	Watson Wyatt Worldwide, Inc.		14,733
		Total Industrials		2,300,890
		Information Technology — 21.6%
	6,100	Accenture Ltd.-Class A		178,059
	1,200	Activision Blizzard, Inc. *		12,036
	2,500	Adobe Systems, Inc. *		41,750
	400	Affiliated Computer Services, Inc.-Class A *		18,652
	600	Alliance Data Systems Corp. *		17,760
	1,500	Altera Corp.		22,995
	900	Amphenol Corp.-Class A		22,878
	560	Apple, Inc. *		50,013
	3,100	Automatic Data Processing, Inc.		105,865
	1,600	BMC Software, Inc. *		47,408
	200	CACI International, Inc.-Class A *		8,554
	74,600	Cisco Systems, Inc. *		1,086,922
	1,200	Citrix Systems, Inc. *		24,696
	600	Cognizant Technology Solutions Corp.-Class A *		11,040
	1,900	Compuware Corp. *		11,229
	12,500	Dell, Inc. *		106,625
	400	Diebold, Inc.		8,848
	12,500	eBay, Inc. *		135,875
	1,000	F5 Networks, Inc. *		20,000
	400	Factset Research Systems, Inc.		15,416
	700	Fiserv, Inc. *		22,834
	500	FLIR Systems, Inc. *		10,205
	700	Gartner, Inc. *		7,077
	1,400	Global Payments, Inc.		42,952
	1,310	Google, Inc.-Class A *		442,767

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	4,500	Hewlett-Packard Co.		130,635
	1,200	Ingram Micro, Inc.-Class A *		13,068
	2,608	Intel Corp.		33,226
	7,530	International Business Machines Corp.		692,986
	500	Lam Research Corp. *		9,780
	600	Lexmark International, Inc. *		10,284
	1,600	LSI Corp. *		4,640
	830	MasterCard, Inc.-Class A		131,165
	800	McAfee, Inc. *		22,360
	90,100	Microsoft Corp.		1,455,115
	2,100	NetApp, Inc. *		28,224
	65,000	Oracle Corp. *		1,010,100
	800	Parametric Technology Corp. *		6,512
	800	Perot Systems Corp.-Class A *		9,104
	2,800	QLogic Corp. *		25,816
	36,800	Qualcomm, Inc.		1,230,224
	300	Quality Systems, Inc.		11,613
	500	Red Hat, Inc. *		6,845
	1,100	Salesforce.com, Inc. *		30,800
	1,100	Sybase, Inc. *		29,898
	3,800	Symantec Corp. *		52,554
	600	Visa, Inc.-Class A		34,026
	1,600	Western Digital Corp. *		21,856
	8,900	Western Union Co.		99,324
	1,800	Xilinx, Inc.		31,824
		Total Information Technology		7,604,435
		Materials — 0.8%
	300	Ball Corp.		12,087
	600	Compass Minerals International, Inc.		31,332
	400	Crown Holdings, Inc. *		8,432
	600	FMC Corp.		24,258
	100	Martin Marietta Materials, Inc.		7,656
	1,230	Monsanto Co.		93,812

See accompanying notes to the financial statements.

12

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Materials — continued
	1,500	Nucor Corp.		50,475
	1,000	Pactiv Corp. *		15,830
	900	Reliance Steel & Aluminum Co.		21,411
	300	Rock-Tenn Co.-Class A		8,283
	600	Sigma-Aldrich Corp.		21,420
		Total Materials		294,996
		Telecommunication Services — 0.7%
	4,645	AT&T, Inc.		110,412
	1,400	Frontier Communications Corp.		10,080
	1,600	MetroPCS Communications, Inc. *		23,200
	3,800	Verizon Communications, Inc.		108,414
	1,300	Windstream Corp.		9,698
		Total Telecommunication Services		261,804
		Utilities — 0.4%
	500	Aqua America, Inc.		9,200
	600	Exelon Corp.		28,332
	600	FirstEnergy Corp.		25,536
	500	Hawaiian Electric Industries, Inc.		6,935
	300	New Jersey Resources Corp.		10,521
	300	NSTAR		9,651
	300	PG&E Corp.		11,466
	400	Piedmont Natural Gas Co., Inc.		9,656
	800	Southern Co.		24,248
		Total Utilities		135,545
		TOTAL COMMON STOCKS (COST $48,744,738)		33,958,499

See accompanying notes to the financial statements.

13

GMO U.S. Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.5%
		Money Market Funds — 3.5%
	1,237,056	State Street Institutional Treasury Money Market Fund-Institutional Class		1,237,056
		TOTAL SHORT-TERM INVESTMENTS (COST $1,237,056)		1,237,056
		TOTAL INVESTMENTS — 99.8% (Cost $49,981,794)		35,195,555
		Other Assets and Liabilities (net) — 0.2%		87,540
		TOTAL NET ASSETS — 100.0%	$	35,283,095

See accompanying notes to the financial statements.

14

GMO U.S. Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	20	S&P 500 E-Mini Index	March 2009	$	734,200	$	(151,550	)

As of February 28, 2009, 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.

See accompanying notes to the financial statements.

15

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $49,981,794) (Note 2)	$	35,195,555
Cash		77
Dividends and interest receivable		94,996
Receivable for collateral on open futures contracts (Note 2)		99,000
Receivable for expenses reimbursed by Manager (Note 3)		12,135
Total assets		35,401,763
Liabilities:
Payable to affiliate for (Note 3):
Management fee		9,135
Shareholder service fee		4,354
Administration fee – Class M		88
Trustees and Chief Compliance Officer of GMO Trust fees		56
Payable for 12b-1 fee – Class M		241
Payable for variation margin on open futures contracts (Note 2)		17,800
Accrued expenses		86,994
Total liabilities		118,668
Net assets	$	35,283,095
Net assets consist of:
Paid-in capital	$	71,210,869
Accumulated undistributed net investment income		94,859
Accumulated net realized loss		(21,084,844	)
Net unrealized depreciation		(14,937,789	)
	$	35,283,095
Net assets attributable to:
Class III shares	$	34,758,057
Class M shares	$	525,038
Shares outstanding:
Class III		3,319,559
Class M		50,257
Net asset value per share:
Class III	$	10.47
Class M	$	10.45

See accompanying notes to the financial statements.

16

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends	$	1,686,486
Interest		38,297
Total investment income		1,724,783
Expenses:
Management fee (Note 3)		327,610
Shareholder service fee – Class III (Note 3)		123,660
12b-1 fee – Class M (Note 3)		58,101
Administration fee – Class M (Note 3)		46,481
Custodian, fund accounting agent and transfer agent fees		87,958
Audit and tax fees		59,841
Legal fees		2,851
Trustees fees and related expenses (Note 3)		1,142
Registration fees		21,298
Miscellaneous		4,700
Total expenses		733,642
Fees and expenses reimbursed by Manager (Note 3)		(175,580	)
Expense reductions (Note 2)		(15	)
Net expenses		558,047
Net investment income (loss)		1,166,736
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(15,721,837	)
Closed futures contracts		(800,637	)
Net realized gain (loss)		(16,522,474	)
Change in net unrealized appreciation (depreciation) on:
Investments		(421,437	)
Open futures contracts		(18,729	)
Net unrealized gain (loss)		(440,166	)
Net realized and unrealized gain (loss)		(16,962,640	)
Net increase (decrease) in net assets resulting from operations	$	(15,795,904	)

See accompanying notes to the financial statements.

17

GMO U.S. Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,166,736		$	2,313,049
Net realized gain (loss)		(16,522,474	)		15,904,427
Change in net unrealized appreciation (depreciation)		(440,166	)		(25,882,761	)
Net increase (decrease) in net assets from operations		(15,795,904	)		(7,665,285	)
Distributions to shareholders from:
Net investment income
Class III		(1,064,873	)		(1,963,020	)
Class M		(246,973	)		(451,426	)
Total distributions from net investment income		(1,311,846	)		(2,414,446	)
Net realized gains
Class III		—			(3,938,829	)
Class M		—			(1,625,736	)
Total distributions from net realized gains		—			(5,564,565	)
		(1,311,846	)		(7,979,011	)
Net share transactions (Note 7):
Class III		(77,034,776	)		(85,518,384	)
Class M		(68,971,923	)		(10,707,607	)
Increase (decrease) in net assets resulting from net share transactions		(146,006,699	)		(96,225,991	)
Total increase (decrease) in net assets		(163,114,449	)		(111,870,287	)
Net assets:
Beginning of period		198,397,544			310,267,831
End of period (including accumulated undistributed net investment income of $94,859 and $244,055, respectively)	$	35,283,095		$	198,397,544

See accompanying notes to the financial statements.

18

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	15.82		$	17.24		$	18.17		$	18.26		$	19.03
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.17			0.15			0.15			0.16
Net realized and unrealized gain (loss)		(5.32	)		(1.06	)		0.07			0.86			(0.02	)(a)
Total from investment operations		(5.14	)		(0.89	)		0.22			1.01			0.14
Less distributions to shareholders:
From net investment income		(0.21	)		(0.17	)		(0.15	)		(0.16	)		(0.14	)
From net realized gains		—			(0.36	)		(1.00	)		(0.94	)		(0.77	)
Total distributions		(0.21	)		(0.53	)		(1.15	)		(1.10	)		(0.91	)
Net asset value, end of period	$	10.47		$	15.82		$	17.24		$	18.17		$	18.26
Total Return(b)		(32.84	)%		(5.49	)%		1.24	%		5.64	%		0.94	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	34,758		$	129,666		$	224,554		$	342,203		$	357,499
Net expenses to average daily net assets		0.46	%(c)		0.46	%(c)		0.46	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.19	%		0.94	%		0.85	%		0.84	%		0.89	%
Portfolio turnover rate		70	%		97	%		111	%		94	%		136	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.19	%		0.07	%		0.05	%		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.

19

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	15.76		$	17.16		$	18.10		$	18.19		$	18.97
Income (loss) from investment operations:
Net investment income (loss)†		0.13			0.11			0.10			0.10			0.11
Net realized and unrealized gain (loss)		(5.30	)		(1.05	)		0.06			0.85			(0.02	)(a)
Total from investment operations		(5.17	)		(0.94	)		0.16			0.95			0.09
Less distributions to shareholders:
From net investment income		(0.14	)		(0.10	)		(0.10	)		(0.10	)		(0.10	)
From net realized gains		—			(0.36	)		(1.00	)		(0.94	)		(0.77	)
Total distributions		(0.14	)		(0.46	)		(1.10	)		(1.04	)		(0.87	)
Net asset value, end of period	$	10.45		$	15.76		$	17.16		$	18.10		$	18.19
Total Return(b)		(33.01	)%		(5.79	)%		0.91	%		5.33	%		0.65	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	525		$	68,732		$	85,714		$	253,332		$	269,227
Net expenses to average daily net assets		0.76	%(c)		0.76	%(c)		0.76	%		0.77	%		0.78	%
Net investment income to average daily net assets		0.80	%		0.64	%		0.56	%		0.54	%		0.61	%
Portfolio turnover rate		70	%		97	%		111	%		94	%		136	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.10	%		0.07	%		0.05	%		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.

20

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 in companies with similar market capitalizations.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

21

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	33,958,499	$	—
Level 2 - Other Significant Observable Inputs		1,237,056		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	35,195,555	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(151,550	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(151,550	)

*  Other financial instruments include futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

22

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces

23

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

24

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

25

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(4,086	)	$	4,086	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	1,311,846	$	2,427,666
Net long-term capital gain		—		5,551,345
Total distributions	$	1,311,846	$	7,979,011

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 94,859

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $4,390,997.

As of February 28, 2009, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Such losses expire as follows:

2/28/2011	$	(2,843,668	)
2/29/2012		(782,016	)
2/28/2017		(11,615,801	)
Total	$	(15,241,485	)

26

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	51,585,706	$	131,180	$	(16,521,331	)	$	(16,390,151	)

Utilization of the capital loss carryforwards, post-October capital losses and future losses, if any, realized subsequent to February 28, 2009, could be subject to limitations imposed by the Code related to share ownership activity.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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, 12b-1, and administration fees, which are directly attributable to a class of shares, are charged to that class's operations.

27

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average net assets daily of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net assets of Class M shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.31% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, administration and distribution (12b-1) 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

28

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $1,050 and $761, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $70,877,126 and $211,377,723, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 92.40% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 0.05% of the Fund's shares were held by accounts for which the Manager had investment discretion.

29

GMO U.S. Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		108,893		$	1,725,962			302,944		$	5,156,583
Shares issued to shareholders in reinvestment of distributions		72,485			1,064,140			327,572			5,900,873
Shares repurchased		(5,059,040	)		(79,824,878	)		(5,457,694	)		(96,575,840	)
Net increase (decrease)		(4,877,662	)	$	(77,034,776	)		(4,827,178	)	$	(85,518,384	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class M:	Shares			Amount			Shares			Amount
Shares sold		93,630		$	1,517,398			290,213		$	5,119,051
Shares issued to shareholders in reinvestment of distributions		15,520			246,973			115,575			2,077,162
Shares repurchased		(4,419,327	)		(70,736,294	)		(1,039,952	)		(17,903,820	)
Net increase (decrease)		(4,310,177	)	$	(68,971,923	)		(634,164	)	$	(10,707,607	)

30

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

31

GMO U.S. Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	664.50	$	1.90
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31
Class M
1) Actual		0.76	%	$	1,000.00	$	663.80	$	3.14
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.03	$	3.81

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

32

GMO U.S. Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $23,021 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

37

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Currency Hedged International Bond Fund returned -13.9% for the fiscal year ended February 28, 2009, compared to the +5.5% return for the JPMorgan Non-U.S. Government Bond Index (Hedged) (ex-Japan). The Fund's exposure to various investments is achieved directly and indirectly through its investment in certain underlying GMO mutual funds, including the GMO Emerging Country Debt Fund (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 19.4%. Exposures to SDCF and WOOF were by far the largest negative contributor during the fiscal year, followed by negative contributions from developed interest-rate strategies, currency selection, and exposure to emerging country debt via ECDF.

Nearly 80% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds invest primarily in asset-backed securities. The 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.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held indirectly in the Currency Hedged International Bond Fund via holdings of SDCF and WOOF. Such ABS exposure contributed -1,852 bps to the Fund's performance. To increase flexibility, the Fund began holding more cash assets directly. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate and currency strategies. Given the unhealthy market conditions for interest-rates and currencies, characterized by impaired liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions in interest rates and currencies starting in October.

In interest-rate strategies, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

Currency contribution was concentrated before positions were suspended in October. Negative relative currency performance during this time came mainly from the strategy's Swedish krona, Norwegian krone, yen, and New Zealand dollar positions.

A small exposure to emerging country debt also detracted value as spread widening on that asset class contributed negatively, as did both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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.

* 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, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		75.8	%
Short-Term Investments		22.3
Options Purchased		1.6
Futures		0.2
Loan Participations		0.1
Forward Currency Contracts		0.1
Loan Assignments		0.0
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.6	)
Swaps		(1.0	)
Other		1.5
		100.0	%
Country / Region Summary**	% of Investments
Euro Region***		78.8	%
United Kingdom		14.6
Canada		4.2
Emerging		2.7
Australia		0.3
United States		(0.6	)
		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, 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 28, 2009

Par Value/ Shares		Description	Value ($)
		DEBT OBLIGATIONS — 3.0%
		United States — 3.0%
		U.S. Government
USD	3,885,420	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a)(b)		3,833,208
		TOTAL DEBT OBLIGATIONS (COST $3,977,883)		3,833,208
		MUTUAL FUNDS — 76.8%
		United States — 76.8%
		Affiliated Issuers
	537,733	GMO Emerging Country Debt Fund, Class III		3,145,736
	4,332,356	GMO Short-Duration Collateral Fund		74,083,286
	5,496	GMO Special Purpose Holding Fund (c)(d)		4,012
	1,107,586	GMO World Opportunity Overlay Fund		20,324,202
		Total United States		97,557,236
		TOTAL MUTUAL FUNDS (COST $131,940,854)		97,557,236
		SHORT-TERM INVESTMENTS — 19.5%
		Money Market Funds — 19.5%
	12,385,900	State Street Institutional Liquid Reserves Fund-Institutional Class		12,385,900
	12,385,901	State Street Institutional Treasury Plus Money Market Fund- Institutional Class		12,385,901
		TOTAL SHORT-TERM INVESTMENTS (COST $24,771,801)		24,771,801
		TOTAL INVESTMENTS — 99.3% (Cost $160,690,538)		126,162,245
		Other Assets and Liabilities (net) — 0.7%		918,910
		TOTAL NET ASSETS — 100.0%	$	127,081,155

See accompanying notes to the financial statements.

2

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	5	Australian Government Bond 10 Yr.	March 2009	$	361,104	$	(1,814	)
	8	Australian Government Bond 3 Yr.	March 2009		551,174		3,385
	51	Canadian Government Bond 10 Yr.	June 2009		4,978,414		(42,756	)
	425	Euro Bund	March 2009		67,309,475		434,534
	52	Euro BOBL	March 2009		7,713,115		118,299
	402	Federal Funds 30 day	March 2009		167,119,743		(2,032	)
	105	UK Gilt Long Bond	June 2009		17,841,177		(246,505	)
				$	265,874,202	$	263,111

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	35,000,000	USD	3/20/2014	Deutsche Bank	(Pay)		1.70	%		1.86	%	Republic	N/A			$	206,312
												of Italy
	25,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.66	%		1.81	%	Republic of Italy		25,000,000	USD		(257,155	)
																$	(50,843	)
													Premiums to (Pay) Receive			$	—

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

See accompanying notes to the financial statements.

3

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate			Variable Rate	Market Value
	40,000,000	EUR	1/23/2012	Deutsche Bank AG	Receive		2.71	%	6 month EUR LIBOR	$	19,010
										$	19,010
									Premiums to (Pay) Receive	$	—

#  Receive - Fund receives fixed rate and pays variable rate.

As of February 28, 2009, 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:

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

(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 (Note 2).

(c)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

See accompanying notes to the financial statements.

4

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $28,749,684) (Note 2)	$	28,605,009
Investments in affiliated issuers, at value (cost $131,940,854) (Notes 2 and 8)		97,557,236
Cash		886,822
Dividends and interest receivable		20,454
Receivable for variation margin on open futures contracts (Note 2)		159,165
Receivable for open swap contracts (Note 2)		225,322
Receivable for expenses reimbursed by Manager (Note 3)		18,273
Total assets		127,472,281
Liabilities:
Payable to affiliate for (Note 3):
Management fee		24,232
Shareholder service fee		14,539
Trustees and Chief Compliance Officer of GMO Trust fees		367
Payable for open swap contracts (Note 2)		257,155
Accrued expenses		94,833
Total liabilities		391,126
Net assets	$	127,081,155
Net assets consist of:
Paid-in capital	$	167,844,635
Distributions in excess of net investment income		(17,694,103	)
Accumulated net realized gain		11,248,995
Net unrealized depreciation		(34,318,372	)
	$	127,081,155
Net assets attributable to:
Class III shares	$	127,081,155
Shares outstanding:
Class III		18,160,957
Net asset value per share:
Class III	$	7.00

See accompanying notes to the financial statements.

5

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	5,016,284
Dividends		72,695
Interest		16,915
Total investment income		5,105,894
Expenses:
Management fee (Note 3)		351,634
Shareholder service fee – Class III (Note 3)		210,980
Custodian, fund accounting agent and transfer agent fees		82,618
Audit and tax fees		78,478
Legal fees		6,113
Trustees fees and related expenses (Note 3)		3,533
Registration fees		368
Miscellaneous		1,947
Total expenses		735,671
Fees and expenses reimbursed by Manager (Note 3)		(165,938	)
Expense reductions (Note 2)		(7	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(17,122	)
Shareholder service fee waived (Note 3)		(6,066	)
Net expenses		546,538
Net investment income (loss)		4,559,356
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		633,117
Investments in affiliated issuers		(3,725,544	)
Realized gains distributions from affiliated issuers (Note 8)		111,247
Closed futures contracts		8,881,335
Closed swap contracts		836,186
Written options		(403,073	)
Foreign currency, forward contracts and foreign currency related transactions		(1,484,102	)
Net realized gain (loss)		4,849,166
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(144,675	)
Investments in affiliated issuers		(27,295,967	)
Open futures contracts		(2,282,983	)
Open swap contracts		(54,746	)
Foreign currency, forward contracts and foreign currency related transactions		(511,227	)
Net unrealized gain (loss)		(30,289,598	)
Net realized and unrealized gain (loss)		(25,440,432	)
Net increase (decrease) in net assets resulting from operations	$	(20,881,076	)

See accompanying notes to the financial statements.

6

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	4,559,356		$	7,963,490
Net realized gain (loss)		4,849,166			(14,143,454	)
Change in net unrealized appreciation (depreciation)		(30,289,598	)		(1,305,226	)
Net increase (decrease) in net assets from operations		(20,881,076	)		(7,485,190	)
Distributions to shareholders from:
Net investment income
Class III		(9,430,411	)		(315,341	)
Return of capital
Class III		—			(2,600,431	)
		(9,430,411	)		(2,915,772	)
Net share transactions (Note 7):
Class III		1,411,572			(108,068,985	)
Redemption fees (Notes 2 and 7):
Class III		29,275			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		1,440,847			(108,068,985	)
Total increase (decrease) in net assets		(28,870,640	)		(118,469,947	)
Net assets:
Beginning of period		155,951,795			274,421,742
End of period (including distributions in excess of net investment income of $17,694,103 and $21,511,882, respectively)	$	127,081,155		$	155,951,795

See accompanying notes to the financial statements.

7

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	8.79		$	9.21		$	9.04		$	9.59		$	9.16
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.26			0.33			0.17			0.18			0.14
Net realized and unrealized gain (loss)		(1.49	)		(0.62	)		0.15			0.39			0.44
Total from investment operations		(1.23	)		(0.29	)		0.32			0.57			0.58
Less distributions to shareholders:
From net investment income		(0.56	)		(0.01	)		—			(1.00	)(b)		(0.15	)
From net realized gains		—			—			(0.14	)		(0.12	)		—
Return of capital		—			(0.12	)		(0.01	)		—			—
Total distributions		(0.56	)		(0.13	)		(0.15	)		(1.12	)		(0.15	)
Net asset value, end of period	$	7.00		$	8.79		$	9.21		$	9.04		$	9.59
Total Return(c)		(13.93	)%		(3.08	)%		3.58	%		6.01	%		6.35	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	127,081		$	155,952		$	274,422		$	953,894		$	1,015,009
Net expenses to average daily net assets(d)		0.39	%(e)		0.38	%(e)		0.39	%		0.39	%		0.39	%
Net investment income to average daily net assets(a)		3.24	%		3.62	%		1.93	%		1.91	%		1.51	%
Portfolio turnover rate		28	%		55	%		25	%		49	%		44	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.13	%		0.09	%		0.06	%		0.06	%		0.09	%
Redemption fees consisted of the following per share amounts:†	$	0.00	(f)		—			—			—			—

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

(b)  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 during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.

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

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

(f)  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 Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 than 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 seeking to exploit differences in global interest rates and 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 (also known as "junk bonds")), 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 GMO Special Purpose Holding Fund, GMO World Opportunity Overlay Fund and GMO Short-Duration Collateral Fund are not publicly available.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives

9

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities. The Fund took temporary defensive measures during the last year.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 28.50% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security

10

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $12,445 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	3,145,736	$	556,218
Level 2 - Other Significant Observable Inputs		123,012,497		19,010
Level 3 - Significant Unobservable Inputs		4,012		206,312
Total	$	126,162,245	$	781,540

*  Other financial instruments include futures contracts and swap agreements.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

11

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(293,107	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		(257,155	)
Total	$	—	$	(550,262	)

**  Other financial instruments include futures contracts and swap agreements.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	6,924		$	—
Accrued discounts/premiums		—			—
Realized gain (loss)		—			—
Realized gain distributions received		9,506			—
Realized gain distributions paid		(12,445	)		—
Change in unrealized appreciation/depreciation		27			(50,843	)
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	4,012		$	(50,843	)

***  Other financial instruments include swap agreements.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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.

12

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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.

13

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

For the year ended February 28, 2009, the Fund's investment activity in options contracts written by the Fund was as follows:

	Puts				Calls
	Principal Amount of Contracts		Premiums		Principal Amount of Contracts			Premiums
Outstanding, beginning of year	$	—	$	—	$	—		$	—
Options written		—		—	JPY	(1,672,000,000	)		(156,460	)
Options exercised		—		—	JPY	1,672,000,000			156,460
Options expired		—		—		—			—
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—	$	—		$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

14

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

15

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

16

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

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

17

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, partnership interest tax allocations, losses on wash sale transactions, foreign currency 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	8,688,834	$	(7,812,231	)	$	(876,603	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	9,430,411	$	315,341
Tax return of capital		—		2,600,431
Total distributions	$	9,430,411	$	2,915,772

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including
any net short-term capital gain) $ 4,304,774

18

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the Fund elected to defer March 1, 2009 post-October capital losses of $5,084,075.

As of February 28, 2009, 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:

2/28/2017	$	(3,082,431	)
Total	$	(3,082,431	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	163,290,247	$	4,012	$	(37,132,014	)	$	(37,128,002	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

19

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.93% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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. Additionally, the investment

20

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risks associated with an investment in the underlying funds may be greater to the extent that the underlying funds engage in derivative transactions.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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

21

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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"). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 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 28, 2009, 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
	0.017	%		0.004	%		0.007	%		0.028	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $3,441 and $938, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	3,994,826	$	—
Investments (non-U.S. Government securities)		32,259,045		45,143,923

22

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 99.23% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 86.84% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,419		$	10,498			5,140,961		$	46,315,270
Shares issued to shareholders in reinvestment of distributions		1,349,847			9,367,939			335,743			2,900,816
Shares repurchased		(940,742	)		(7,966,865	)		(17,538,414	)		(157,285,071	)
Redemption fees		—			29,275			—			—
Net increase (decrease)		410,524		$	1,440,847			(12,061,710	)	$	(108,068,985	)

23

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	4,677,363	$	464,774	$	—	$	365,973		$	98,802	$	3,145,736
GMO Short-Duration Collateral Fund		114,475,125		29,284,160		39,100,000		4,650,311	u		—		74,083,286
GMO Special Purpose Holding Fund		6,924		—		—		—			12,445		4,012
GMO World Opportunity Overlay Fund		31,276,870		2,000,000		4,900,000		—			—		20,324,202
Totals	$	150,436,282	$	31,748,934	$	44,000,000	$	5,016,284		$	111,247	$	97,557,236

^u  The Fund received total distributions in the amount of $14,256,780, of which $9,606,469 was a return of capital.

24

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

25

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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		0.42	%	$	1,000.00	$	884.90	$	1.96
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.71	$	2.11

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

26

GMO Currency Hedged International Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $1,906,829 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/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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -29.4% for the fiscal year ended February 28, 2009, as compared to -43.3% for the S&P 500 Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the S&P 500 Index. Selections within Energy, Information Technology, and Consumer Discretionary added to relative returns while stock selections within Health Care and Telecommunication Services detracted. Overweight positions in Wal-Mart Stores and Johnson & Johnson and not owning GE added to relative returns. An overweight in UnitedHealth Group, an underweight in ConocoPhillips, and not owning Apple detracted from returns versus the benchmark.

Sector selection added to returns relative to the S&P 500 Index. Sector weightings positively impacting relative performance included not owning Financials and overweight positions in Consumer Staples and Health Care. Sector weightings negatively impacting relative performance included not owning Utilities and underweight positions in Consumer Discretionary and Telecommunication Services.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		93.9	%
Short-Term Investments		4.1
Futures		(0.1	)
Other		2.1
		100.0	%
Industry Sector Summary	% of Equity Investments
Consumer Staples		28.2	%
Health Care		26.9
Information Technology		23.1
Energy		13.3
Telecommunication Services		4.0
Industrials		2.7
Consumer Discretionary		1.8
		100.0	%

1

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 93.9%
		Consumer Discretionary — 1.7%
	2,680,600	Home Depot, Inc.		55,997,734
	1,463,000	Lowe's Cos., Inc.		23,173,920
	1,087,200	McDonald's Corp.		56,806,200
	394,400	Target Corp.		11,165,464
		Total Consumer Discretionary		147,143,318
		Consumer Staples — 26.5%
	1,316,800	Avon Products, Inc.		23,162,512
	441,400	Campbell Soup Co.		11,816,278
	394,500	Clorox Co.		19,172,700
	11,215,500	Coca-Cola Co. (The)		458,153,175
	1,945,500	Colgate-Palmolive Co.		117,080,190
	470,100	Estee Lauder Cos. (The), Inc.-Class A		10,647,765
	730,100	General Mills, Inc.		38,315,648
	367,800	Hershey Co. (The)		12,391,182
	358,700	HJ Heinz Co.		11,718,729
	901,400	Kellogg Co.		35,082,488
	1,229,500	Kimberly-Clark Corp.		57,921,745
	1,194,900	Kraft Foods, Inc.-Class A		27,219,822
	7,784,100	PepsiCo, Inc.		374,726,574
	9,113,700	Procter & Gamble Co. (The)		439,006,929
	12,164,300	Wal-Mart Stores, Inc.		598,970,132
	2,225,200	Walgreen Co.		53,093,272
		Total Consumer Staples		2,288,479,141
		Energy — 12.5%
	7,234,500	Chevron Corp.		439,206,495
	3,306,600	ConocoPhillips		123,501,510
	7,599,500	Exxon Mobil Corp.		516,006,050
		Total Energy		1,078,714,055

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 28, 2009

Shares		Description	Value ($)
		Health Care — 25.3%
	5,485,305	Abbott Laboratories		259,674,339
	3,584,860	Amgen, Inc.*		175,407,200
	1,325,400	Bristol-Myers Squibb Co.		24,400,614
	3,967,473	Eli Lilly & Co.		116,564,357
	139,700	Forest Laboratories, Inc.*		2,995,168
	9,942,900	Johnson & Johnson		497,145,000
	4,534,030	Medtronic, Inc.		134,161,948
	6,589,600	Merck & Co., Inc.		159,468,320
	39,141,100	Pfizer, Inc.		481,826,941
	6,735,494	UnitedHealth Group, Inc.		132,352,457
	234,500	WellPoint, Inc.*		7,954,240
	4,119,720	Wyeth		168,166,970
	799,700	Zimmer Holdings, Inc.*		28,005,494
		Total Health Care		2,188,123,048
		Industrials — 2.5%
	2,312,400	3M Co.		105,121,704
	3,500	Danaher Corp.		177,660
	1,304,400	United Parcel Service, Inc.-Class B		53,715,192
	1,483,900	United Technologies Corp.		60,587,637
		Total Industrials		219,602,193
		Information Technology — 21.7%
	21,976,800	Cisco Systems, Inc.*		320,201,976
	2,084,800	Dell, Inc.*		17,783,344
	2,731,373	eBay, Inc.*		29,690,024
	302,840	Google, Inc.-Class A*		102,356,892
	776,500	Hewlett-Packard Co.		22,541,795
	2,808,030	International Business Machines Corp.		258,423,001
	32,687,100	Microsoft Corp.		527,896,665
	26,696,100	Oracle Corp.*		414,857,394
	5,594,800	Qualcomm, Inc.		187,034,164
		Total Information Technology		1,880,785,255

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		Telecommunication Services — 3.7%
	6,974,395	AT&T, Inc.		165,781,369
	5,522,300	Verizon Communications, Inc.		157,551,219
		Total Telecommunication Services		323,332,588
		TOTAL COMMON STOCKS (COST $10,899,165,346)		8,126,179,598
		SHORT-TERM INVESTMENTS — 4.1%
		Money Market Funds — 0.6%
	53,741,616	State Street Institutional Treasury Money Market Fund-Institutional Class		53,741,616
		Other Short-Term Investments — 3.5%
	300,000,000	U.S. Treasury Bill, 0.35%, due 07/23/09 (a)		299,580,600
		TOTAL SHORT-TERM INVESTMENTS (COST $353,429,616)		353,322,216
		TOTAL INVESTMENTS — 98.0% (Cost $11,252,594,962)		8,479,501,814
		Other Assets and Liabilities (net) — 2.0%		171,978,286
		TOTAL NET ASSETS — 100.0%	$	8,651,480,100

See accompanying notes to the financial statements.

4

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	4,640	S&P 500 E-Mini Index	March 2009	$	170,334,400	$	(4,944,495	)

As of February 28, 2009, 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 28, 2009

Assets:
Investments, at value (cost $11,252,594,962) (Note 2)	$	8,479,501,814
Cash		61,927,444
Receivable for Fund shares sold		65,712,301
Dividends and interest receivable		38,303,690
Receivable for collateral on open futures contracts (Note 2)		11,880,000
Receivable for expenses reimbursed by Manager (Note 3)		147,533
Total assets		8,657,472,782
Liabilities:
Payable for Fund shares repurchased		240,966
Payable to affiliate for (Note 3):
Management fee		2,344,528
Shareholder service fee		562,174
Trustees and Chief Compliance Officer of GMO Trust fees		30,372
Payable for variation margin on open futures contracts (Note 2)		2,191,848
Accrued expenses		622,794
Total liabilities		5,992,682
Net assets	$	8,651,480,100

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 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	12,207,050,675
Accumulated undistributed net investment income		45,038,026
Distributions in excess of net realized gain		(822,570,958	)
Net unrealized depreciation		(2,778,037,643	)
	$	8,651,480,100
Net assets attributable to:
Class III shares	$	1,952,578,578
Class IV shares	$	787,276,448
Class V shares	$	637,833,956
Class VI shares	$	5,273,791,118
Shares outstanding:
Class III		137,748,815
Class IV		55,499,435
Class V		44,998,900
Class VI		372,002,289
Net asset value per share:
Class III	$	14.17
Class IV	$	14.19
Class V	$	14.17
Class VI	$	14.18

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 28, 2009

Investment Income:
Dividends	$	224,637,613
Interest		4,666,194
Total investment income		229,303,807
Expenses:
Management fee (Note 3)		29,784,343
Shareholder service fee - Class III (Note 3)		2,851,187
Shareholder service fee - Class IV (Note 3)		437,421
Shareholder service fee - Class V (Note 3)		572,187
Shareholder service fee - Class VI (Note 3)		3,319,259
Custodian, fund accounting agent and transfer agent fees		1,037,874
Audit and tax fees		56,105
Legal fees		245,654
Trustees fees and related expenses (Note 3)		139,744
Registration fees		107,458
Miscellaneous		108,565
Total expenses		38,659,797
Fees and expenses reimbursed by Manager (Note 3)		(1,475,298	)
Expense reductions (Note 2)		(14,352	)
Net expenses		37,170,147
Net investment income (loss)		192,133,660
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(809,480,574	)
Closed futures contracts		8,384,943
Net realized gain (loss)		(801,095,631	)
Change in net unrealized appreciation (depreciation) on:
Investments		(2,480,683,386	)
Open futures contracts		(3,178,430	)
Net unrealized gain (loss)		(2,483,861,816	)
Net realized and unrealized gain (loss)		(3,284,957,447	)
Net increase (decrease) in net assets resulting from operations	$	(3,092,823,787	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	192,133,660		$	121,864,661
Net realized gain (loss)		(801,095,631	)		186,050,940
Change in net unrealized appreciation (depreciation)		(2,483,861,816	)		(588,383,993	)
Net increase (decrease) in net assets from operations		(3,092,823,787	)		(280,468,392	)
Distributions to shareholders from:
Net investment income
Class III		(34,569,204	)		(31,023,169	)
Class IV		(7,116,929	)		(11,111,773	)
Class V		(12,924,490	)		(7,018,463	)
Class VI		(118,045,144	)		(60,979,925	)
Total distributions from net investment income		(172,655,767	)		(110,133,330	)
Net realized gains
Class III		(11,560,804	)		(50,769,370	)
Class IV		(2,647,196	)		(13,927,910	)
Class V		(3,886,453	)		(12,819,629	)
Class VI		(33,978,058	)		(101,916,040	)
Total distributions from net realized gains		(52,072,511	)		(179,432,949	)
		(224,728,278	)		(289,566,279	)
Net share transactions (Note 7):
Class III		635,314,415			572,435,769
Class IV		511,082,914			(356,639,901	)
Class V		200,968,133			450,705,666
Class VI		2,284,883,800			3,017,011,171
Increase (decrease) in net assets resulting from net share transactions		3,632,249,262			3,683,512,705
Total increase (decrease) in net assets		314,697,197			3,113,478,034
Net assets:
Beginning of period		8,336,782,903			5,223,304,869
End of period (including accumulated undistributed net investment income of $45,038,026 and $25,580,711, respectively)	$	8,651,480,100		$	8,336,782,903

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	20.56		$	21.78		$	20.81		$	20.03		$	19.93
Income (loss) from investment operations:
Net investment income (loss)†		0.37			0.39			0.35			0.32			0.39
Net realized and unrealized gain (loss)		(6.30	)		(0.70	)		1.12			0.72			(0.05	)
Total from investment operations		(5.93	)		(0.31	)		1.47			1.04			0.34
Less distributions to shareholders:
From net investment income		(0.34	)		(0.36	)		(0.34	)		(0.22	)		(0.24	)
From net realized gains		(0.12	)		(0.55	)		(0.16	)		(0.04	)		—
Total distributions		(0.46	)		(0.91	)		(0.50	)		(0.26	)		(0.24	)
Net asset value, end of period	$	14.17		$	20.56		$	21.78		$	20.81		$	20.03
Total Return(a)		(29.37	)%		(1.76	)%		7.18	%		5.28	%		1.72	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,952,579		$	2,003,758		$	1,575,300		$	1,108,088		$	463,848
Net expenses to average daily net assets		0.48	%(b)		0.48	%(b)		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		2.03	%		1.74	%		1.64	%		1.58	%		1.98	%
Portfolio turnover rate		36	%		46	%		50	%		52	%		66	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.04	%

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

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

†  Calculated using average shares outstanding throughout the period.

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	20.57		$	21.80		$	20.82		$	20.03		$	19.93
Income (loss) from investment operations:
Net investment income (loss)†		0.39			0.40			0.37			0.32			0.38
Net realized and unrealized gain (loss)		(6.30	)		(0.71	)		1.11			0.74			(0.03	)
Total from investment operations		(5.91	)		(0.31	)		1.48			1.06			0.35
Less distributions to shareholders:
From net investment income		(0.35	)		(0.37	)		(0.34	)		(0.23	)		(0.25	)
From net realized gains		(0.12	)		(0.55	)		(0.16	)		(0.04	)		—
Total distributions		(0.47	)		(0.92	)		(0.50	)		(0.27	)		(0.25	)
Net asset value, end of period	$	14.19		$	20.57		$	21.80		$	20.82		$	20.03
Total Return(a)		(29.27	)%		(1.77	)%		7.19	%		5.37	%		1.75	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	787,276		$	432,046		$	800,458		$	2,005,417		$	938,586
Net expenses to average daily net assets		0.44	%(b)		0.44	%(b)		0.44	%		0.44	%		0.44	%
Net investment income to average daily net assets		2.11	%		1.78	%		1.79	%		1.62	%		1.92	%
Portfolio turnover rate		36	%		46	%		50	%		52	%		66	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.04	%

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

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

†  Calculated using average shares outstanding throughout the period.

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	20.56		$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.39			0.41			0.07
Net realized and unrealized gain (loss)		(6.30	)		(0.72	)		0.04
Total from investment operations		(5.91	)		(0.31	)		0.11
Less distributions to shareholders:
From net investment income		(0.36	)		(0.37	)		(0.09	)
From net realized gains		(0.12	)		(0.55	)		(0.14	)
Total distributions		(0.48	)		(0.92	)		(0.23	)
Net asset value, end of period	$	14.17		$	20.56		$	21.79
Total Return(b)		(29.31	)%		(1.75	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	637,834		$	663,616		$	259,430
Net expenses to average daily net assets		0.42	%(c)		0.42	%(c)		0.42	%*
Net investment income to average daily net assets		2.11	%		1.83	%		1.40	%*
Portfolio turnover rate		36	%		46	%		50	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%*

(a)  Period from December 8, 2006 (commencement of operations) through February 28, 2007.

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

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

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	20.57		$	21.79		$	21.91
Income (loss) from investment operations:
Net investment income (loss)†		0.40			0.41			0.07
Net realized and unrealized gain (loss)		(6.31	)		(0.70	)		0.04
Total from investment operations		(5.91	)		(0.29	)		0.11
Less distributions to shareholders:
From net investment income		(0.36	)		(0.38	)		(0.09	)
From net realized gains		(0.12	)		(0.55	)		(0.14	)
Total distributions		(0.48	)		(0.93	)		(0.23	)
Net asset value, end of period	$	14.18		$	20.57		$	21.79
Total Return(b)		(29.28	)%		(1.67	)%		0.49	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	5,273,791		$	5,237,363		$	2,588,116
Net expenses to average daily net assets		0.39	%(c)		0.39	%(c)		0.39	%*
Net investment income to average daily net assets		2.16	%		1.84	%		1.43	%*
Portfolio turnover rate		36	%		46	%		50	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%*

(a)  Period from December 8, 2006 (commencement of operations) through February 28, 2007.

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

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

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

13

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 500 Index. 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 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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

14

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the security were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	8,425,760,198	$	—
Level 2 - Other Significant Observable Inputs		53,741,616		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	8,479,501,814	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(4,944,495	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(4,944,495	)

*  Other financial instruments include futures contracts.

15

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

16

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman

17

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing

18

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, post-October capital losses 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess of Net Realized Gain		Paid-in Capital
$	(20,578	)	$	20,578	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	172,676,344	$	110,133,330
Net long-term capital gain		52,051,934		179,432,949
Total distributions	$	224,728,278	$	289,566,279

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any net short-term capital gain) $ 45,038,026

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $269,802,905.

19

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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:

2/28/2017	$	(288,464,155	)
Total	$	(288,464,155	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	11,521,843,355	$	28,158,068	$	(3,070,499,609	)	$	(3,042,341,541	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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

20

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.105% for Class IV shares, 0.085% for Class V shares and 0.055% for Class VI shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.33% of the Fund's average daily net assets. Excluded Expenses include 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).

21

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $107,065 and $65,748, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $6,650,923,374 and $3,103,523,609, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 21.26% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.41% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 62.80% of the Fund's shares were held by accounts for which the Manager had investment discretion.

22

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		56,850,636		$	949,977,379			50,996,071		$	1,139,966,142
Shares issued to shareholders in reinvestment of distributions		1,903,117			35,704,632			3,122,803			70,870,252
Shares repurchased		(18,454,345	)		(350,367,596	)		(28,982,283	)		(638,400,625	)
Net increase (decrease)		40,299,408		$	635,314,415			25,136,591		$	572,435,769
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		61,336,699		$	958,117,182			28,155,555		$	619,378,521
Shares issued to shareholders in reinvestment of distributions		341,350			6,328,384			821,509			18,645,946
Shares repurchased		(27,177,224	)		(453,362,652	)		(44,697,168	)		(994,664,368	)
Net increase (decrease)		34,500,825		$	511,082,914			(15,720,104	)	$	(356,639,901	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class V:	Shares			Amount			Shares			Amount
Shares sold		55,629,177		$	871,553,660			32,154,927		$	708,017,030
Shares issued to shareholders in reinvestment of distributions		839,435			15,553,597			832,035			18,891,284
Shares repurchased		(43,740,533	)		(686,139,124	)		(12,624,095	)		(276,202,648	)
Net increase (decrease)		12,728,079		$	200,968,133			20,362,867		$	450,705,666

23

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		207,622,713		$	3,716,913,789			143,722,533		$	3,181,476,095
Shares issued to shareholders in reinvestment of distributions		7,874,939			146,139,703			6,951,875			157,780,829
Shares repurchased		(98,156,063	)		(1,578,169,692	)		(14,796,108	)		(322,245,753	)
Net increase (decrease)		117,341,589		$	2,284,883,800			135,878,300		$	3,017,011,171

8.  Subsequent event

Effective June 1, 2009, the Fund's name will change to GMO Quality Fund. Concurrent with this name change, the Fund will no longer be bound by its policy to invest at least 80% of its assets in equity investments tied economically to the U.S.

24

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

25

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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.

26

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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	$	709.20	$	2.03
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41
Class IV
1) Actual		0.44	%	$	1,000.00	$	709.90	$	1.87
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.61	$	2.21
Class V
1) Actual		0.42	%	$	1,000.00	$	709.40	$	1.78
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.71	$	2.11
Class VI
1) Actual		0.39	%	$	1,000.00	$	710.00	$	1.65
2) Hypothetical		0.39	%	$	1,000.00	$	1,022.86	$	1.96

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO U.S. Quality Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $52,051,934 from long-term capital gains.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $2,900,324 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007– present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO 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 team at Grantham, Mayo, Van Otterloo & Co. LLC.

Management Discussion and Analysis of Fund Performance

Shares of the GMO Short-Duration Collateral Fund returned -16.0% for the fiscal year ended February 28, 2009, compared to +3.5% for the JPMorgan U.S. 3 Month Cash Index.

The Fund underperformed the benchmark during the fiscal year by 19.5%, with negative performance mostly attributable to mark-to-market valuation in subprime and other asset-backed security holdings. The Fund invests primarily in asset-backed securities.

Because the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs. In addition to widening spreads, the Fund suffered credit downgrades during the year: the Fund had 123 downgraded securities, representing 27.4% of its market value from the beginning of the year. At fiscal year-end, 73% of the Fund's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB, and 5% was rated below B.

With the extreme price volatility of asset-backed securities during the fiscal year, the Fund underperformed LIBOR by nearly 20%.

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 redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 Short-Duration Collateral Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		97.8	%
Short-Term Investments		2.6
Forward Currency Contracts		0.1
Swaps		(0.8	)
Other		0.3
		100.0	%
Industry Sector Summary	% of Debt Obligations
Credit Cards		23.2	%
Residential Asset-Backed Securities (United States)		13.4
Auto Financing		12.2
Residential Mortgage-Backed Securities (European)		6.8
Insured Auto Financing		6.8
CMBS		6.6
Business Loans		5.9
Student Loans		5.1
Residential Mortgage-Backed Securities (Australian)		4.0
Insured Other		2.0
Equipment Leases		1.9
Investment Grade Corporate Collateralized Debt Obligations		1.8
U.S. Government Agency		1.3
Rate Reduction Bonds		1.3
Bank Loan Collateralized Debt Obligations		1.2
CMBS Collateralized Debt Obligations		1.1
Insurance Premiums		0.9
Insured Credit Cards		0.8
Insured High Yield Collateralized Debt Obligations		0.7
U.S. Government		0.6
Insured Time Share		0.6
Insured Residential Mortgage-Backed Securities (United States)		0.5
Airlines		0.4
Trade Receivables		0.3
Insured Residential Asset-Backed Securities (United States)		0.3
Time Share		0.1
Insured Transportation		0.1
Residential Mortgage-Backed Securities (United States)		0.1
Collateralized Loan Obligations		0.0
Insured Business Loans		0.0
ABS Collateralized Debt Obligations		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 28, 2009

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 97.8%
		Asset-Backed Securities — 95.9%
		ABS Collateralized Debt Obligations — 0.0%
	11,200,000	Paragon CDO Ltd., Series 04-1A, Class A, 144A, 3 mo. LIBOR + .65%, 1.79%, due 10/20/44		336,000
		Airlines — 0.3%
	19,400,000	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.94%, due 05/15/24		4,850,000
	8,830,479	Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20		7,770,821
		Total Airlines		12,620,821
		Auto Financing — 11.9%
	39,800,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		38,336,156
	11,800,000	Capital Auto Receivable Asset Trust, Series 07-SN1, Class A4, 1 mo. LIBOR + .10%, 0.56%, due 02/15/11		9,117,860
	26,900,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.86%, due 02/18/14		22,098,350
	5,100,000	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.81%, due 07/15/14		3,907,875
	24,500,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 2.11%, due 08/15/13		18,781,445
	22,600,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		15,865,200
	17,400,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.30%, due 11/10/14		13,711,200
	26,400,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		17,160,000
	24,700,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, 1 mo. LIBOR + .04%, 0.50%, due 02/15/12		22,266,062
	13,700,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.84%, due 07/15/12		10,279,110
	31,800,000	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.46%, due 03/15/13		25,666,734
	61,400,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		36,840,000

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 28, 2009

Par Value ($)		Description	Value ($)
		Auto Financing — continued
	8,500,000	Franklin Auto Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.42%, due 05/20/16		6,223,700
	30,300,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.66%, due 07/15/11		27,885,469
	31,300,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 06/17/13		29,688,676
	30,500,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.46%, due 05/15/12		24,705,000
	33,521,494	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		30,169,344
	32,500,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		21,775,000
	17,100,000	Swift Master Auto Receivables Trust, Series 07-2, Class A, 1 mo. LIBOR + .65%, 1.11%, due 10/15/12		11,200,500
	33,650,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		23,555,000
	12,000,000	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.62%, due 03/20/14		10,866,956
	19,600,000	World Omni Auto Receivables Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 11/15/12		17,959,676
		Total Auto Financing		438,059,313
		Bank Loan Collateralized Debt Obligations — 1.2%
	19,391,149	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, 3 mo. LIBOR + .17%, 1.70%, due 06/20/25		18,427,652
	27,200,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 1.68%, due 07/05/11		24,100,832
		Total Bank Loan Collateralized Debt Obligations		42,528,484
		Business Loans — 5.8%
	23,310,770	ACAS Business Loan Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .14%, 1.38%, due 08/16/19		18,233,684
	3,637,011	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.83%, due 04/25/34		2,575,731
	2,639,390	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.84%, due 01/25/35		1,838,599

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 28, 2009

Par Value ($)		Description	Value ($)
		Business Loans — continued
	11,461,810	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.86%, due 01/25/36		7,326,389
	9,875,339	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.71%, due 07/25/37		7,386,445
	31,700,000	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.77%, due 12/25/37		22,132,940
	5,227,163	Capitalsource Commercial Loan Trust, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .12%, 0.59%, due 08/22/16		4,479,678
	9,244,882	Capitalsource Commercial Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .13%, 0.60%, due 03/20/17		7,397,755
	15,800,000	CNH Wholesale Master Note Trust, Series 06-1A, Class A, 144A, 1 mo. LIBOR + .06%, 0.52%, due 07/15/12		14,581,055
	3,684,638	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.75%, due 05/15/32		2,626,338
	6,090,123	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.70%, due 11/15/33		3,949,154
	28,700,000	GE Dealer Floorplan Master Trust, Series 06-4, Class A, 1 mo. LIBOR + .01%, 0.48%, due 10/20/11		23,759,295
	41,500,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, 1 mo. LIBOR + .01%, 0.48%, due 07/20/12		29,780,216
	9,071,074	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 02/25/30		4,354,116
	5,885,679	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 09/25/30		2,825,126
	6,745,058	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, 1 mo. LIBOR + .65%, 1.12%, due 10/25/37		5,261,145
	27,169,000	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.32%, due 10/25/37		14,127,880
	27,400,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.58%, due 02/25/13		23,506,460
	20,700,000	Textron Financial Floorplan Master Note, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .06%, 0.51%, due 03/13/12		17,005,050
	677,872	The Money Store Business Loan Backed Trust, Series 99-1, Class AN, 1 mo. LIBOR + .50%, 1.46%, due 09/15/17		583,104
		Total Business Loans		213,730,160

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 28, 2009

Par Value ($)		Description	Value ($)
		CMBS — 6.5%
	11,500,000	Banc of America Commercial Mortgage, Inc., Series 06-3, Class A2, 5.81%, due 07/10/44		8,640,389
	6,099,483	Bear Stearns Commercial Mortgage Securities, Inc., Series 05-PW10, Class A1, 5.09%, due 12/11/40		5,998,049
	19,100,000	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.58%, due 07/15/44		13,927,720
	32,600,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.59%, due 12/15/20		24,088,140
	26,000,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		23,855,445
	16,950,000	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.34%, due 03/10/44		14,845,716
	3,585,364	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 11/05/21		2,973,611
	27,200,000	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		23,910,500
	5,938,604	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 03/06/20		4,693,279
	6,300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .13%, 0.58%, due 03/06/20		4,699,170
	8,176,676	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-FL1A, Class A1B, 144A, 1 mo. LIBOR + .12%, 0.58%, due 02/15/20		6,132,507
	43,200,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45		38,026,368
	3,566,740	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, 1 mo. LIBOR + .08%, 0.54%, due 09/15/21		2,496,718
	27,200,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39		23,706,500
	10,300,000	Morgan Stanley Capital I, Series 06-IQ11, Class A2, 5.69%, due 10/15/42		8,808,148
	11,000,000	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.74%, due 10/15/42		8,093,910
	4,780,589	Morgan Stanley Dean Witter Capital I, Series 03-TOP9, Class A1, 3.98%, due 11/13/36		4,605,906
	26,263,095	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.55%, due 09/15/21		18,384,166
		Total CMBS		237,886,242

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 28, 2009

Par Value ($)		Description	Value ($)
		CMBS Collateralized Debt Obligations — 1.1%
	4,900,000	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 2.05%, due 11/23/52		392,000
	11,493,770	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 1.82%, due 06/28/19		8,275,514
	14,282,368	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		10,953,149
	24,600,000	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.79%, due 08/26/30		11,070,000
	27,100,000	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.80%, due 05/25/46		10,018,531
		Total CMBS Collateralized Debt Obligations		40,709,194
		Collateralized Loan Obligations — 0.0%
	871,428	Archimedes Funding IV (Cayman) Ltd., Series 4A, Class A1, 144A, 3 mo. LIBOR + .48%, 1.73%, due 02/25/13		793,596
		Credit Cards — 22.7%
	16,500,000	Advanta Business Card Master Trust, Series 05-A2, Class A2, 1 mo. LIBOR + .13%, 0.60%, due 05/20/13		10,668,281
	5,900,000	Advanta Business Card Master Trust, Series 05-A5, Class A5, 1 mo. LIBOR + .06%, 0.53%, due 04/20/12		5,655,681
	23,900,000	Advanta Business Card Master Trust, Series 07-A4, Class A4, 1 mo. LIBOR + .03%, 0.50%, due 04/22/13		18,037,031
	51,000,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.50%, due 02/15/13		48,462,240
	20,700,000	American Express Credit Account Master Trust, Series 06-1, Class A, 1 mo. LIBOR + .03%, 0.49%, due 12/15/13		18,958,923
	10,300,000	American Express Issuance Trust, Series 07-1, Class A, 1 mo. LIBOR + .20%, 0.66%, due 09/15/11		9,841,238
	4,300,000	Bank of America Credit Card Trust, Series 06-A12, Class A12, 1 mo. LIBOR + .02%, 0.48%, due 03/15/14		3,845,920
	34,000,000	Cabela's Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.46%, due 09/15/14		27,973,500
	12,700,000	Capital One Multi-Asset Execution Trust, Series 04-A2, Class A2, 1 mo. LIBOR + .09%, 0.55%, due 01/17/12		12,689,840
	12,700,000	Capital One Multi-Asset Execution Trust, Series 04-A3, Class A3, 1 mo. LIBOR + .10%, 0.56%, due 02/15/12		12,649,835

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 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	17,875,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 1.38%, due 06/16/14		16,083,909
	341,000	Capital One Multi-Asset Execution Trust, Series 06-A7, Class A7, 1 mo. LIBOR + .03%, 0.49%, due 03/17/14		307,190
	24,800,000	Capital One Multi-Asset Execution Trust, Series 06-A14, Class A, 1 mo. LIBOR + .01%, 0.47%, due 08/15/13		23,051,600
	7,700,000	Capital One Multi-Asset Execution Trust, Series 07-A4, Class A4, 1 mo. LIBOR + .03%, 0.49%, due 03/16/15		6,573,490
	16,800,000	Capital One Multi-Asset Execution Trust, Series 07-A6, Class A6, 1 mo. LIBOR + .07%, 0.53%, due 05/15/13		15,909,264
	17,800,000	Capital One Multi-Asset Execution Trust, Series 08-A6, Class A6, 1 mo. LIBOR + 1.10%, 1.56%, due 03/17/14		16,264,750
	39,000,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		26,835,510
	46,600,000	Chase Issuance Trust, Series 05-A6, Class A6, 1 mo. LIBOR + 0.07%, 0.53%, due 07/15/14		41,270,125
	22,900,000	Chase Issuance Trust, Series 06-A7, Class A, 1 mo. LIBOR + .01%, 0.47%, due 02/15/13		21,799,426
	4,000,000	Chase Issuance Trust, Series 07-A1, Class A1, 1 mo. LIBOR + .02%, 0.48%, due 03/15/13		3,780,880
	13,400,000	Chase Issuance Trust, Series 07-A11, Class A11, 1 mo. LIBOR, 0.46%, due 07/16/12		12,991,166
EUR	33,200,000	Citibank Credit Card Issuance Trust, Series 04-A2, Class A, 3 mo. EUR LIBOR + 0.10%, 1.97%, due 05/24/13		38,022,214
	11,500,000	Citibank Credit Card Issuance Trust, Series 01-A7, Class A7, 3 mo. LIBOR + .14%, 1.37%, due 08/15/13		10,603,000
	8,100,000	Citibank Credit Card Issuance Trust, Series 05-A3, Class A3, 1 mo. LIBOR + .07%, 0.54%, due 04/24/14		7,156,755
	40,750,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		36,809,475
	10,600,000	Discover Card Master Trust I, Series 96-4, Class A, 1 mo. LIBOR + .38%, 0.83%, due 10/16/13		9,508,200
	11,000,000	Discover Card Master Trust I, Series 05-4, Class A1, 1 mo. LIBOR + .06%, 0.52%, due 06/18/13		9,845,000
	16,800,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.55%, due 06/16/15		12,500,250

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 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	52,700,000	Discover Card Master Trust I, Series 06-2, Class A2, 1 mo. LIBOR + .03%, 0.49%, due 01/16/14		46,277,978
	4,100,000	Discover Card Master Trust I, Series 07-1, Class A, 1 mo. LIBOR + .01%, 0.47%, due 08/15/12		3,874,500
	46,900,000	First National Master Note Trust, Series 07-2, Class A, 1 mo. LIBOR + .75%, 1.21%, due 11/15/12		43,748,906
	20,100,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, 1 mo. LIBOR + .04%, 0.50%, due 03/15/13		18,602,148
	35,800,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.47%, due 06/15/13		32,667,500
	39,800,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, 1 mo. LIBOR + .05%, 0.51%, due 04/15/13		34,053,875
	17,800,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 1.01%, due 07/15/13		14,829,625
	11,500,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, 1 mo. LIBOR + .15%, 0.61%, due 01/15/14		10,525,835
	40,500,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		31,792,500
	21,100,000	Pillar Funding Plc, Series 04-2, Class A, 144A, 3 mo. LIBOR + .14%, 2.14%, due 09/15/11		20,025,588
	49,200,000	Turquoise Card Backed Securities Plc, Series 06-1A, Class A, 144A, 1 mo. LIBOR + .01%, 0.46%, due 05/16/11		48,585,000
	44,600,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, 1 mo. LIBOR + .18%, 0.64%, due 03/15/13		43,736,544
	10,900,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.59%, due 02/15/17		7,734,422
		Total Credit Cards		834,549,114
		Equipment Leases — 1.8%
	14,600,000	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.41%, due 08/15/14		13,067,000
	20,500,000	CNH Equipment Trust, Series 07-B, Class A3B, 1 mo. LIBOR + .60%, 1.06%, due 10/17/11		19,964,130
	37,100,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.71%, due 06/14/11		33,204,500
		Total Equipment Leases		66,235,630

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 28, 2009

Par Value ($)		Description	Value ($)
		Insurance Premiums — 0.9%
	33,000,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 12/15/11		31,587,600
		Insured Auto Financing — 6.6%
	8,500,000	Aesop Funding II LLC, Series 05-1A, Class A3, 144A, MBIA, 1 mo. LIBOR + .12%, 0.59%, due 04/20/11		6,912,880
	23,300,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.49%, due 10/06/13		15,617,990
	10,099,106	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, 1 mo. LIBOR + .08%, 0.53%, due 05/06/12		9,289,965
	17,000,000	AmeriCredit Automobile Receivables Trust, Series 07-BF, Class A4, FSA, 1 mo. LIBOR + .05%, 0.50%, due 12/06/13		11,050,000
	9,790,848	AmeriCredit Automobile Receivables Trust, Series 07-CM, Class A3B, MBIA, 1 mo. LIBOR + .03%, 0.48%, due 05/07/12		9,007,580
	13,500,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.25%, due 06/06/14		7,366,815
	25,400,000	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.95%, due 03/08/16		13,421,614
	12,350,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		11,814,504
	27,646,995	Capital One Auto Finance Trust, Series 06-A, Class A4, AMBAC, 1 mo. LIBOR + .01%, 0.47%, due 12/15/12		25,056,472
	23,900,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, 1 mo. LIBOR + .02%, 0.47%, due 07/15/13		19,060,489
	6,800,000	Capital One Auto Finance Trust, Series 07-A, Class A4, AMBAC, 1 mo. LIBOR + .02%, 0.48%, due 11/15/13		4,762,244
	22,301,754	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.97%, due 04/16/12		20,757,804
	1,600,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .20%, 0.67%, due 02/25/11		1,225,760
	7,900,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A5, 144A, AMBAC, 1 mo. LIBOR + .25%, 0.72%, due 11/25/11		4,682,251
	40,800,000	Santander Drive Auto Receivables Trust, Series 07-1, Class A4, FGIC, 1 mo. LIBOR + .05%, 0.51%, due 09/15/14		27,773,438
	23,200,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 1.11%, due 10/15/14		15,799,896

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 28, 2009

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	51,300,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		36,212,670
	5,111,505	UPFC Auto Receivables Trust, Series 06-B, Class A3, AMBAC, 5.01%, due 08/15/12		4,677,027
		Total Insured Auto Financing		244,489,399
		Insured Business Loans — 0.0%
	3,053,250	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.91%, due 10/25/30		610,650
		Insured Credit Cards — 0.8%
	28,400,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, 1 mo. LIBOR + .12%, 0.58%, due 03/15/11		28,362,718
		Insured High Yield Collateralized Debt Obligations — 0.7%
	20,073,077	Augusta Funding Ltd., Series 10A, Class F-1, 144A, CapMAC, 3mo. LIBOR +.25%, 1.71%, due 06/30/17		16,688,756
	5,143,085	GSC Partners CDO Fund Ltd., Series 2A, Class A, 144A, FSA, 6 mo. LIBOR + .52%, 3.06%, due 05/22/13		3,666,494
	7,800,000	GSC Partners CDO Fund Ltd., Series 03-4A, Class A3, 144A, AMBAC, 3 mo. LIBOR + .46%, 1.60%, due 12/16/15		6,240,000
		Total Insured High Yield Collateralized Debt Obligations		26,595,250
		Insured Other — 2.0%
	24,700,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		17,290,000
	46,000,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		23,000,000
	13,300,886	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 09/15/41		8,361,602
	12,904,246	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 12/15/41		8,220,908
	19,556,614	TIB Card Receivables Fund, 144A, FGIC, 3 mo. LIBOR + .25%, 1.68%, due 01/05/14		12,398,893
	2,988,000	Toll Road Investment Part II, Series B, 144A, MBIA, Zero Coupon, due 02/15/30		541,964

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 28, 2009

Par Value ($)		Description	Value ($)
		Insured Other — continued
	26,300,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		2,696,539
		Total Insured Other		72,509,906
		Insured Residential Asset-Backed Securities (United States) — 0.3%
	3,241,384	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.68%, due 07/25/34		1,847,589
	3,840,806	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.85%, due 12/25/33		2,189,260
	993,052	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.80%, due 03/25/34		631,581
	29,335,944	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.69%, due 11/25/35		6,776,603
		Total Insured Residential Asset-Backed Securities (United States)		11,445,033
		Insured Residential Mortgage-Backed Securities (United States) — 0.5%
	630,188	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.81%, due 10/25/34		302,490
	1,198,856	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.80%, due 01/25/35		491,531
	18,685,870	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.61%, due 06/15/37		4,671,467
	8,100,000	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.70%, due 10/25/34		7,290,000
	619,001	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.93%, due 07/25/29		338,559
	601,336	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 1.02%, due 08/15/30		263,778
	1,462,829	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.91%, due 06/25/34		351,079
	311,765	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.76%, due 12/25/32		151,477
	5,149,544	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.66%, due 11/25/35		2,574,772
	2,366,819	Wachovia Asset Securitization, Inc., Series 02-HE1, Class A, AMBAC, 1 mo. LIBOR + .37%, 0.84%, due 09/27/32		1,356,558

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 28, 2009

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — continued
	1,966,222	Wachovia Asset Securitization, Inc., Series 04-HE1, Class A, MBIA, 1 mo. LIBOR + .22%, 0.69%, due 06/25/34		767,868
		Total Insured Residential Mortgage-Backed Securities (United States)		18,559,579
		Insured Time Share — 0.5%
	1,213,775	Cendant Timeshare Receivables Funding LLC, Series 04-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .18%, 0.65%, due 05/20/16		978,649
	2,937,072	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .18%, 0.65%, due 05/20/17		2,113,774
	4,681,214	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.62%, due 05/20/18		3,546,961
	4,886,706	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.92%, due 03/20/19		3,419,167
	15,862,214	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.47%, due 09/20/19		9,727,582
		Total Insured Time Share		19,786,133
		Insured Transportation — 0.1%
	6,665,000	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.76%, due 04/17/19		3,599,100
		Investment Grade Corporate Collateralized Debt Obligations — 1.8%
	15,500,000	Counts Trust, Series 04-2, 144A, 3 mo. LIBOR + .95%, 2.48%, due 09/20/09		14,892,710
	5,000,000	Morgan Stanley ACES SPC, Series 04-12, Class I, 144A, 3 mo. LIBOR + .80%, 2.03%, due 08/05/09		3,142,500
	6,900,000	Morgan Stanley ACES SPC, Series 04-12, Class A, 144A, 3 mo. LIBOR + .60%, 1.83%, due 08/05/09		5,030,100
	4,000,000	Morgan Stanley ACES SPC, Series 04-15, Class I, 144A, 3 mo. LIBOR + .45%, 1.98%, due 12/20/09		2,754,000
	6,000,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, 3 mo. LIBOR + .65%, 2.18%, due 12/20/09		3,321,000
	2,000,000	Morgan Stanley ACES SPC, Series 04-15, Class III, 144A, 3 mo. LIBOR + .75%, 2.04%, due 12/20/09		920,000
	10,100,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, 3 mo. LIBOR + .45%, 1.98%, due 03/20/10		4,923,750

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 28, 2009

Par Value ($)		Description	Value ($)
		Investment Grade Corporate Collateralized Debt Obligations — continued
	12,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, 3 mo. LIBOR + .52%, 2.05%, due 03/20/10		4,656,000
	22,300,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, 3 mo. LIBOR + .40%, 1.93%, due 12/20/10		8,998,050
	34,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 1.82%, due 06/20/13		5,762,700
	9,400,000	Prism Orso Trust, Series 04-MAPL, Class CERT, 144A, 3 mo. LIBOR + .70%, 2.23%, due 08/01/11		5,383,380
	22,900,000	Salisbury International Investments Ltd., 3 mo. LIBOR + .42%, 1.95%, due 06/22/10		5,560,120
		Total Investment Grade Corporate Collateralized Debt Obligations		65,344,310
		Rate Reduction Bonds — 1.3%
	17,363,975	Massachusetts RRB Special Purpose Trust, Series 05-1, Class A3, 4.13%, due 09/15/13		17,562,793
	24,900,000	PG&E Energy Recovery Funding LLC, Series 05-1, Class A4, 4.37%, due 06/25/14		24,651,000
	2,806,086	PG&E Energy Recovery Funding LLC, Series 05-2, Class A1, 4.85%, due 06/25/11		2,811,698
	1,420,076	PSE&G Transition Funding LLC, Series 01-1, Class A4, 3 mo. LIBOR + .30%, 2.30%, due 06/15/11		1,414,253
		Total Rate Reduction Bonds		46,439,744
		Residential Asset-Backed Securities (United States) — 13.1%
	977,554	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.86%, due 01/25/35		426,458
	2,528,620	Accredited Mortgage Loan Trust, Series 07-1, Class A1, 1 mo. LIBOR + .05%, 0.52%, due 02/25/37		2,250,472
	18,600,000	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.57%, due 07/25/36		7,919,508
	10,325,062	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.56%, due 06/25/36		6,889,191
	14,200,183	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.57%, due 08/25/36		7,100,091
	6,372,603	ACE Securities Corp., Series 05-ASP1, Class A2C, 1 mo. LIBOR + .27%, 0.74%, due 09/25/35		3,887,288

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	4,586,560	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 09/25/35		515,484
	8,292,262	ACE Securities Corp., Series 06-ASP1, Class A2B, 1 mo. LIBOR + .15%, 0.62%, due 12/25/35		4,998,741
	11,045,740	ACE Securities Corp., Series 06-ASP2, Class A2B, 1 mo. LIBOR + .14%, 0.61%, due 03/25/36		7,430,800
	8,500,000	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.65%, due 03/25/36		3,051,160
	5,900,000	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 05/25/36		2,173,029
	20,300,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.65%, due 10/25/36		4,872,000
	9,064,010	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 06/25/36		634,481
	11,036,000	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.64%, due 06/25/36		416,388
	7,829,940	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 11/25/36		4,093,571
	3,438,704	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.61%, due 02/25/36		549,780
	11,100,000	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 04/25/36		4,088,241
	14,915,204	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.56%, due 01/25/37		9,010,424
	12,567,272	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.67%, due 05/25/37		1,612,884
	3,448,275	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 0.99%, due 05/25/34		498,922
	15,724,082	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.66%, due 03/25/36		7,862,041
	1,347,003	Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 05/25/36		1,077,602
	58,867,000	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		14,827,126
	10,000,000	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		6,775,000

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	15,000,000	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 09/25/36		6,150,000
	1,546,844	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, 1 mo. LIBOR + .06%, 0.53%, due 11/25/36		1,430,057
	14,800,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, 1 mo. LIBOR + .11%, 0.58%, due 10/25/36		12,920,400
	10,300,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.62%, due 10/25/36		4,853,360
	33,848,809	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.69%, due 05/25/37		22,800,558
	6,358,250	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 05/28/39		4,240,953
	6,272,904	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.80%, due 05/28/39		4,186,536
	12,800,000	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 02/28/40		7,052,000
	5,020,208	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.58%, due 11/25/36		3,263,135
	8,500,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 11/25/36		1,700,000
	8,218,355	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.63%, due 02/25/37		616,377
	5,195,526	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 02/25/35		4,338,264
	38,600,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 02/25/36		18,335,000
	14,216,398	Carrington Mortgage Loan Trust, Series 06-NC1, Class A2, 1 mo. LIBOR + .16%, 0.63%, due 01/25/36		12,709,460
	12,800,000	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.63%, due 06/25/36		8,706,560
	322,893	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 1.01%, due 04/25/33		232,483
	178,309	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.88%, due 10/25/34		68,863
	12,500,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 12/25/36		3,250,000

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	36,200,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.61%, due 02/25/37		22,849,440
	9,847,464	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.55%, due 03/25/37		9,030,124
	5,788,659	Credit-Based Asset Servicing & Securitization, Series 06-RP1, Class A1, 144A, 1 mo. LIBOR + .11%, 0.58%, due 04/25/36		4,881,467
	429,511	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.77%, due 04/25/34		76,507
	14,400,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 04/25/36		5,706,000
	4,488,746	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF18, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 12/25/37		4,196,978
	4,971,476	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.57%, due 08/25/36		4,405,970
	19,925,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 08/25/36		6,376,000
	5,184,903	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.67%, due 05/25/36		3,345,883
	15,000,000	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.62%, due 08/25/36		1,875,000
	3,461,573	GE-WMC Mortgage Securities, Series 05-2, Class A2B, 1 mo. LIBOR + .17%, 0.64%, due 12/25/35		2,942,337
	3,378,162	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 01/20/35		2,099,211
	12,890,843	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.63%, due 01/20/36		8,501,914
	3,876,277	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.78%, due 01/20/35		2,381,487
	29,400,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.59%, due 12/25/36		9,996,000
	11,300,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		2,994,500
	9,097,550	Master Asset-Backed Securities Trust, Series 06-AM3, Class A2, 1 mo. LIBOR + .13%, 0.60%, due 10/25/36		7,914,869
	23,290,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 08/25/36		5,822,500

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	14,400,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.63%, due 10/25/36		3,816,000
	20,910,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		8,364,000
	5,334,581	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.72%, due 10/25/35		4,134,300
	11,484,179	Master Asset-Backed Securities Trust, Series 06-WMC1, Class A2, 1 mo. LIBOR + .11%, 0.58%, due 02/25/36		10,680,286
	6,795,535	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		747,509
	14,339,684	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.59%, due 02/25/37		11,223,044
	3,817,579	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.87%, due 08/25/34		2,557,778
	32,500,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.70%, due 02/25/37		9,100,000
	23,400,000	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.63%, due 04/25/36		8,190,000
	11,207,575	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 04/25/37		8,853,984
	9,500,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 11/25/36		3,325,000
	7,212,121	Nomura Home Equity Loan, Inc., Series 06-FM1, Class 2A2, 1 mo. LIBOR + .16%, 0.63%, due 11/25/35		6,563,030
	9,942,828	People's Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.73%, due 12/25/35		7,457,121
	13,375,832	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.66%, due 09/25/45		10,883,016
	3,644,950	Residential Asset Mortgage Products, Inc., Series 06-RZ4, Class A1, 1 mo. LIBOR + .09%, 0.56%, due 10/25/36		3,426,253
	2,514,939	Residential Asset Mortgage Products, Inc., Series 05-RS4, Class A3, 1 mo. LIBOR + .23%, 0.70%, due 04/25/35		2,288,594
	4,053,243	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 10/25/33		2,837,270
	9,043,626	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.58%, due 04/25/37		7,867,955

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	9,353,909	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.72%, due 01/25/36		7,253,956
	236,691	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 1.01%, due 03/25/35		61,318
	6,426,746	Securitized Asset Backed Receivables LLC, Series 06-NC1, Class A2, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		4,820,059
	3,891,945	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.76%, due 10/25/36		3,551,400
	2,725,384	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.73%, due 10/25/35		2,248,442
	3,796,119	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 01/25/37		3,137,730
	17,100,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/37		7,796,531
	11,100,000	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.67%, due 01/25/36		3,885,000
	7,385,089	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		1,181,614
	18,999,689	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.87%, due 06/25/37		11,114,818
		Total Residential Asset-Backed Securities (United States)		482,576,883
		Residential Mortgage-Backed Securities (Australian) — 3.9%
	5,311,698	Australian Mortgage Securities II, Series G3, Class A1A, 3 mo. LIBOR + .21%, 1.56%, due 01/10/35		4,649,383
	10,134,283	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 1.20%, due 07/20/38		8,667,822
	16,209,761	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 1.20%, due 04/19/38		13,143,263
	5,020,081	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 1.38%, due 11/19/37		4,060,689
	3,412,361	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 1.72%, due 09/27/35		2,725,384
	30,901,180	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 2.20%, due 03/14/36		25,103,192
	1,841,749	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 2.31%, due 12/08/36		1,418,165

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	2,876,237	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 1.34%, due 05/27/38		2,192,095
	2,166,972	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 1.32%, due 05/10/36		1,878,074
	11,045,105	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 2.05%, due 06/14/37		9,023,177
	7,406,368	Medallion Trust, Series 07-1G, Class A1, 3 mo. LIBOR + .04%, 1.30%, due 02/27/39		6,703,659
	15,715,639	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 1.16%, due 10/20/37		13,604,714
	17,299,736	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 1.32%, due 02/21/38		14,126,964
	1,104,157	Superannuation Members Home Loans Global Fund, Series 6, Class A, 3 mo. LIBOR + .16%, 1.40%, due 11/09/35		924,268
	2,160,535	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 2.33%, due 03/09/36		1,884,319
	1,727,059	Superannuation Members Home Loans Global Fund, Series 4A, Class A, 3 mo. LIBOR + .22%, 1.62%, due 10/09/29		1,417,304
	1,737,452	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 1.42%, due 01/12/37		1,432,842
	21,404,982	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 2.16%, due 06/12/40		17,443,883
	14,605,913	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 1.30%, due 05/21/38		12,381,578
		Total Residential Mortgage-Backed Securities (Australian)		142,780,775
		Residential Mortgage-Backed Securities (European) — 6.7%
	15,900,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, 3 mo. LIBOR + .09%, 1.62%, due 03/20/30		14,246,400
	13,400,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 1.64%, due 09/20/66		12,177,920
	13,500,000	Arkle Master Issuer Plc, Series 06-1A, Class 3A, 144A, 3 mo. LIBOR + .05%, 1.29%, due 08/17/11		13,197,600
	12,300,000	Arkle Master Issuer Plc, Series 06-1A, Class 4A1, 144A, 3 mo. LIBOR + .09%, 1.33%, due 02/17/52		10,258,200
	31,100,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		25,107,030

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	3,491,826	Gracechurch Mortgage Funding Plc, Series 1A, Class A2B, 144A, 3 mo. LIBOR + .07%, 1.42%, due 10/11/41		3,212,375
	6,760,721	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.51%, due 12/20/54		4,191,647
	4,069,799	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .14%, 1.67%, due 09/20/44		2,767,464
	38,900,000	Holmes Financing Plc, Series 10A, Class 4A1, 144A, 3 mo. LIBOR + .08%, 1.17%, due 07/15/40		35,932,319
	10,000,000	Holmes Master Issuer Plc, Series 07-2A, Class 3A1, 3 mo. LIBOR + .08%, 1.17%, due 07/15/21		9,000,000
	20,632,993	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 2.25%, due 12/10/43		15,301,221
	4,303,145	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 1.67%, due 12/21/37		2,879,745
	987,020	Leek Finance Plc, Series 14A, Class A2B, 144A, 3 mo. LIBOR + .18%, 1.71%, due 09/21/36		931,654
	3,451,784	Leek Finance Plc, Series 15A, Class AB, 144A, 3 mo. LIBOR + .14%, 1.67%, due 03/21/37		2,968,534
	11,900,000	Mound Financing Plc, Series 5A, Class 2A, 144A, 3 mo. LIBOR + .04%, 1.28%, due 05/08/16		11,215,750
	6,591,686	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .21%, 1.45%, due 05/15/34		6,088,279
	11,548,800	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 1.35%, due 11/15/38		6,800,857
	7,116,161	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 2.10%, due 09/15/39		6,209,420
	36,200,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 1.32%, due 02/12/16		31,638,800
	3,270,000	Permanent Financing Plc, Series 4, Class 3A, 3 mo. LIBOR + .14%, 2.33%, due 03/10/24		3,264,016
	26,600,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 1.20%, due 07/15/33		21,945,000
	6,600,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 1.17%, due 10/15/33		5,399,790
	305,268	RMAC Securities Plc, Series 06-NS4A, Class A1B, 144A, 3 mo. LIBOR + .07%, 2.17%, due 06/12/25		304,505
		Total Residential Mortgage-Backed Securities (European)		245,038,526

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (United States) — 0.1%
	722,302	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.77%, due 08/25/35		296,106
	1,640,705	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, 1 mo. LIBOR + .25%, 0.72%, due 07/25/30		1,065,433
	3,677,125	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.73%, due 02/26/34		2,211,446
		Total Residential Mortgage-Backed Securities (United States)		3,572,985
		Student Loans — 5.0%
	5,786,645	College Loan Corp. Trust, Series 04-1, Class A2, 3 mo. LIBOR + .11%, 1.27%, due 04/25/16		5,633,310
	11,200,000	College Loan Corp. Trust, Series 06-1, Class A2, 3 mo. LIBOR + .02%, 1.18%, due 04/25/22		10,934,560
	20,300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 1.41%, due 01/25/24		19,285,000
	5,576,000	College Loan Corp. Trust, Series 07-1, Class A1, 3 mo. LIBOR + .01%, 1.17%, due 01/25/23		5,415,411
	5,081,092	Goal Capital Funding Trust, Series 06-1, Class A1, 3 mo. LIBOR, 1.25%, due 08/25/20		5,005,892
	5,164,911	Goal Capital Funding Trust, Series 07-1, Class A1, 3 mo. LIBOR + .02%, 1.49%, due 06/25/21		5,108,614
	2,873,584	Keycorp Student Loan Trust, Series 05-A, Class 2A1, 3 mo. LIBOR + .05%, 1.52%, due 09/27/21		2,781,572
	3,632,419	Montana Higher Education Student Assistance Corp., Series 05-1, Class A, 3 mo. LIBOR + .04%, 1.57%, due 06/20/15		3,498,020
	10,525,936	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.61%, due 08/25/23		9,473,342
	10,485,464	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, 1 mo. LIBOR + .08%, 0.55%, due 08/26/19		9,646,627
	9,600,000	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 1.61%, due 12/23/19		8,741,664
	8,691,939	SLC Student Loan Trust, Series 06-A, Class A2, 3 mo. LIBOR + .03%, 1.12%, due 10/15/15		8,496,710
	17,047,809	SLM Student Loan Trust, Series 05-1, Class A2, 3 mo. LIBOR + .08%, 1.24%, due 04/27/20		15,589,795

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 28, 2009

Par Value ($)		Description	Value ($)
		Student Loans — continued
	24,600,000	SLM Student Loan Trust, Series 05-3, Class A4, 3 mo. LIBOR + .07%, 1.23%, due 04/27/20		22,263,000
	15,717,704	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 2.03%, due 09/15/22		13,202,872
	25,300,000	SLM Student Loan Trust, Series 07-2, Class A2, 3 mo. LIBOR, 1.16%, due 07/25/17		23,592,250
	5,700,000	SLM Student Loan Trust, Series 07-6, Class A2, 3 mo. LIBOR + .25%, 1.41%, due 01/25/19		5,090,100
	11,100,000	SLM Student Loan Trust, Series 08-6, Class A3, 1 mo. LIBOR + .75%, 1.91%, due 01/25/19		9,967,453
		Total Student Loans		183,726,192
		Time Share — 0.1%
	5,413,276	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.47%, due 02/20/20		4,596,210
		Trade Receivables — 0.2%
	9,800,000	SSCE Funding LLC, Series 04-1A, Class A, 144A, 1 mo. LIBOR + .23%, 0.69%, due 11/15/10		9,310,000
		Total Asset-Backed Securities		3,528,379,547
		U.S. Government — 0.6%
	22,005,152	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a) (b)		21,701,432
		U.S. Government Agency — 1.3%
	10,875,000	Agency for International Development Floater (Support of India), 3 mo. LIBOR + .10%, 1.27%, due 02/01/27 (c)		9,636,230
	13,500,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 1.90%, due 10/29/26 (c)		12,634,569
	16,000,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR - .02%, 2.81%, due 02/01/25 (c)		14,857,330
	783,852	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.85%, due 05/01/14 (c)		744,480
	10,222,500	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 1.75%, due 07/01/23 (c)		9,570,360
		Total U.S. Government Agency		47,442,969
		TOTAL DEBT OBLIGATIONS (COST $4,891,212,004)		3,597,523,948

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 28, 2009

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.6%
		Money Market Funds — 2.6%
	70,558,573	State Street Institutional Liquid Reserves Fund-Institutional Class		70,558,573
	24,072,590	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		24,072,590
		TOTAL SHORT-TERM INVESTMENTS (COST $94,631,163)		94,631,163
		TOTAL INVESTMENTS — 100.4% (Cost $4,985,843,167)		3,692,155,111
		Other Assets and Liabilities (net) — (0.4%)		(15,407,319	)
		TOTAL NET ASSETS — 100.0%	$	3,676,747,792

See accompanying notes to the financial statements.

23

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date		Deliver/ Receive		Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Sales
	3/10/09		EUR		20,000,000	$	25,353,827	$	2,114,173

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium	Implied Credit Spread (1)	Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Market Value
	60,000,000	USD	9/20/2010	Morgan	Receive	0.40%	17.76%	Eagle Creek	60,000,000	USD	$	(14,465,887	)
				Stanley				CDO
	31,000,000	USD	3/20/2013	Morgan Stanley	Receive	0.25%	17.49%	MS Synthetic 2006-1	31,000,000	USD		(15,267,217	)
											$	(29,733,104	)
									Premiums to (Pay) Receive		$	—

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

See accompanying notes to the financial statements.

24

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

As of February 28, 2009, 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.

CapMAC - Insured as to the payment of principal and interest by Capital Markets Assurance Corporation.

CDO - Collateralized Debt Obligation

CMBS - Collateralized Mortgage Backed Security

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

RMAC - Residential Mortgage Acceptance Corp.

RMBS - Residential Mortgage Backed Security

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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 receivable for collateral on 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).

Currency Abbreviations:

EUR - Euro

USD - United States Dollar

See accompanying notes to the financial statements.

25

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $4,985,843,167) (Note 2)	$	3,692,155,111
Receivable for investments sold		1,542,580
Dividends and interest receivable		5,970,198
Unrealized appreciation on open forward currency contracts (Note 2)		2,114,173
Receivable for collateral on open swap contracts (Note 2)		7,530,000
Receivable for expenses reimbursed by Manager (Note 3)		119,397
Total assets		3,709,431,459
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		11,564
Payable for open swap contracts (Note 2)		29,733,104
Miscellaneous payable		2,537,983
Accrued expenses		401,016
Total liabilities		32,683,667
Net assets	$	3,676,747,792
Net assets consist of:
Paid-in capital	$	5,108,310,281
Distributions in excess of net investment income		(773,995	)
Accumulated net realized loss		(109,481,464	)
Net unrealized depreciation		(1,321,307,030	)
	$	3,676,747,792
Net assets	$	3,676,747,792
Shares outstanding:		215,076,521
Net asset value per share:	$	17.10

See accompanying notes to the financial statements.

26

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Interest	$	205,692,317
Dividends		3,164,329
Total investment income		208,856,646
Expenses:
Custodian, fund accounting agent and transfer agent fees		657,793
Audit and tax fees		93,128
Legal fees		449,083
Trustees fees and related expenses (Note 3)		113,853
Miscellaneous		68,039
Total expenses		1,381,896
Fees and expenses reimbursed by Manager (Note 3)		(1,089,446	)
Expense reductions (Note 2)		(982	)
Net expenses		291,468
Net investment income (loss)		208,565,178
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(328,230,494	)
Closed futures contracts		(1,147,405	)
Closed swap contracts		(10,714,968	)
Foreign currency, forward contracts and foreign currency related transactions		8,125,085
Net realized gain (loss)		(331,967,782	)
Change in net unrealized appreciation (depreciation) on:
Investments		(815,344,049	)
Open futures contracts		892,437
Open swap contracts		(12,328,122	)
Foreign currency, forward contracts and foreign currency related transactions		3,375,172
Net unrealized gain (loss)		(823,404,562	)
Net realized and unrealized gain (loss)		(1,155,372,344	)
Net increase (decrease) in net assets resulting from operations	$	(946,807,166	)

See accompanying notes to the financial statements.

27

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	208,565,178		$	413,372,282
Net realized gain (loss)		(331,967,782	)		(2,015,394	)
Change in net unrealized appreciation (depreciation)		(823,404,562	)		(512,996,708	)
Net increase (decrease) in net assets from operations		(946,807,166	)		(101,639,820	)
Distributions to shareholders from:
Net investment income		(266,488,025	)		(418,731,518	)
Return of capital		(538,644,733	)		—
		(805,132,758	)		(418,731,518	)
Net share transactions (Note 7):		(2,247,496,453	)		1,588,185,799
Redemption fees (Notes 2 and 7):		4,769,406			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(2,242,727,047	)		1,588,185,799
Total increase (decrease) in net assets		(3,994,666,971	)		1,067,814,461
Net assets:
Beginning of period		7,671,414,763			6,603,600,302
End of period (including distributions in excess of net investment income of $773,995 and accumulated undistributed net investment income of $44,272,074, respectively)	$	3,676,747,792		$	7,671,414,763

See accompanying notes to the financial statements.

28

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	24.03		$	25.66		$	25.60		$	25.33		$	25.18
Income (loss) from investment operations:
Net investment income (loss)†		0.76			1.38			1.43			1.01			0.59
Net realized and unrealized gain (loss)		(4.41	)		(1.64	)		0.00	(a)		(0.03	)		(0.09	)
Total from investment operations		(3.65	)		(0.26	)		1.43			0.98			0.50
Less distributions to shareholders:
From net investment income		(1.06	)		(1.37	)		(1.37	)		(0.71	)		(0.34	)
From net realized gains		—			—			—			—			(0.01	)
From return of capital		(2.22	)		—			—			—			—
Total distributions		(3.28	)		(1.37	)		(1.37	)		(0.71	)		(0.35	)
Net asset value, end of period	$	17.10		$	24.03		$	25.66		$	25.60		$	25.33
Total Return(b)		(15.97	)%		(1.14	)%		5.68	%		3.89	%		2.01	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,676,748		$	7,671,415		$	6,603,600		$	4,480,312		$	3,483,889
Net operating expenses to average daily net assets(c)		0.00	%(d)		0.00	%(d)		0.00	%		0.00	%		0.00	%
Interest expense to average daily net assets		—			—			0.01	%		0.02	%		—
Total net expenses to average daily net assets		0.00	%(d)(e)		0.00	%(d)(e)		0.01	%		0.02	%		0.00	%(e)
Net investment income to average daily net assets		3.46	%		5.41	%		5.50	%		3.96	%		2.31	%
Portfolio turnover rate		16	%		27	%		68	%		45	%		34	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.01	%		0.02	%		0.02	%		0.02	%
Redemption fees consisted of the following per share amounts:†	$	0.02			—			—			—			—

(a)  Net realized and unrealized gain (loss) was less than $0.01 per share.

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

(c)  Net operating expenses were less than 0.01% to average daily net assets.

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

(e)  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 financial statements.

29

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 comparable to 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 adjustable rate fixed income securities with low volatility (although market changes may indirectly result in volatility). Fixed income securities in which the Fund invests (some of which may have been downgraded), 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 adjustable interest rates (or may be hedged using derivatives to convert the fixed rate interest payments into adjustable rate interest payments), but may also include all types of interest rate, payment, and reset terms, including fixed rate, zero coupon, contingent, deferred, payment-in-kind, and auction rate features. The Fund may hold fixed income securities whose ratings after they were acquired were reduced below investment grade.

The Fund directly invests in asset-backed securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives

30

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund values debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 prices provided by a single source. As of February 28, 2009, the total value of these securities represented 38.42% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held

31

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued debt securities using indicative bids received from primary pricing sources. The Fund also valued certain credit default swaps using industry standard models and inputs from pricing vendors.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		116,332,595		2,114,173
Level 3 - Significant Unobservable Inputs		3,575,822,516		—
Total	$	3,692,155,111	$	2,114,173

*  Other financial instruments include forward currency contracts.

32

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		(29,733,104	)
Total	$	—	$	(29,733,104	)

**  Other financial instruments include swap agreements.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	1,370,228,960		$	—
Accrued discounts/premiums		2,493,885			—
Realized gain (loss)		(274,070,194	)		—
Change in unrealized appreciation/depreciation		(835,906,320	)		(20,743,168	)
Net purchases (sales)		(944,911,179	)		—
Net transfers in and/or out of Level 3		4,257,987,364			(8,989,936	)
Balance as of February 28, 2009	$	3,575,822,516		$	(29,733,104	)

***  Other financial instruments include swap agreements.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

33

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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

34

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

35

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss in the Statement of Operations.

36

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Payments received or made on swap agreements are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon termination of the swap agreements.

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of LehmanBrothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). The market value of the securities the Fund has sold

37

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

is determined daily and any additional required collateral is allocated to or sent by the Fund on the next business day. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions as determined by the Trustees (or their delegates). 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, foreign currency transactions, capital loss carryforwards, post-October capital and currency losses, differing treatment of accretion and amortization, and redemption in-kind transactions.

38

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	12,876,778	$	259,672,791	$	(272,549,569	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	266,488,025	$	418,731,518
Tax return of capital		538,644,733		—
Total distributions	$	805,132,758	$	418,731,518

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

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital and currency losses of $39,640,884 and $28,599, respectively.

As of February 28, 2009, 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	)
2/28/2017		(32,360,541	)
Total	$	(69,805,686	)

39

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	4,984,449,263	$	213,896	$	(1,292,508,048	)	$	(1,292,294,152	)

For the period ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $274,134,071.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity.

40

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 1.00% of the amount redeemed. Effective October 20, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the

41

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 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, 2009 (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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $98,923 and $41,588, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	63,698,142	$	58,009,447
Investments (non-U.S. Government securities)		835,992,382		3,083,572,090

42

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 66.99% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Each of the shareholders are other funds of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and 99.99% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
	Shares			Amount			Shares			Amount
Shares sold		89,796,548		$	2,127,502,850			333,248,563		$	8,426,752,200
Shares issued to shareholders in reinvestment of distributions		1,977,373			46,978,867			16,958,629			418,731,518
Shares repurchased		(195,999,454	)		(4,421,978,170	)		(288,235,189	)		(7,257,297,919	)
Redemption fees		—			4,769,406			—			—
Net increase (decrease)		(104,225,533	)	$	(2,242,727,047	)		61,972,003		$	1,588,185,799

43

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

44

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including redemption fees; 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, 2008 through February 28, 2009.

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 *
1) Actual		0.01	%	$	1,000.00	$	852.80	$	0.05
2) Hypothetical		0.01	%	$	1,000.00	$	1,024.74	$	0.05

*  Expenses are calculated using the annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

45

GMO Short-Duration Collateral Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $162,831,186 or if determined to be different, the qualified interest income of such year.

46

GMO Short-Duration Collateral 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. 1.38% of distributions to shareholders declared from return of capital 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.

47

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 Office1Length of and 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

48

Independent Trustees — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office1Length of and 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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

49

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser

50

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser

51

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Short-Duration Collateral Share Fund returned -15.9% for the fiscal year ended February 28, 2009, compared to +3.5% for the JPMorgan U.S. 3 Month Cash Index. The Fund underperformed the benchmark during the fiscal year by 19.4%.

The underperformance stemmed from price declines in the collateral pool in which the Fund invests a substantial portion of its total assets, the GMO Short Duration Collateral Fund (SDCF). SDCF invests primarily in U.S. and foreign floating-rate fixed income securities — mainly asset-backed securities.

Because the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs. In addition to widening spreads, SDCF suffered credit downgrades during the year: SDCF had 123 downgraded securities, representing 27.4% of its market value from the beginning of the year. At fiscal year-end, 73% of the SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB, and 5% was rated below B.

With the extreme price volatility of asset-backed securities during the fiscal year, SDCF underperformed LIBOR by nearly 20%, directly contributing to the Fund's underperformance given its 99% exposure to SDCF during the period.

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 redemption at the end of the stated period and reflects a transaction fee of 2.00% 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.

*   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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		97.8	%
Short-Term Investments		2.6
Forward Currency Contracts		0.1
Swaps		(0.8	)
Other		0.3
		100.0	%

*  The table above incorporates aggregate indirect asset class exposure associated with investments in GMO Short-Duration Collateral Fund.

Industry Sector Summary**	% of Debt Obligations
Credit Cards		23.2	%
Residential Asset-Backed Securities (United States)		13.6
Auto Financing		12.2
Residential Mortgage-Backed Securities (European)		6.8
Insured Auto Financing		6.8
CMBS		6.6
Business Loans		5.9
Student Loans		5.1
Residential Mortgage-Backed Securities (Australian)		4.0
Insured Other		2.0
Equipment Leases		1.9
Investment Grade Corporate Collateralized Debt Obligations		1.8
U.S. Government Agency		1.3
Rate Reduction Bonds		1.3
Bank Loan Collateralized Debt Obligations		1.2
CMBS Collateralized Debt Obligations		1.1
Insurance Premiums		0.9
Insured Credit Cards		0.8
Insured High Yield Collateralized Debt Obligations		0.7
U.S. Government		0.6
Insured Time Share		0.6
Insured Residential Mortgage-Backed Securities (United States)		0.5
Airlines		0.4
Trade Receivables		0.3
Insured Residential Asset-Backed Securities (United States)		0.1
Time Share		0.1
Insured Transportation		0.1
Residential Mortgage-Backed Securities (United States)		0.1
Collateralized Loan Obligations		0.0
Insured Business Loans		0.0
ABS Collateralized Debt Obligations		0.0
		100.0	%

**  The table above incorporates aggregate industry sector exposure associated with investments in GMO Short-Duration Collateral Fund.

1

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.6%
		Affiliated Issuers — 99.6%
	1,565,351	GMO Short-Duration Collateral Fund		26,767,495
		TOTAL MUTUAL FUNDS (COST $33,412,424)		26,767,495
		SHORT-TERM INVESTMENTS — 0.6%
		Money Market Funds — 0.6%
	157,534	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		157,534
		TOTAL SHORT-TERM INVESTMENTS (COST $157,534)		157,534
		TOTAL INVESTMENTS — 100.2%(Cost $33,569,958)		26,925,029
		Other Assets and Liabilities (net) — (0.2%)		(47,050	)
		TOTAL NET ASSETS — 100.0%	$	26,877,979

See accompanying notes to the financial statements.

2

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $157,534) (Note 2)	$	157,534
Investments in affiliated issuers, at value (cost $33,412,424) (Notes 2 and 8)		26,767,495
Cash		1,303
Dividends receivable		23
Receivable for expenses reimbursed by Manager (Note 3)		5,370
Total assets		26,931,725
Liabilities:
Payable to affiliate for (Note 3):
Management fee		1,026
Shareholder service fee		3,077
Trustees and Chief Compliance Officer of GMO Trust fees		89
Miscellaneous payable		110
Accrued expenses		49,444
Total liabilities		53,746
Net assets	$	26,877,979
Net assets consist of:
Paid-in capital	$	38,382,878
Accumulated net realized loss		(4,859,970	)
Net unrealized depreciation		(6,644,929	)
	$	26,877,979
Net assets attributable to:
Class III shares	$	26,877,979
Shares outstanding:
Class III		1,573,246
Net asset value per share:
Class III	$	17.08

See accompanying notes to the financial statements.

3

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	1,513,034
Dividends		466
Total investment income		1,513,500
Expenses:
Management fee (Note 3)		13,329
Shareholder service fee – Class III (Note 3)		39,987
Custodian, fund accounting agent and transfer agent fees		5,888
Audit and tax fees		35,403
Legal fees		399
Trustees fees and related expenses (Note 3)		555
Registration fees		1,656
Miscellaneous		2,956
Total expenses		100,173
Fees and expenses reimbursed by Manager (Note 3)		(46,121	)
Net expenses		54,052
Net investment income (loss)		1,459,448
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(461,840	)
Net realized gain (loss)		(461,840	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(5,988,117	)
Net realized and unrealized gain (loss)		(6,449,957	)
Net increase (decrease) in net assets resulting from operations	$	(4,990,509	)

See accompanying notes to the financial statements.

4

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,459,448		$	1,554,865
Net realized gain (loss)		(461,840	)		(422,578	)
Change in net unrealized appreciation (depreciation)		(5,988,117	)		(877,706	)
Net increase (decrease) in net assets from operations		(4,990,509	)		254,581
Distributions to shareholders from:
Net investment income
Class III		(1,520,770	)		(1,493,543	)
Return of capital
Class III		(2,186,109	)		—
		(3,706,879	)		(1,493,543	)
Net share transactions (Note 7):
Class III		24,925,353			(28,686,720	)
Redemption fees (Notes 2 and 7):
Class III		12,814			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		24,938,167			(28,686,720	)
Total increase (decrease) in net assets		16,240,779			(29,925,682	)
Net assets:
Beginning of period		10,637,200			40,562,882
End of period (including accumulated undistributed net investment income of $0 and $61,322, respectively)	$	26,877,979		$	10,637,200

See accompanying notes to the financial statements.

5

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	23.39		$	25.05		$	24.82
Income (loss) from investment operations:
Net investment income (loss)(b)†		1.17			1.07			(0.01	)
Net realized and unrealized gain (loss)		(4.92	)		(1.38	)		0.24
Total from investment operations		(3.75	)		(0.31	)		0.23
Less distributions to shareholders:
From net investment income		(0.81	)		(1.35	)		—
Return of capital		(1.75	)		—			—
Total distributions		(2.56	)		(1.35	)		—
Net asset value, end of period	$	17.08		$	23.39		$	25.05
Total Return(c)		(15.90	)%		(1.33	)%		0.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	26,878		$	10,637		$	40,563
Net expenses to average daily net assets		0.20	%		0.20	%		0.21	%*
Net investment income to average daily net assets(b)		5.47	%		4.25	%		(0.21	)%*
Portfolio turnover rate		18	%		127	%		125	%**††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.17	%		0.15	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—

(a)  Period from December 28, 2006 (commencement of operations) through February 28, 2007.

(b)  Net investment income is affected by the timing of the declaration of dividends by GMO Short-Duration Collateral Fund.

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

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the period from March 1, 2006 (commencement of operations) through February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

6

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 comparable to that of the JPMorgan U.S. 3 Month Cash Index. The Fund invests substantially all of its assets in GMO Short-Duration Collateral Fund ("SDCF") (an arrangement often referred to as a "master-feeder" structure) and, to a limited extent, in cash and cash equivalents. 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 adjustable rate fixed income securities with low volatility. SDCF may invest a substantial portion of its assets in asset-backed securities, some of which have been downgraded.

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.

The Fund indirectly (through SDCF) invests in asset-backed securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

2.  Significant accounting policies

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

7

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of SDCF are generally valued at their net asset value.

Investments held by SDCF 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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems it appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 38.26% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a

8

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		26,925,029		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	26,925,029	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs (which include Level 3 - Significant Unobservable Inputs) please refer to SDCF's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after

9

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions as determined by the Trustees (or their delegates). 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	—	$	17,629	$	(17,629	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	1,520,770	$	1,493,543
Tax return of capital		2,186,109		—
Total distributions	$	3,706,879	$	1,493,543

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

10

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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	$	(3,400,357	)
2/28/2017		(862,157	)
Total	$	(4,262,514	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	34,167,414	$	—	$	(7,242,385	)	$	(7,242,385	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in SDCF (See Note 3).

11

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 1.00% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

12

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.05% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in SDCF, 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 SDCF. For the year ended February 28, 2009, 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
	0.005	%		0.000	%		0.000	%		0.005	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $555 and $181, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

13

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $30,353,197 and $4,650,600, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 83.88% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 86.93% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,190,692		$	27,314,596			1,953,067		$	49,066,088
Shares issued to shareholders in reinvestment of distributions		144,906			2,586,630			62,533			1,492,040
Shares repurchased		(217,211	)		(4,975,873	)		(3,180,036	)		(79,244,848	)
Redemption fees		—			12,814			—			—
Net increase (decrease)		1,118,387		$	24,938,167			(1,164,436	)	$	(28,686,720	)

14

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	10,677,894	$	30,353,197	$	4,650,600	$	1,513,034	u	$	—	$	26,767,495
Totals	$	10,677,894	$	30,353,197	$	4,650,600	$	1,513,034		$	—	$	26,767,495

^u  The Fund received total distributions in the amount of $4,676,073, of which $3,163,039 was a return of capital.

15

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 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

16

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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		0.21	%	$	1,000.00	$	854.30	$	0.97
2) Hypothetical		0.21	%	$	1,000.00	$	1,023.75	$	1.05

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

17

GMO Short-Duration Collateral Share Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $675,988 or if determined to be different, the qualified interest income of such year.

18

GMO Short Duration Collateral Share 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. 1.38% of distributions to shareholders declared from return of capital 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.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

21

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

23

GMO Special Situations Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Special Situations Fund

(A Series of GMO Trust)

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 Special Situations Fund's investment objectives are capital appreciation and capital preservation.

Shares of the Fund are not publicly offered and are principally available only to other GMO Funds and certain other accredited investors.

The Class III shares of the Fund returned +19.5% for the fiscal year ended February 28, 2009, as compared to +1.3% for the Citigroup 3-Month Treasury Bill Index. During the fiscal year the Fund was exposed substantially to currencies through its investment in currency forwards.

Implementation was positive, driven by long positions in Japanese yen and Swiss francs.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Short-Term Investments		83.4	%
Debt Obligations		15.7
Swaps		0.4
Written Options		(1.4	)
Other		1.9
		100.0	%

1

GMO Special Situations Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 15.7%
		Foreign Government Obligations — 9.6%
JPY	1,536,720,000	Japanese Government CPI Linked Bond, 1.10%, due 09/10/16 (a)		13,147,817
JPY	789,432,000	Japanese Government CPI Linked Bond, 1.00%, due 06/10/16 (a)		6,693,529
JPY	792,948,000	Japanese Government CPI Linked Bond, 0.80%, due 03/10/16 (a)		6,690,842
JPY	785,850,000	Japanese Government CPI Linked Bond, 0.80%, due 12/10/15 (a)		6,691,340
		Total Foreign Government Obligations		33,223,528
		U.S. Government — 6.1%
	21,647,340	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a)		21,356,443
		TOTAL DEBT OBLIGATIONS (COST $56,387,602)		54,579,971
		SHORT-TERM INVESTMENTS — 83.4%
		Money Market Funds — 5.0%
	17,245,583	State Street Institutional Treasury Money Market Fund-Institutional Class		17,245,583
		Other Short-Term Investments — 78.4%
	38,278,369	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		38,278,369
	234,000,000	U.S. Treasury Bill, 0.48%, due 09/24/09 (b)		233,357,202
		Total Other Short-Term Investments		271,635,571
		TOTAL SHORT-TERM INVESTMENTS (COST $288,133,027)		288,881,154
		TOTAL INVESTMENTS — 99.1% (Cost $344,520,629)		343,461,125
		Other Assets and Liabilities (net) — 0.9%		3,052,852
		TOTAL NET ASSETS — 100.0%	$	346,513,977

See accompanying notes to the financial statements.

2

GMO Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Written Options

A summary of open written option contracts for the Fund at February 28, 2009 is as follows:

Notional Amount			Expiration Date	Description	Premiums			Market Value
Put	$	13,000	2/25/2011	USD S&P 500 Index, Strike 625.00	$	(1,125,800	)	$	(1,291,691	)
Put		13,000	2/24/2012	USD S&P 500 Index, Strike 625.00		(1,410,240	)		(1,602,552	)
Put		13,000	2/25/2013	USD S&P 500 Index, Strike 625.00		(1,616,420	)		(1,822,302	)
					$	(4,152,460	)	$	(4,716,545	)

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate			Variable Rate	Market Value
	100,000,000	USD	11/15/2022	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR	$	1,654,297
	100,000,000	USD	11/25/2023	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		2,386,313
										$	4,040,610
									Premiums to (Pay) Receive	$	103,299

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay			Receive	Market Value
	100,000,000	USD	8/12/2009	JP Morgan		1.00	%	Return on Treasury
				Chase Bank				Coupon STRIP	$	(1,868,383	)
	100,000,000	USD	8/19/2009	JP Morgan		1.00	%	Return on Treasury
				Chase Bank				Principal STRIP		(918,444	)
									$	(2,786,827	)
								Premiums to (Pay) Receive	$	—

As of February 28, 2009, for the swap contracts held, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

See accompanying notes to the financial statements.

3

GMO Special Situations Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

CPI - Consumer Price Index

LIBOR - London Interbank Offered Rate

(a)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

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

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

See accompanying notes to the financial statements.

4

GMO Special Situations Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $344,520,629) (Note 2)	$	343,461,125
Receivable for investments sold		4,152,460
Interest receivable		215,734
Interest receivable for open swap contracts		36,698
Receivable for open swap contracts (Note 2)		4,040,610
Receivable for collateral on open swap contracts (Note 2)		2,320,000
Receivable for expenses reimbursed by Manager (Note 3)		5,992
Total assets		354,232,619
Liabilities:
Payable to affiliate for (Note 3):
Management fee		98,464
Shareholder service fee		16,123
Trustees and Chief Compliance Officer of GMO Trust fees		1,141
Payable for open swap contracts (Note 2)		2,786,827
Written options outstanding, at value (premiums $4,152,460) (Note 2)		4,716,545
Accrued expenses		99,542
Total liabilities		7,718,642
Net assets	$	346,513,977
Net assets attributable to:
Class III shares	$	20,366,007
Class VI shares	$	326,147,970
Shares outstanding:
Class III		799,729
Class VI		12,785,983
Net asset value per share:
Class III	$	25.47
Class VI	$	25.51

See accompanying notes to the financial statements.

5

GMO Special Situations Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Interest	$	8,298,816
Dividends		117,622
Total investment income		8,416,438
Expenses:
Management fee (Note 3)		2,099,073
Shareholder service fee – Class III (Note 3)		91,746
Shareholder service fee – Class VI (Note 3)		278,385
Custodian, fund accounting agent and transfer agent fees		78,604
Audit and tax fees		44,789
Legal fees		45,376
Trustees fees and related expenses (Note 3)		13,143
Miscellaneous		8,484
Total expenses		2,659,600
Fees and expenses reimbursed by Manager (Note 3)		(163,698	)
Net expenses		2,495,902
Net investment income (loss)		5,920,536
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		1,112,609
Closed swap contracts		(66,601	)
Foreign currency, forward contracts and foreign currency related transactions		93,964,689
Net realized gain (loss)		95,010,697
Change in net unrealized appreciation (depreciation) on:
Investments		(1,131,654	)
Open swap contracts		1,357,082
Written options		(564,085	)
Foreign currency, forward contracts and foreign currency related transactions		(7,718,831	)
Net unrealized gain (loss)		(8,057,488	)
Net realized and unrealized gain (loss)		86,953,209
Net increase (decrease) in net assets resulting from operations	$	92,873,745

See accompanying notes to the financial statements.

6

GMO Special Situations Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Period from July 31, 2007 (commencement of operations) through February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	5,920,536		$	8,357,568
Net realized gain (loss)		95,010,697			28,532,325
Change in net unrealized appreciation (depreciation)		(8,057,488	)		7,783,956
Net increase (decrease) in net assets from operations		92,873,745			44,673,849
Net share transactions (Note 7):
Class III		(77,529,015	)		85,973,660
Class VI		(350,165,495	)		550,687,233
Increase (decrease) in net assets resulting from net share transactions		(427,694,510	)		636,660,893
Total increase (decrease) in net assets		(334,820,765	)		681,334,742
Net assets:
Beginning of period		681,334,742			—
End of period	$	346,513,977		$	681,334,742

See accompanying notes to the financial statements.

7

GMO Special Situations Fund

(A Series of GMO Trust)

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

	Year Ended February 28, 2009			Period from August 13, 2007 (commencement of operations) through February 29, 2008
Net asset value, beginning of period	$	21.32		$	20.09
Income (loss) from investment operations:
Net investment income (loss)†		0.26			0.31
Net realized and unrealized gain (loss)		3.89			0.92
Total from investment operations		4.15			1.23
Net asset value, end of period	$	25.47		$	21.32
Total Return(a)		19.47	%		6.12	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	20,366		$	88,204
Net expenses to average daily net assets		0.52	%		0.53	%*
Net investment income to average daily net assets		1.20	%		2.71	%*
Portfolio turnover rate		62	%		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		0.05	%*

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

†  Calculated using average shares outstanding throughout the period.

††  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)

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

	Year Ended February 28, 2009			Period from July 31, 2007 (commencement of operations) through February 29, 2008
Net asset value, beginning of period	$	21.33		$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.34
Net realized and unrealized gain (loss)		3.95			0.99
Total from investment operations		4.18			1.33
Net asset value, end of period	$	25.51		$	21.33
Total Return(a)		19.60	%		6.65	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	326,148		$	593,131
Net expenses to average daily net assets		0.43	%		0.43	%*
Net investment income to average daily net assets		1.03	%		2.84	%*
Portfolio turnover rate		62	%		0	%††**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		0.05	%*

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

†  Calculated using average shares outstanding throughout the period.

††  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.

9

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

1.  Organization

GMO Special Situations 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's investment objectives are capital appreciation and capital preservation. The Fund seeks to achieve its investment objectives by implementing investment strategies that 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 (long or short) to any particular market. The Fund may have substantial exposure (long or short) to a particular country or type of country (e.g., emerging countries). The Fund could be subject to material losses from a single investment. The Fund does not seek to control risk relative to a particular securities market index or benchmark. In addition, the Fund does not seek to outperform a particular securities market index or blend of market indices (i.e., the Fund does not seek "relative" return).

As of February 28, 2009, 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.

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

10

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	271,635,571	$	—
Level 2 - Other Significant Observable Inputs		71,825,554		4,040,610
Level 3 - Significant Unobservable Inputs		—		—
Total	$	343,461,125	$	4,040,610

*  Other financial instruments include swap agreements.

11

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(7,503,372	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(7,503,372	)

**  Other financial instruments include swap agreements and written options.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

12

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

13

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the year ended February 28, 2009, the Fund's investment activity in options contracts written by the Fund was as follows:

	Puts						Calls
	Principal Amount of Contracts			Premiums			Principal Amount of Contracts		Premiums
Outstanding, beginning of year	$	—		$	—		$	—	$	—
Options written		(39,000	)		(4,152,460	)		—		—
Options exercised		—			—			—		—
Options expired		—			—			—		—
Options sold		—			—			—		—
Outstanding, end of year	$	(39,000	)	$	(4,152,460	)	$	—	$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange

14

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

15

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer

16

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, the Fund did not participate in securities lending.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to federal income tax. Instead, each shareholder is required to take into account in determining its tax liability its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. Accordingly, no provision (benefit) for federal and state income taxes is reflected in the accompanying financial statements.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	344,520,629	$	1,507,603	$	(2,567,107	)	$	(1,059,504	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

17

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Distributions

Because the Fund has elected to be treated as a partnership for tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Fund to declare and pay distributions as determined by the Trustees (or their delegates).

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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. Additionally, the investment

18

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risks associated with an investment in the underlying funds may be greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.37% of average daily net assets. The Fund has adopted a Shareholder Service Plan under 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.37% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $11,535 and $3,905, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

19

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	54,320,584	$	33,460,425
Investments (non-U.S. Government securities)		35,297,448		—

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 86.09% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund's shares were held by accounts for which the Manager had investment discretion.

20

GMO Special Situations Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Period from August 13, 2007, (commencement of operations) through February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		112,442		$	2,461,097			4,137,904		$	85,973,660
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		(3,450,617	)		(79,990,112	)		—			—
Net increase (decrease)		(3,338,175	)	$	(77,529,015	)		4,137,904		$	85,973,660
	Year Ended February 28, 2009						Period from July 31, 2007, (commencement of operations) through February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		283,402		$	6,515,930			30,240,773		$	602,709,982
Shares issued to shareholders in reinvestment of distributions		—			—			—			—
Shares repurchased		(15,304,605	)		(356,681,425	)		(2,433,587	)		(52,022,749	)
Net increase (decrease)		(15,021,203	)	$	(350,165,495	)		27,807,186		$	550,687,233

21

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 28, 2009, the results of its operations for the year then ended and the changes in its net assets 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

22

GMO Special Situations Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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 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 Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
Class III
1) Actual		0.52	%	$	1,000.00	$	1,174.30	$	2.80
2) Hypothetical		0.52	%	$	1,000.00	$	1,022.22	$	2.61
Class VI
1) Actual		0.43	%	$	1,000.00	$	1,174.50	$	2.32
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.66	$	2.16

*  Expenses are calculated using each Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

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/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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

25

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

26

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

27

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Tax-Managed International Equities Fund declined 46.7% for the fiscal year ended February 28, 2009, as compared to the 50.2% decline for the MSCI EAFE Index. On an after-tax basis, the Fund returned -47.1% compared to the benchmark's -50.3% return for the same period (calculated using the historical highest individual federal marginal income tax rates and not taking into account the impact of state and local taxes). Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in international equity securities throughout the period.

Sector selection contributed positively for the fiscal year. Underweight exposure to Financial Services stocks and overweight exposure to Health Care stocks were the top two sources of positive return. An overweight in Energy stocks also contributed positively, but was offset by overweight exposure to Materials stocks.

Stock selection was a negative factor for the fiscal year period. The portfolio benefited from positive selection within Consumer Staples, Health Care, and Consumer Discretionary stocks. However, poor selection within Financial Services and Industrial stocks outweighed these gains.

Country selection was a moderately positive factor for the year, primarily due to overweight exposure to Japan, which significantly outperformed the market. Last year's key source of contribution, emerging equities, was not a significant factor in performance relative to the benchmark for the period. The portfolio's exposure to emerging markets was reduced during the first half of the period, and the portfolio had no exposure to emerging equities after mid-August.

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 Tax-Managed International Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.9	%
Short-Term Investments		4.3
Preferred Stocks		0.1
Rights and Warrants		0.0
Futures		(0.1	)
Other		0.8
		100.0	%
Country Summary	% of Equity Investments
Japan		29.4	%
United Kingdom		20.9
France		11.9
Switzerland		11.0
Germany		6.1
Italy		3.2
Canada		2.7
Hong Kong		2.6
Australia		2.2
Netherlands		2.2
Singapore		1.4
Sweden		1.2
Belgium		1.1
Spain		1.1
Finland		0.9
Denmark		0.6
Greece		0.6
Ireland		0.4
Norway		0.3
Austria		0.1
New Zealand		0.1
		100.0	%

1

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Health Care		20.3	%
Energy		13.0
Consumer Discretionary		12.5
Consumer Staples		11.9
Financials		11.3
Telecommunication Services		7.3
Utilities		6.8
Materials		6.7
Industrials		5.9
Information Technology		4.3
		100.0	%

2

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Australia — 2.1%
	116,687	Australia and New Zealand Banking Group Ltd		977,374
	62,291	National Australia Bank Ltd		699,689
	123,622	Origin Energy Ltd		1,067,160
	36,778	QBE Insurance Group Ltd		441,726
	100,337	Santos Ltd		986,448
	313,061	Stockland (REIT)		536,220
	75,951	TABCORP Holdings Ltd		307,768
	301,138	Telstra Corp Ltd		678,668
	88,814	Woodside Petroleum Ltd		2,021,351
	51,116	Woolworths Ltd		849,378
		Total Australia		8,565,782
		Austria — 0.1%
	18,071	OMV AG		470,761
		Belgium — 1.0%
	16,534	Belgacom SA		538,167
	8,420	Colruyt SA		1,908,854
	3,339	Delhaize Group		192,785
	133,416	Dexia		277,928
	230,948	Fortis		380,532
	18,737	KBC Groep NV		194,477
	11,460	Solvay SA		648,551
		Total Belgium		4,141,294
		Canada — 2.6%
	82,100	Bank of Montreal		1,825,663
	34,400	Bank of Nova Scotia		776,312
	14,600	Canadian Imperial Bank of Commerce		495,197
	36,500	Canadian National Railway Co		1,172,292
	21,800	Canadian Pacific Railway Ltd		616,884
	22,800	Magna International Inc Class A		584,965

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 28, 2009

Shares		Description	Value ($)
		Canada — continued
	46,700	National Bank of Canada		1,390,502
	53,600	Petro-Canada		1,183,059
	11,900	Potash Corp of Saskatchewan Inc		998,807
	30,800	Royal Bank of Canada		748,574
	55,700	Sun Life Financial Inc		871,708
		Total Canada		10,663,963
		Denmark — 0.6%
	34,522	Novo-Nordisk A/S Class B		1,680,995
	14,105	Vestas Wind Systems A/S *		614,186
		Total Denmark		2,295,181
		Finland — 0.9%
	25,430	Fortum Oyj		436,753
	122,939	Nokia Oyj		1,151,978
	19,800	Rautaruukki Oyj		328,555
	83,464	Sampo Oyj Class A		1,097,731
	44,186	Tietoenator Oyj		550,987
		Total Finland		3,566,004
		France — 11.3%
	29,738	Air France		270,202
	15,708	Air Liquide SA		1,146,251
	100,535	ArcelorMittal		1,926,927
	76,966	BNP Paribas		2,492,558
	3,285	Bongrain SA		165,702
	23,689	Cap Gemini SA		678,894
	8,940	Carrefour SA		298,846
	17,481	Casino Guichard-Perrachon SA		1,079,998
	18,338	Cie de Saint-Gobain		418,329
	4,715	Dassault Systemes SA		163,401
	35,628	Essilor International SA		1,229,597
	1,804	Esso SAF		169,347
	127,706	France Telecom SA		2,853,944

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 28, 2009

Shares		Description	Value ($)
		France — continued
	94,851	GDF Suez		2,995,374
	16,002	GDF Suez VVPR Strip *		20
	18,507	Hermes International		1,562,797
	10,797	L'Oreal SA		694,542
	4,045	NYSE Euronext		67,040
	4,196	Pernod-Ricard SA		228,476
	25,445	Peugeot SA		432,982
	33,163	Renault SA		476,197
	238,470	Sanofi-Aventis		12,256,671
	8,092	SES		148,214
	55,121	Societe Generale		1,708,620
	109,319	STMicroelectronics NV		480,406
	4,196	Suez Environnement SA *		61,069
	20	Suez SA VVPR Strip *		—
	248,035	Total SA		11,653,068
	4,609	Unibail-Rodamco (REIT)		578,611
	9,335	Vallourec SA		726,585
		Total France		46,964,668
		Germany — 5.7%
	37,213	Adidas AG		1,069,809
	7,220	Allianz SE (Registered)		484,661
	16,802	BASF AG		466,081
	46,807	Bayerische Motoren Werke AG		1,157,798
	6,648	Beiersdorf AG		275,350
	14,600	Demag Cranes AG		284,269
	84,031	Deutsche Post AG (Registered)		803,867
	251,493	Deutsche Telekom AG (Registered)		3,041,258
	37,427	E.ON AG		962,432
	32,350	Fresenius Medical Care AG & Co		1,315,336
	46,659	Gildemeister AG		271,099
	36,072	Hannover Rueckversicherungs AG (Registered)		1,285,981
	51,526	Heidelberger Druckmaschinen AG		212,904
	30,835	K&S AG		1,372,577

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 28, 2009

Shares		Description	Value ($)
		Germany — continued
	35,099	Kloeckner & Co AG		392,110
	5,100	MTU Aero Engines Holding AG		130,844
	5,582	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		680,207
	28,935	Norddeutsche Affinerie AG		719,330
	10,746	RWE AG		683,485
	20,662	Salzgitter AG		1,276,129
	145,541	SAP AG		4,675,455
	37,543	SGL Carbon SE *		828,570
	37,961	Suedzucker AG		672,365
	29,502	ThyssenKrupp AG		520,931
		Total Germany		23,582,848
		Greece — 0.5%
	46,621	National Bank of Greece SA		569,914
	63,810	OPAP SA		1,640,489
		Total Greece		2,210,403
		Hong Kong — 2.4%
	682,000	BOC Hong Kong Holdings Ltd		678,284
	595,400	CLP Holdings Ltd		4,401,519
	203,100	Esprit Holdings Ltd		1,093,779
	99,500	Hang Seng Bank Ltd		1,100,672
	461,500	Hong Kong Electric Holdings Ltd		2,845,385
		Total Hong Kong		10,119,639
		Ireland — 0.4%
	80,660	CRH Plc		1,656,538
		Italy — 3.1%
	142,819	Enel SPA		709,841
	403,302	ENI SPA		8,049,740
	223,415	Mediaset SPA		991,462
	32,935	Snam Rete Gas SPA		163,193
	647,350	Telecom Italia SPA		786,866

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 28, 2009

Shares		Description	Value ($)
		Italy — continued
	1,117,630	Telecom Italia SPA-Di RISP		1,062,940
	218,791	Terna SPA		679,562
	259,230	UniCredit SPA		328,343
		Total Italy		12,771,947
		Japan — 27.9%
	5,000	ABC-Mart Inc		109,453
	7,460	Acom Co Ltd		182,506
	107,400	Asahi Breweries Ltd		1,344,802
	152,000	Asahi Kasei Corp		482,954
	44,500	Astellas Pharma Inc		1,476,664
	41,500	Bridgestone Corp		565,220
	43,400	Canon Inc		1,095,289
	47,500	Chubu Electric Power Co Inc		1,171,107
	223,000	Cosmo Oil Co Ltd		618,102
	15,700	Culture Convenience Club Co Ltd		108,328
	594	CyberAgent Inc		270,037
	83,650	Daiei Inc *		260,250
	15,100	Daito Trust Construction Co Ltd		475,519
	110,000	Daiwa Securities Group Inc		377,862
	65,000	Daiwabo Co Ltd		145,605
	7,100	Don Quijote Co Ltd		83,767
	51,000	Dowa Holdings Co Ltd		157,206
	37,200	Eisai Co Ltd		1,139,690
	22,600	Electric Power Development Co Ltd		722,102
	27,700	FamilyMart Co Ltd		934,441
	39,600	Fast Retailing Co Ltd		3,977,822
	443,000	Fuji Heavy Industries Ltd		1,411,553
	49,000	Furukawa Electric Co Ltd (The)		127,038
	229,000	GS Yuasa Corp		940,617
	138,000	Hanwa Co Ltd		371,762
	439,000	Hitachi Ltd		1,093,161
	294,700	Honda Motor Co Ltd		7,047,101
	48,300	Hosiden Corp		506,396

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	146	INPEX Corp		987,730
	76,000	Iseki & Co Ltd *		172,626
	43,000	Itochu Corp		192,809
	59,600	JFE Holdings Inc		1,289,620
	51,000	JGC Corp		581,250
	192,000	Kajima Corp		401,355
	31	Kakaku.com Inc		91,430
	106,000	Kamigumi Co Ltd		679,173
	24,000	Kansai Electric Power Co Inc		577,049
	127,000	Kao Corp		2,413,531
	216,000	Kawasaki Kisen Kaisha Ltd		679,054
	6,200	Keyence Corp		1,170,182
	44,000	Kirin Holdings Co Ltd		424,694
	17,000	Kyudenko Corp		117,949
	34,400	Kyushu Electric Power Co Inc		814,686
	23,500	Lawson Inc		1,017,593
	42,000	Leopalace21 Corp		233,319
	193,000	Marubeni Corp		599,174
	712,000	Mazda Motor Corp		899,541
	47,500	Mitsubishi Chemical Holdings Corp		161,340
	99,000	Mitsubishi Corp		1,231,706
	336,000	Mitsubishi Heavy Industries Ltd		940,780
	237,300	Mitsubishi UFJ Financial Group Inc		1,072,032
	18,380	Mitsubishi UFJ Lease & Finance Co Ltd		319,857
	346,000	Mitsui Mining & Smelting Co Ltd		487,452
	177,000	Mitsui OSK Lines Ltd		897,157
	1,030,300	Mizuho Financial Group Inc		1,941,899
	24,100	Murata Manufacturing Co Ltd		915,007
	33,000	Nagase & Co		260,321
	60	Net One Systems Co Ltd		84,288
	2,700	Nintendo Co Ltd		770,849
	19,000	Nippon Corp		152,079
	73,000	Nippon Meat Packers Inc		706,652
	444,500	Nippon Mining Holdings Inc		1,543,811

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	412,000	Nippon Oil Corp		1,963,522
	25,900	Nippon Paper Group Inc		574,131
	117,800	Nippon Telegraph & Telephone Corp		5,037,064
	115,000	Nippon Yakin Koguo Co Ltd		221,415
	360,000	Nippon Yusen KK		1,485,058
	902,200	Nissan Motor Co		2,754,186
	105,000	Nisshinbo Industries Inc		749,345
	3,200	Nitori Co Ltd		169,444
	2,786	NTT Docomo Inc		4,340,087
	137,000	Obayashi Corp		576,004
	145,000	OJI Paper Co Ltd		536,303
	23,300	Ono Pharmaceutical Co Ltd		1,078,594
	2,400	Oriental Land Co Ltd		157,462
	29,960	ORIX Corp		608,611
	557,000	Osaka Gas Co Ltd		1,991,554
	180,000	Pacific Metals Co Ltd		689,477
	58,000	Panasonic Corp		671,536
	8,750	Point Inc		357,901
	1,949	Rakuten Inc		1,002,897
	117,800	Resona Holdings Inc		2,019,801
	117,400	Ricoh Company Ltd		1,326,117
	22,600	Ryohin Keikaku Co Ltd		795,225
	7,600	Ryosan Co		166,092
	45,900	Sankyo Co Ltd		2,059,966
	138,400	Sega Sammy Holdings Inc		1,177,787
	293,700	Seven & I Holdings Co Ltd		6,508,932
	2,200	Shimamura Co Ltd		113,550
	45,600	Shin-Etsu Chemical Co Ltd		2,030,186
	19,000	Shionogi & Co Ltd		308,541
	597,800	Sojitz Corp		671,802
	79,800	SUMCO Corp		988,746
	85,400	Sumitomo Corp		713,040
	109,600	Sumitomo Electric Industries Ltd		851,657
	712,000	Sumitomo Metal Industries Ltd		1,333,776

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	86,000	Sumitomo Metal Mining Co Ltd		858,438
	185,000	Sumitomo Trust & Banking Co Ltd		611,012
	270,000	Taisei Corp		478,019
	43,000	Taisho Pharmaceutical Co Ltd		771,875
	55,800	Takeda Pharmaceutical Co Ltd		2,253,752
	16,200	Terumo Corp		496,468
	7,300	Tohoku Electric Power Co Inc		170,915
	23,900	Tokio Marine Holdings Inc		542,792
	113,600	Tokyo Electric Power Co Inc (The)		3,206,933
	345,000	Tokyo Gas Co Ltd		1,382,051
	96,500	Tokyo Steel Manufacturing Co		948,739
	97,000	TonenGeneral Sekiyu KK		916,554
	33,000	Toyo Suisan Kaisha Ltd		780,997
	43,100	Toyota Motor Corp		1,380,478
	9,100	Unicharm Corp		594,507
	129,000	UNY Co Ltd		943,458
	8,290	USS Co Ltd		334,431
	2,768	Yahoo Japan Corp		791,791
	13,900	Yamaha Motor Co Ltd		118,422
		Total Japan		115,635,790
		Netherlands — 2.1%
	426,101	Aegon NV		1,516,528
	16,246	Boskalis Westminster		309,006
	11,909	European Aeronautic Defense and Space Co NV		172,904
	58,234	Heineken NV		1,554,890
	411,806	ING Groep NV		1,861,482
	67,353	Koninklijke Ahold NV		747,356
	55,862	Koninklijke DSM NV		1,276,641
	52,954	Reed Elsevier NV		588,362
	42,526	Unilever NV		814,853
		Total Netherlands		8,842,022
		New Zealand — 0.1%
	406,172	Telecom Corp of New Zealand		492,304

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 28, 2009

Shares		Description	Value ($)
		Norway — 0.3%
	15,144	Frontline Ltd		313,882
	56,474	StatoilHydro ASA		937,619
		Total Norway		1,251,501
		Singapore — 1.4%
	331,000	Oversea-Chinese Banking Corp Ltd		945,641
	693,000	SembCorp Marine Ltd		614,846
	186,000	Singapore Exchange Ltd		536,194
	89,000	Singapore Press Holdings Ltd		155,626
	1,374,670	Singapore Telecommunications		2,163,501
	193,000	United Overseas Bank Ltd		1,229,825
		Total Singapore		5,645,633
		Spain — 1.0%
	47,135	Banco Popular Espanol SA		223,055
	78,740	Banco Santander SA		481,015
	25,020	Inditex SA		938,562
	101,414	Repsol YPF SA		1,548,983
	52,275	Telefonica SA		962,072
		Total Spain		4,153,687
		Sweden — 1.1%
	64,400	Hennes & Mauritz AB Class B		2,388,865
	89,103	Investor AB Class B		1,005,755
	60,501	Nordea Bank AB		301,651
	19,698	SKF AB Class B		164,199
	58,100	Svenska Handelsbanken AB Class A		695,375
		Total Sweden		4,555,845
		Switzerland — 10.5%
	3,565	Actelion Ltd (Registered) *		168,594
	2,523	Bobst Group AG (Registered)		63,532
	38,103	Ciba Holding AG *		1,605,743
	51,153	Compagnie Financiere Richemont SA Class A		675,569
	344,269	Nestle SA (Registered)		11,254,302

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 28, 2009

Shares		Description	Value ($)
		Switzerland — continued
	495,364	Novartis AG (Registered)		18,072,518
	40,688	Roche Holding AG (Non Voting)		4,618,802
	6,641	Swatch Group AG		738,714
	597	Swisscom AG (Registered)		178,822
	7,497	Syngenta AG (Registered)		1,602,690
	25,174	Synthes Inc		2,921,324
	163,477	UBS AG (Registered) *		1,530,788
		Total Switzerland		43,431,398
		United Kingdom — 19.8%
	165,228	3i Group Plc		470,195
	325,436	AstraZeneca Plc		10,320,162
	13,069	Autonomy Corp Plc *		225,237
	104,215	BAE Systems Plc		550,198
	843,298	Barclays Plc		1,106,338
	446,084	BG Group Plc		6,376,496
	275,317	BP Plc		1,753,979
	110,157	British American Tobacco Plc		2,815,652
	442,283	BT Group Plc		565,043
	111,818	Burberry Group Plc		407,992
	76,340	Cable & Wireless Plc		149,397
	195,670	Cadbury Plc		1,489,740
	16,250	Capita Group Plc		153,341
	162,463	Centrica Plc		624,785
	49,061	Cobham Plc		134,663
	405,010	Compass Group Plc		1,779,386
	165,679	Diageo Plc		1,910,486
	116,587	Drax Group Plc		861,301
	1,722,106	DSG International Plc		495,292
	1,232,786	GlaxoSmithKline Plc		18,697,419
	386,361	Home Retail Group Plc		1,164,638
	168,472	HSBC Holdings Plc		1,171,747
	23,999	Imperial Tobacco Group Plc		574,583
	1,526,182	Lloyds Banking Group Plc		1,252,811
	71,343	Next Plc		1,183,077

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	51,139	Reckitt Benckiser Group Plc		1,956,861
	122,040	Reed Elsevier Plc		911,702
	39,764	Rio Tinto Plc		1,015,061
	2,819,904	Royal Bank of Scotland Group Plc		918,412
	212,792	Royal Dutch Shell Group Class A (Amsterdam)		4,651,998
	5,634	Royal Dutch Shell Plc A Shares (London)		123,691
	118,362	Royal Dutch Shell Plc B Shares (London)		2,484,517
	91,642	Scottish & Southern Energy Plc		1,493,350
	55,486	Signet Jewelers Ltd		422,675
	157,015	Smith & Nephew Plc		1,112,674
	241,841	Tesco Plc		1,146,922
	94,798	Travis Perkins Plc		439,262
	119,452	Tullow Oil Plc		1,240,488
	36,764	Unilever Plc		710,197
	3,279,824	Vodafone Group Plc		5,811,492
	253,927	William Hill Plc		853,077
	251,559	Wolseley Plc		635,309
		Total United Kingdom		82,161,646
		TOTAL COMMON STOCKS (COST $597,027,262)		393,178,854
		PREFERRED STOCKS — 0.1%
		Germany — 0.1%
	8,506	Volkswagen AG 5.36%		381,147
		TOTAL PREFERRED STOCKS (COST $227,450)		381,147
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	22,316	Cie de Saint-Gobain Warrants, Expires 03/06/09 *		32,818
		TOTAL RIGHTS AND WARRANTS (COST $67,411)		32,818

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 28, 2009

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 4.3%
	2,994,567	Banco Santander Time Deposit, 0.33%, due 03/02/09		2,994,567
	3,000,000	Bank of Tokyo-Mitsubishi Time Deposit, 0.08%, due 03/02/09		3,000,000
	2,433,944	BNP Paribas Time Deposit, 0.08%, due 03/02/09		2,433,944
	209,502	Brown Brothers Harriman Time Deposit, 0.01% - 9.25%, due 03/02/09		209,502
	2,993,466	Citibank Time Deposit, 0.05% - 2.29%, due 03/02/09		2,993,466
	63,203	Hong Kong & Shanghai Banking Corp. Time Deposit, 0.01%, due 03/02/09		63,203
	2,994,814	JPMorgan Chase Time Deposit, 0.09% - 0.33%, due 03/02/09		2,994,814
	2,994,567	Societe Generale Time Deposit, 0.33%, due 03/02/09		2,994,567
		TOTAL SHORT-TERM INVESTMENTS (COST $17,684,063)		17,684,063
		TOTAL INVESTMENTS — 99.3% (Cost $615,006,186)		411,276,882
		Other Assets and Liabilities (net) — 0.7%		2,747,175
		TOTAL NET ASSETS — 100.0%	$	414,024,057

See accompanying notes to the financial statements.

14

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	142	E-Mini MSCI EAFE	March 2009	$	6,952,320	$	(614,019	)

As of February 28, 2009, 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.

See accompanying notes to the financial statements.

15

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $615,006,186) (Note 2)	$	411,276,882
Foreign currency, at value (cost $813) (Note 2)		775
Receivable for investments sold		49,039
Receivable for Fund shares sold		15,331
Dividends receivable		1,398,255
Foreign taxes receivable		385,655
Receivable for collateral on open futures contracts (Note 2)		1,510,408
Receivable for expenses reimbursed by Manager (Note 3)		10,164
Total assets		414,646,509
Liabilities:
Payable for Fund shares repurchased		42,083
Payable to affiliate for (Note 3):
Management fee		172,270
Shareholder service fee		51,681
Trustees and Chief Compliance Officer of GMO Trust fees		1,677
Payable for variation margin on open futures contracts (Note 2)		64,568
Accrued expenses		290,173
Total liabilities		622,452
Net assets	$	414,024,057
Net assets consist of:
Paid-in capital	$	663,491,709
Accumulated undistributed net investment income		1,553,637
Distributions in excess of net realized gain		(46,340,420	)
Net unrealized depreciation		(204,680,869	)
	$	414,024,057
Net assets attributable to:
Class III shares	$	414,024,057
Shares outstanding:
Class III		44,602,971
Net asset value per share:
Class III	$	9.28

See accompanying notes to the financial statements.

16

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $2,913,093)	$	28,867,554
Interest		497,234
Total investment income		29,364,788
Expenses:
Management fee (Note 3)		4,048,795
Shareholder service fee – Class III (Note 3)		1,173,082
Custodian and fund accounting agent fees		691,032
Transfer agent fees		31,854
Audit and tax fees		88,283
Legal fees		19,544
Trustees fees and related expenses (Note 3)		10,673
Registration fees		1,803
Miscellaneous		13,335
Total expenses		6,078,401
Fees and expenses reimbursed by Manager (Note 3)		(834,130	)
Expense reductions (Note 2)		(6,342	)
Net expenses		5,237,929
Net investment income (loss)		24,126,859
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(36,829,827	)
Closed futures contracts		(3,820,004	)
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $150) (Note 2)		(1,215,494	)
Net realized gain (loss)		(41,865,325	)
Change in net unrealized appreciation (depreciation) on:
Investments		(399,901,310	)
Open futures contracts		(614,019	)
Foreign currency, forward contracts and foreign currency related transactions		(853,074	)
Net unrealized gain (loss)		(401,368,403	)
Net realized and unrealized gain (loss)		(443,233,728	)
Net increase (decrease) in net assets resulting from operations	$	(419,106,869	)

See accompanying notes to the financial statements.

17

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,126,859		$	28,116,487
Net realized gain (loss)		(41,865,325	)		111,012,148
Change in net unrealized appreciation (depreciation)		(401,368,403	)		(112,516,265	)
Net increase (decrease) in net assets from operations		(419,106,869	)		26,612,370
Distributions to shareholders from:
Net investment income
Class III		(24,318,799	)		(31,165,537	)
Net realized gains
Class III		(25,255,573	)		(118,448,701	)
		(49,574,372	)		(149,614,238	)
Net share transactions (Note 7):
Class III		(209,640,633	)		110,083,703
Total increase (decrease) in net assets		(678,321,874	)		(12,918,165	)
Net assets:
Beginning of period		1,092,345,931			1,105,264,096
End of period (including accumulated undistributed net investment income of $1,553,637 and $2,816,425, respectively)	$	414,024,057		$	1,092,345,931

See accompanying notes to the financial statements.

18

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	18.73		$	20.76		$	18.31		$	15.78		$	13.19
Income (loss) from investment operations:
Net investment income (loss)†		0.48			0.51			0.36			0.35			0.26
Net realized and unrealized gain (loss)		(8.92	)		0.20	(a)		3.28			2.77			2.61
Total from investment operations		(8.44	)		0.71			3.64			3.12			2.87
Less distributions to shareholders:
From net investment income		(0.49	)		(0.57	)		(0.40	)		(0.31	)		(0.28	)
From net realized gains		(0.52	)		(2.17	)		(0.79	)		(0.28	)		—
Total distributions		(1.01	)		(2.74	)		(1.19	)		(0.59	)		(0.28	)
Net asset value, end of period	$	9.28		$	18.73		$	20.76		$	18.31		$	15.78
Total Return(b)		(46.71	)%		2.28	%		20.33	%		20.04	%		21.94	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	414,024		$	1,092,346		$	1,105,264		$	829,583		$	559,912
Net expenses to average daily net assets		0.67	%(c)		0.69	%(c)		0.69	%		0.69	%		0.69	%
Net investment income to average daily net assets		3.09	%		2.33	%		1.83	%		2.10	%		1.91	%
Portfolio turnover rate		67	%		41	%		34	%		39	%		44	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.09	%		0.08	%		0.10	%		0.16	%

(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.

19

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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

20

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

exchanges do not reflect the events that occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 87.45% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	49,194,159	$	—
Level 2 - Other Significant Observable Inputs		362,082,723		—
Level 3 - Significant Unobservable Inputs*		—		—
Total	$	411,276,882	$	—

*  Represents the interest in bankrupt securities that have no value at February 28, 2009.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(614,019	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(614,019	)

**  Other financial instruments include futures contracts.

21

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	4,468,119		$	—
Realized gain (loss)		224,850			—
Change in unrealized appreciation/depreciation		(1,094,014	)		—
Net purchases (sales)		(3,598,955	)		—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	—		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures

22

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

clearing broker 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a

23

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. The Fund had no indexed securities outstanding at the end of the period.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection

24

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the

25

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 28, 2009, the Fund incurred $150 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from

26

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

differences in the recognition or classification of income or distributions for financial statement and taxpurposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, passive foreign investment company transactions, foreign currency transactions, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Distributions In Excess of Net Realized Gain		Paid-in Capital
$	(1,070,848	)	$	1,070,848	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	24,411,318	$	42,430,962
Net long-term capital gain		25,163,054		107,183,276
Total distributions	$	49,574,372	$	149,614,238

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 1,796,282

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $46,304,941.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	615,708,228	$	12,394,749	$	(216,826,095	)	$	(204,431,346	)

27

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement ofOperations.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and the possible imposition of capital controls or other foreign governmental lawsor restrictions. In addition, the securities of some foreign companies and securities markets are lessliquid and at times may be more volatile than securities of comparable U.S. companies and U.S. securities markets.

28

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. Effective June 30, 2008, that fee is paid monthly at the annual rate of 0.50% of average daily net assets. For the period from March 1, 2008 through June 29, 2008, the management fee rate was 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.50% of the Fund's average daily net assets. Excluded Expenses include 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), brokeragecommissions, 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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $9,066 and $5,628, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $511,957,528 and $746,901,964, respectively.

29

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, the Fund had no shareholders individually holding more than 10% of the Fund's outstanding shares.

As of February 28, 2009, 0.97% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 0.16% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		3,751,313		$	51,736,423			4,630,804		$	96,384,502
Shares issued to shareholders in reinvestment of distributions		2,520,757			35,938,181			6,034,152			126,532,299
Shares repurchased		(19,981,045	)		(297,315,237	)		(5,588,860	)		(112,833,098	)
Net increase (decrease)		(13,708,975	)	$	(209,640,633	)		5,076,096		$	110,083,703

30

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

31

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.65	%	$	1,000.00	$	571.20	$	2.53
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.57	$	3.26

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

32

GMO Tax-Managed International Equities Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $25,163,054 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $2,906,478 and recognized foreign source income of $31,780,647.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $278,947 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

37

GMO Domestic Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Domestic Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income team 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 -10.4% for the fiscal year ended February 28, 2009, as compared to the +5.7% return of the Barclays Capital U.S. Government Index (formerly Lehman Brothers U.S. Government Bond Index), the Fund's benchmark. The Fund underperformed the benchmark during the fiscal year by 16.1%.

The fiscal year's underperformance stemmed from price declines in the fund in which the Fund invests a substantial portion of its total assets, the GMO Short Duration Collateral Fund (SDCF). SDCF invests primarily in asset-backed securities. The position in SDCF collateralizes derivatives positions that seek to deliver the return of the Fund's benchmark, which has an approximate 5-year duration.

With the extreme price volatility of asset-backed securities during the fiscal year, SDCF underperformed LIBOR by nearly 20%, directly contributing to the Fund's underperformance given its 94% exposure to SDCF during the period.

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 redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 VI shares will vary due to different fees.

GMO Domestic Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		94.3	%
Short-Term Investments		5.5
Preferred Stocks		0.1
Forward Currency Contracts		0.0
Futures		(0.1	)
Swaps		(0.3	)
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 Domestic Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 19.7%
		Corporate Debt — 0.8%
	9,312,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		8,409,388
		U.S. Government — 17.5%
	11,000,000	U.S. Treasury Bond, 3.50%, due 02/15/39		10,561,760
	33,581,130	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a) (b)		33,129,867
	225,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		132,966,675
	15,000,000	U.S. Treasury Strip Coupon Bond, due 11/15/23		8,022,450
		Total U.S. Government		184,680,752
		U.S. Government Agency — 1.4%
	8,705,000	Agency for International Development Floater (Support of India), 3 mo. LIBOR + .10%, 1.27%, due 02/01/27 (c)		7,713,415
	3,000,000	Agency for International Development Floater (Support of Jamaica), 6 mo. LIBOR + 0.30%, 3.43%, due 12/01/14 (c)		2,937,424
	660,310	Agency for International Development Floater (Support of Jamaica), 6 mo. U.S. Treasury Bill + 0.75%, 1.25%, due 03/30/19 (c)		613,586
	2,432,500	Agency for International Development Floater (Support of Sri Lanka), 6 mo. LIBOR + .20%, 4.22%, due 06/15/12 (c)		2,400,170
	1,400,002	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 1.89%, due 01/01/12 (c)		1,343,847
		Total U.S. Government Agency		15,008,442
		TOTAL DEBT OBLIGATIONS (COST $222,374,193)		208,098,582
		PREFERRED STOCKS — 0.1%
		Banking — 0.1%
	8,000	Home Ownership Funding 2 Preferred 144A, 1.00% (c)		720,000
		TOTAL PREFERRED STOCKS (COST $2,060,974)		720,000

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 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 76.3%
		Affiliated Issuers — 76.3%
	47,223,590	GMO Short-Duration Collateral Fund		807,523,384
	1,483	GMO Special Purpose Holding Fund (c) (d)		1,082
		TOTAL MUTUAL FUNDS (COST $1,024,695,583)		807,524,466
		SHORT-TERM INVESTMENTS — 3.5%
		Money Market Funds — 3.5%
	37,415,411	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		37,415,411
		TOTAL SHORT-TERM INVESTMENTS (COST $37,415,411)		37,415,411
		TOTAL INVESTMENTS — 99.6% (Cost $1,286,546,161)		1,053,758,459
		Other Assets and Liabilities (net) — 0.4%		4,496,442
		TOTAL NET ASSETS — 100.0%	$	1,058,254,901

See accompanying notes to the financial statements.

3

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	96	U.S. Long Bond (CBT)	March 2009	$	11,962,500	$	12,462
	1,145	U.S. Treasury Note 2 Yr. (CBT)	June 2009		248,017,736		(146,558	)
	1,171	U.S. Treasury Note 5 Yr. (CBT)	June 2009		136,522,133		(342,005	)
	1,052	U.S. Treasury Note 10 Yr. (CBT)	June 2009		126,272,875		(1,071,593	)
				$	522,775,244	$	(1,547,694	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	75,000,000	USD	12/20/2012	JP Morgan	(Pay)		0.89	%		1.18	%	Reference	N/A			$	660,374
				Chase Bank								security
												within
												CDX index
	194,456,914	USD	12/20/2012	JP Morgan Chase Bank	Receive		0.73	%		0.58	%	Reference security within CDX index		194,456,914	USD		1,328,008
	291,685,371	USD	12/20/2012	JP Morgan Chase Bank	Receive		0.47	%		0.58	%	Reference security within CDX index		291,685,371	USD		(887,783	)
	11,500,000	USD	3/20/2013	Barclays Bank PLC	(Pay)		0.61	%		7.84	%	Health Care Properties	N/A				2,521,299
																$	3,621,898
													Premiums to (Pay) Receive			$	—

See accompanying notes to the financial statements.

4

GMO Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate			Variable Rate	Market Value
	134,000,000	USD	4/30/2011	JP Morgan Chase Bank	(Pay)		1.60	%	3 month LIBOR	$	497,418
	151,500,000	USD	2/11/2012	Deutsche Bank	(Pay)		2.03	%	3 month LIBOR		20,838
	102,000,000	USD	2/11/2014	JP Morgan Chase Bank	Receive		2.60	%	3 month LIBOR		(357,519	)
	165,000,000	USD	4/30/2014	JP Morgan Chase Bank	Receive		2.35	%	3 month LIBOR		(3,272,592	)
	51,200,000	USD	2/11/2019	Deutsche Bank	Receive		3.25	%	3 month LIBOR		(418,377	)
	63,000,000	USD	4/30/2019	JP Morgan Chase Bank	(Pay)		2.83	%	3 month LIBOR		3,029,696
	26,000,000	USD	2/11/2039	JP Morgan Chase Bank	(Pay)		3.42	%	3 month LIBOR		216,329
										$	(284,207	)
						Premiums to (Pay) Receive				$	—

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive	Market Value
	300,000,000	USD	5/29/2009	JP Morgan	1 Month	Return on JP Morgan	$	—
				Chase Bank	LIBOR - 0.12%	Treasury Index
							$	—
						Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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 Domestic Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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 (Note 2).

(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(c)  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:

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $261,850,578) (Note 2)	$	246,233,993
Investments in affiliated issuers, at value (cost $1,024,695,583) (Notes 2 and 8)		807,524,466
Receivable for investments sold		233,334
Interest receivable		442,338
Receivable for variation margin on open futures contracts (Note 2)		718,338
Interest receivable for open swap contracts		32,170
Receivable for open swap contracts (Note 2)		8,273,962
Receivable for expenses reimbursed by Manager (Note 3)		29,204
Total assets		1,063,487,805
Liabilities:
Payable for Fund shares repurchased		15,306
Payable to affiliate for (Note 3):
Management fee		81,650
Shareholder service fee		55,020
Trustees and Chief Compliance Officer of GMO Trust fees		3,463
Payable for open swap contracts (Note 2)		4,936,271
Accrued expenses		141,194
Total liabilities		5,232,904
Net assets	$	1,058,254,901
Net assets consist of:
Paid-in capital	$	1,239,292,333
Accumulated undistributed net investment income		4,003,688
Accumulated net realized gain		45,956,585
Net unrealized depreciation		(230,997,705	)
	$	1,058,254,901
Net assets attributable to:
Class III shares	$	337,523,544
Class VI shares	$	720,731,357
Shares outstanding:
Class III		42,252,014
Class VI		90,176,286
Net asset value per share:
Class III	$	7.99
Class VI	$	7.99

See accompanying notes to the financial statements.

7

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	58,497,360
Interest		2,070,726
Dividends		305,319
Total investment income		60,873,405
Expenses:
Management fee (Note 3)		1,187,642
Shareholder service fee – Class III (Note 3)		210,569
Shareholder service fee – Class VI (Note 3)		575,995
Custodian, fund accounting agent and transfer agent fees		153,000
Audit and tax fees		64,790
Legal fees		51,731
Trustees fees and related expenses (Note 3)		41,711
Registration fees		14,947
Miscellaneous		14,421
Total expenses		2,314,806
Fees and expenses reimbursed by Manager (Note 3)		(269,141	)
Expense reductions (Note 2)		(424	)
Net expenses		2,045,241
Net investment income (loss)		58,828,164
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(37,590	)
Investments in affiliated issuers		(83,546,066	)
Realized gains distributions from affiliated issuers (Note 8)		3,358
Closed futures contracts		112,873,936
Closed swap contracts		(21,272,198	)
Net realized gain (loss)		8,021,440
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(13,623,455	)
Investments in affiliated issuers		(178,747,988	)
Open futures contracts		(5,920,166	)
Open swap contracts		(688,647	)
Net unrealized gain (loss)		(198,980,256	)
Net realized and unrealized gain (loss)		(190,958,816	)
Net increase (decrease) in net assets resulting from operations	$	(132,130,652	)

See accompanying notes to the financial statements.

8

GMO Domestic Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	58,828,164		$	33,094,287
Net realized gain (loss)		8,021,440			32,296,684
Change in net unrealized appreciation (depreciation)		(198,980,256	)		(37,260,108	)
Net increase (decrease) in net assets from operations		(132,130,652	)		28,130,863
Distributions to shareholders from:
Net investment income
Class III		(6,956,865	)		(11,697,331	)
Class VI		(53,135,218	)		(41,858,762	)
Total distributions from net investment income		(60,092,083	)		(53,556,093	)
Net realized gains
Class III		(313,474	)		—
Class VI		(2,316,108	)		—
Total distributions from net realized gains		(2,629,582	)		—
		(62,721,665	)		(53,556,093	)
Net share transactions (Note 7):
Class III		215,412,245			55,468,188
Class VI		311,273,145			273,813,697
Increase (decrease) in net assets resulting from net share transactions		526,685,390			329,281,885
Redemption fees (Notes 2 and 7):
Class III		65,120			—
Class VI		544,931			—
Increase in net assets resulting from redemption fees		610,051			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		527,295,441			329,281,885
Total increase (decrease) in net assets		332,443,124			303,856,655
Net assets:
Beginning of period		725,811,777			421,955,122
End of period (including accumulated undistributed net investment income of $4,003,688 and $8,256,225, respectively)	$	1,058,254,901		$	725,811,777

See accompanying notes to the financial statements.

9

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	9.47		$	9.81		$	9.81		$	9.84		$	10.07
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.39			0.42			0.43			0.13			0.16
Net realized and unrealized gain (loss)		(1.36	)		(0.01	)		0.06			0.16			0.04
Total from investment operations		(0.97	)		0.41			0.49			0.29			0.20
Less distributions to shareholders:
From net investment income		(0.50	)		(0.75	)		(0.49	)		(0.16	)		(0.16	)
From net realized gains		(0.01	)		—			—			(0.16	)		(0.27	)
Return of capital		—			—			—			—			(0.00	)(b)
Total distributions		(0.51	)		(0.75	)		(0.49	)		(0.32	)		(0.43	)
Net asset value, end of period	$	7.99		$	9.47		$	9.81		$	9.81		$	9.84
Total Return(c)		(10.39	)%		4.35	%		5.09	%		3.02	%		2.02	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	337,524		$	144,286		$	94,159		$	125,188		$	736,300
Net expenses to average daily net assets(d)		0.26	%(e)		0.25	%(e)		0.25	%		0.25	%		0.25	%
Net investment income to average daily net assets(a)		4.43	%		4.28	%		4.42	%		1.30	%		1.57	%
Portfolio turnover rate		68	%		22	%		17	%		24	%		11	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.03	%		0.03	%		0.02	%		0.03	%
Redemption fees consisted of the following per share amounts:†	$	0.00	(f)		—			—			—			—

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

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

(f)  Redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

10

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	9.48		$	9.82		$	9.82		$	9.93
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.44			0.57			0.48			0.24
Net realized and unrealized gain (loss)		(1.41	)		(0.15	)		0.02			(0.14	)(c)
Total from investment operations		(0.97	)		0.42			0.50			0.10
Less distributions to shareholders:
From net investment income		(0.51	)		(0.76	)		(0.50	)		(0.21	)
From net realized gains		(0.01	)		—			—			—
Total distributions		(0.52	)		(0.76	)		(0.50	)		(0.21	)
Net asset value, end of period	$	7.99		$	9.48		$	9.82		$	9.82
Total Return(d)		(10.40	)%		4.42	%		5.19	%		0.97	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	720,731		$	581,526		$	327,796		$	359,958
Net expenses to average daily net assets(e)		0.16	%(f)		0.16	%(f)		0.16	%		0.16	%*
Net investment income to average daily net assets(b)		5.02	%		5.87	%		4.85	%		2.38	%(g)
Portfolio turnover rate		68	%		22	%		17	%		24	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.03	%		0.03	%		0.02	%*
Redemption fees consisted of the following per share amounts:†	$	0.00	(h)		—			—			—

(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 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 redemption fees which are borne by the shareholder.

(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.

(h)  Redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2006.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

11

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 Barclays Capital U.S. Government Index (formerly Lehman Brothers U.S. Government Index). The Fund invests a substantial portion of its total assets in shares of GMO Short-Duration Collateral Fund; in U.S. investment-grade bonds, including asset-backed securities and U.S. government securities (including securities neither guaranteed nor insured by the U.S. government); 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 28, 2009, 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.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

12

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 29.31% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are

13

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $3,358 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities and preferred stocks using a specified spread above the LIBOR rate. The Fund also considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	10,561,760	$	12,462
Level 2 - Other Significant Observable Inputs		1,027,467,175		3,764,281
Level 3 - Significant Unobservable Inputs		15,729,524		4,509,681
Total	$	1,053,758,459	$	8,286,424

*  Other financial instruments include futures contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(1,560,156	)
Level 2 - Other Significant Observable Inputs		—		(4,048,488	)
Level 3 - Significant Unobservable Inputs		—		(887,783	)
Total	$	—	$	(6,496,427	)

**  Other financial instruments include futures contracts and swap agreements.

14

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	1,868		$	—
Accrued discounts/premiums		(1,229	)		—
Realized gain (loss)		(419,114	)		—
Realized gain distributions received		2,565			—
Realized gain distributions paid		(3,358	)		—
Change in unrealized appreciation/depreciation		(1,419,955	)		1,951,301
Net purchases (sales)		(6,582,912	)		—
Net transfers in and/or out of Level 3		24,151,659			1,670,597
Balance as of February 28, 2009	$	15,729,524		$	3,621,898

***  Other financial instruments include swap agreements.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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.

15

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. Indexed securities held by the Fund at the end of the period are listed in the Fund's Schedule of Investments.

16

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a

17

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the

18

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

19

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions, derivative contract 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Gain		Paid-in Capital
$	(2,988,618	)	$	44,573,670	$	(41,585,052	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	60,092,083	$	53,556,093
Net long-term capital gain		2,629,582		—
Total distributions	$	62,721,665	$	53,556,093

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any net short-term capital gain)	$	25,315,519
Undistributed net long-term capital gain	$	40,052,087

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,303,114,454	$	1,082	$	(249,357,077	)	$	(249,355,995	)

For the period ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $36,154,621.

20

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

21

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Purchases and redemptions of Fund shares

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.96% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund 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. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.10% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and

22

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.10% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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 of the underlying funds. For the year ended February 28, 2009, 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
	0.004	%		0.000	%		0.000	%		0.004	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $37,598 and $7,456, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	51,810,294	$	6,311,303
Investments (non-U.S. Government securities)		1,428,357,615		778,114,634

23

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 75.00% of the shares outstanding of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 93.76% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		38,472,777		$	321,100,621			30,453,972		$	298,824,097
Shares issued to shareholders in reinvestment of distributions		765,227			6,493,461			765,476			7,192,263
Shares repurchased		(12,226,577	)		(112,181,837	)		(25,576,899	)		(250,548,172	)
Redemption fees		—			65,120			—			—
Net increase (decrease)		27,011,427		$	215,477,365			5,642,549		$	55,468,188

24

GMO Domestic Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		106,478,381		$	970,656,989			26,087,987		$	256,617,471
Shares issued to shareholders in reinvestment of distributions		3,251,921			28,578,791			4,455,602			41,858,762
Shares repurchased		(80,899,819	)		(687,962,635	)		(2,571,173	)		(24,662,536	)
Redemption fees		—			544,931			—			—
Net increase (decrease)		28,830,483		$	311,818,076			27,972,416		$	273,813,697

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	678,684,117	$	1,228,030,102	$	719,477,333	$	58,497,360	u	$	—	$	807,523,384
GMO Special Purpose Holding Fund		1,868		—		—		—			3,358		1,082
Totals	$	678,685,985	$	1,228,030,102	$	719,477,333	$	58,497,360		$	3,358	$	807,524,466

^u  The Fund received total distributions in the amount of $175,917,592, of which $117,420,232 was a return of capital.

9.  Subsequent event

On March 19, 2009, the Trustees approved GMO's plan to maximize the amount of cash distributed to shareholders that represents receipts on its portfolio holdings (including shares of the underlying funds) and from dispositions of those holdings. The plan was adopted in light of the requirements of Section 562 (b) of the Code and calls for the Fund to cease operations within 2 years. For purposes of meeting that timetable, the Fund may distribute securities (including shares of the underlying funds) in-kind.

25

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The Trustees of the Trust approved a plan to cease operations of the Fund within 2 years (see Note 9).

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

26

GMO Domestic Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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		0.27	%	$	1,000.00	$	907.60	$	1.28
2) Hypothetical		0.27	%	$	1,000.00	$	1,023.46	$	1.35
Class VI
1) Actual		0.17	%	$	1,000.00	$	907.10	$	0.80
2) Hypothetical		0.17	%	$	1,000.00	$	1,023.95	$	0.85

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO Domestic Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $2,629,582 from long-term capital gains.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $29,475,811 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO World Opportunity Overlay Fund returned -28.5% for the fiscal year ended February 28, 2009, as compared to +3.5% for the JPMorgan U.S. 3 Month Cash Index.

The Fund underperformed the benchmark during the fiscal year by -32%. During this time, the overlay detracted about 12%, while collateral management detracted more than 19%. 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 U.S. and foreign floating-rate fixed income securities — mainly asset-backed securities.

With the extreme price volatility of asset-backed securities during the fiscal year, the collateral assets underperformed LIBOR by nearly 20%, directly contributing to the Fund's underperformance.

While many model-based positions outperformed, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades drove overlay losses. The slope and volatility strategies added value during this time.

Based on GMO models, the duration of the Fund's investments 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 Opportunity Overlay Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Debt Obligations		84.7	%
Options Purchased		9.9
Short-Term Investments		8.0
Swaps		(2.0	)
Written Options		(3.7	)
Other		3.1
		100.0	%
Industry Sector Summary	% of Debt Obligations
Credit Cards		18.2	%
Residential Asset-Backed Securities (United States)		14.7
Auto Financing		14.0
U.S. Government		9.3
Insured Auto Financing		8.8
Residential Mortgage-Backed Securities (European)		6.0
CMBS		5.8
Business Loans		4.2
Student Loans		3.4
Investment Grade Corporate Collateralized Debt Obligations		2.9
Residential Mortgage-Backed Securities (Australian)		2.8
Equipment Leases		1.7
Insured Other		1.7
Bank Loan Collateralized Debt Obligations		1.4
Insurance Premiums		1.1
Insured Residential Asset-Backed Securities (United States)		0.9
CMBS Collateralized Debt Obligations		0.9
Insured Credit Cards		0.9
Insured Time Share		0.7
Insured Transportation		0.4
U.S. Government & Agencies		0.1
Insured Residential Mortgage-Backed Securities (United States)		0.1
Residential Mortgage-Backed Securities (United States)		0.0
		100.0	%

1

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 84.7%
		Asset-Backed Securities — 76.7%
		Auto Financing — 11.8%
	8,300,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		7,994,726
	6,300,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.86%, due 02/18/14		5,175,450
	9,200,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 2.11%, due 08/15/13		7,052,624
	4,685,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		3,288,870
	6,100,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		3,965,000
	6,800,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, 1 mo. LIBOR + .04%, 0.50%, due 02/15/12		6,129,928
	1,800,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.84%, due 07/15/12		1,350,540
	11,890,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		7,134,000
	3,900,000	Merrill Auto Trust Securitization, Series 07-1, Class A4, 1 mo. LIBOR + .06%, 0.52%, due 12/15/13		3,233,953
	9,000,000	Merrill Auto Trust Securitization, Series 08-1, Class A4B, 1 mo. LIBOR + 2.20%, 2.66%, due 04/15/15		7,183,125
	11,800,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 06/17/13		11,192,536
	7,010,886	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		6,309,798
	9,000,000	Superior Wholesale Inventory Financing Trust, Series 04-A10, Class A, 1 mo. LIBOR + .10%, 0.56%, due 09/15/11		6,300,000
	2,000,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		1,340,000
	7,200,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		5,040,000
	11,800,000	World Omni Auto Receivables Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 11/15/12		10,812,458
		Total Auto Financing		93,503,008

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 28, 2009

Par Value ($)		Description	Value ($)
		Bank Loan Collateralized Debt Obligations — 1.2%
	4,746,086	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, 3 mo. LIBOR + .17%, 1.70%, due 06/20/25		4,510,264
	5,360,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 1.68%, due 07/05/11		4,749,282
		Total Bank Loan Collateralized Debt Obligations		9,259,546
		Business Loans — 3.6%
	1,649,619	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.84%, due 01/25/35		1,149,124
	2,553,990	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.86%, due 01/25/36		1,632,511
	9,000,000	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.77%, due 12/25/37		6,283,800
	952,026	Capitalsource Commercial Loan Trust, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .12%, 0.59%, due 08/22/16		815,886
	1,687,625	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.70%, due 11/15/33		1,094,344
	11,000,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, 1 mo. LIBOR + .01%, 0.48%, due 07/20/12		7,893,551
	2,216,462	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 02/25/30		1,063,902
	1,609,758	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 09/25/30		772,684
	3,393,942	Lehman Brothers Small Balance Commercial, Series 07-2A, Class 1A1, 144A, 1 mo. LIBOR + .12%, 0.59%, due 06/25/37		1,764,850
	749,206	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, 1 mo. LIBOR + .65%, 1.12%, due 10/25/37		584,381
	2,700,000	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.32%, due 10/25/37		1,404,000
	4,500,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.58%, due 02/25/13		3,860,550
		Total Business Loans		28,319,583
		CMBS — 4.9%
	5,200,000	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.58%, due 07/15/44		3,791,840

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 28, 2009

Par Value ($)		Description	Value ($)
		CMBS — continued
	11,700,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.59%, due 12/15/20		8,645,130
	5,200,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		4,771,089
	3,600,000	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.33%, due 03/10/44		3,153,072
	963,232	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 11/05/21		798,881
	6,300,000	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		5,538,094
	561,431	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, 1 mo. LIBOR + .08%, 0.54%, due 09/15/21		393,002
	5,400,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39		4,706,437
	2,700,000	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.74%, due 10/15/42		1,986,687
	6,914,840	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.55%, due 09/15/21		4,840,388
		Total CMBS		38,624,620
		CMBS Collateralized Debt Obligations — 0.7%
	6,780,000	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 2.05%, due 11/23/52		542,400
	6,300,000	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.79%, due 08/26/30		2,835,000
	6,700,000	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.80%, due 05/25/46		2,476,906
		Total CMBS Collateralized Debt Obligations		5,854,306
		Credit Cards — 15.4%
	4,500,000	American Express Credit Account Master Trust, Series 04-4, Class A, 1 mo. LIBOR + .09%, 0.55%, due 03/15/12		4,430,003
	8,100,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.50%, due 02/15/13		7,696,944
	4,100,000	American Express Credit Account Master Trust, Series 06-1, Class A, 1 mo. LIBOR + .03%, 0.49%, due 12/15/13		3,755,149
	7,200,000	Cabela's Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.46%, due 09/15/14		5,923,800

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 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	4,500,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 1.38%, due 06/16/14		4,049,096
	8,900,000	Capital One Multi-Asset Execution Trust, Series 06-A14, Class A, 1 mo. LIBOR + .01%, 0.47%, due 08/15/13		8,272,550
	8,100,000	Capital One Multi-Asset Execution Trust, Series 08-A6, Class A6, 1 mo. LIBOR + 1.10%, 1.56%, due 03/17/14		7,401,375
	7,700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		5,298,293
	9,200,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		8,310,360
	4,100,000	Discover Card Master Trust I, Series 05-4, Class A1, 1 mo. LIBOR + .06%, 0.52%, due 06/18/13		3,669,500
	4,000,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.55%, due 06/16/15		2,976,250
	2,700,000	Discover Card Master Trust I, Series 06-2, Class A2, 1 mo. LIBOR + .03%, 0.49%, due 01/16/14		2,370,978
	4,000,000	Discover Card Master Trust I, Series 96-4, Class A, 1 mo. LIBOR + .38%, 0.83%, due 10/16/13		3,588,000
	5,700,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, 1 mo. LIBOR + .04%, 0.50%, due 03/15/13		5,275,236
	4,500,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.47%, due 06/15/13		4,106,250
	10,800,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, 1 mo. LIBOR + .05%, 0.51%, due 04/15/13		9,240,750
	4,600,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 1.01%, due 07/15/13		3,832,375
	14,500,000	HSBC Private Label Credit Card Master Note, Series 07-1, Class A, 1 mo. LIBOR + .02%, 0.48%, due 12/16/13		13,688,906
	4,300,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		3,375,500
	13,900,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, 1 mo. LIBOR + .18%, 0.64%, due 03/15/13		13,630,896
	900,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.59%, due 02/15/17		638,622
		Total Credit Cards		121,530,833

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 28, 2009

Par Value ($)		Description	Value ($)
		Equipment Leases — 1.4%
	4,100,000	CNH Equipment Trust, Series 07-B, Class A3B, 1 mo. LIBOR + .60%, 1.06%, due 10/17/11		3,992,826
	8,100,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.71%, due 06/14/11		7,249,500
		Total Equipment Leases		11,242,326
		Insurance Premiums — 1.0%
	8,000,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 12/15/11		7,657,600
		Insured Auto Financing — 7.5%
	4,700,000	Aesop Funding II LLC, Series 05-1A, Class A3, 144A, MBIA, 1 mo. LIBOR + .12%, 0.59%, due 04/20/11		3,822,416
	6,000,000	Aesop Funding II LLC, Series 06-1A, Class A, 144A, MBIA, 1 mo. LIBOR + .22%, 0.69%, due 03/20/12		3,988,320
	3,529,785	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, 1 mo. LIBOR + .08%, 0.53%, due 05/06/12		3,246,978
	3,000,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.49%, due 10/06/13		2,010,900
	6,911,187	AmeriCredit Automobile Receivables Trust, Series 07-CM, Class A3B, MBIA, 1 mo. LIBOR + .03%, 0.48%, due 05/07/12		6,358,292
	2,700,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.25%, due 06/06/14		1,473,363
	6,000,000	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.95%, due 03/08/16		3,170,460
	3,150,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		3,013,416
	5,700,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, 1 mo. LIBOR + .02%, 0.47%, due 07/15/13		4,545,807
	9,900,000	Capital One Auto Finance Trust, Series 07-A, Class A4, AMBAC, 1 mo. LIBOR + .02%, 0.48%, due 11/15/13		6,933,267
	1,715,520	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.97%, due 04/16/12		1,596,754
	1,800,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A5, 144A, AMBAC, 1 mo. LIBOR + .25%, 0.72%, due 11/25/11		1,066,842
	11,100,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 1.11%, due 10/15/14		7,559,433

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 28, 2009

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	11,000,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		7,764,900
	2,915,049	UPFC Auto Receivables Trust, Series 06-B, Class A3, AMBAC, 5.01%, due 08/15/12		2,667,270
		Total Insured Auto Financing		59,218,418
		Insured Credit Cards — 0.7%
	5,800,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, 1 mo. LIBOR + .12%, 0.58%, due 03/15/11		5,792,386
		Insured Other — 1.4%
	5,000,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		3,500,000
	3,796,397	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 09/15/41		2,386,605
	3,010,991	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 12/15/41		1,918,212
	3,879,652	TIB Card Receivables Fund, 144A, FGIC, 3 mo. LIBOR + .25%, 1.68%, due 01/05/14		2,459,699
	9,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		943,276
		Total Insured Other		11,207,792
		Insured Residential Asset-Backed Securities (United States) — 0.8%
	10,840,629	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.68%, due 07/25/34		6,179,158
		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	1,287,386	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.66%, due 11/25/35		643,693
		Insured Time Share — 0.6%
	1,156,472	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .18%, 0.65%, due 05/20/17		832,299
	784,712	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.62%, due 05/20/18		594,577

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 28, 2009

Par Value ($)		Description	Value ($)
		Insured Time Share — continued
	4,892,085	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.47%, due 09/20/19		3,000,095
		Total Insured Time Share		4,426,971
		Insured Transportation — 0.3%
	5,649,786	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.64%, due 08/18/21		2,627,150
		Investment Grade Corporate Collateralized Debt Obligations — 2.4%
	2,000,000	Morgan Stanley ACES SPC, Series 04-12, Class A, 144A, 3 mo. LIBOR + .60%, 1.83%, due 08/05/09		1,458,000
	4,000,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, 3 mo. LIBOR + .65%, 2.18%, due 12/20/09		2,214,000
	2,000,000	Morgan Stanley ACES SPC, Series 04-15, Class III, 144A, 3 mo. LIBOR + .75%, 2.28%, due 12/20/09		920,000
	5,000,000	Morgan Stanley ACES SPC, Series 04-16, Class I, 144A, 3 mo. LIBOR + .40%, 1.63%, due 08/05/09		4,232,500
	2,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, 3 mo. LIBOR + .52%, 2.05%, due 03/20/10		776,000
	4,000,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, 3 mo. LIBOR + .40%, 1.93%, due 12/20/10		1,614,000
	2,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, 3 mo. LIBOR + .45%, 1.98%, due 03/20/10		975,000
	5,300,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 1.82%, due 06/20/13		893,050
	9,000,000	Prism Orso Trust, Series 04-MAPL, Class CERT, 144A, 3 mo. LIBOR + .70%, 2.23%, due 08/01/11		5,154,300
	4,500,000	Salisbury International Investments Ltd., 3 mo. LIBOR + .42%, 1.95%, due 06/22/10		1,092,600
		Total Investment Grade Corporate Collateralized Debt Obligations		19,329,450
		Residential Asset-Backed Securities (United States) — 12.5%
	3,012,033	Accredited Mortgage Loan Trust, Series 07-1, Class A1, 1 mo. LIBOR + .05%, 0.52%, due 02/25/37		2,680,709
	1,288,038	ACE Securities Corp., Series 05-ASP1, Class A2C, 1 mo. LIBOR + .27%, 0.74%, due 09/25/35		785,703

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	370,901	ACE Securities Corp., Series 05-SDI, Class A1, 1 mo. LIBOR + .40%, 0.87%, due 11/25/50		275,950
	9,500,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.65%, due 10/25/36		2,280,000
	4,500,000	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.57%, due 07/25/36		1,916,010
	12,100,000	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 05/25/36		4,456,551
	2,232,446	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.56%, due 06/25/36		1,489,555
	1,079,191	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 09/25/35		121,290
	2,207,399	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 06/25/36		154,518
	2,700,000	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.64%, due 06/25/36		101,871
	1,383,159	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 09/25/36		138,233
	4,803,864	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.64%, due 12/25/36		361,491
	2,963,095	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 11/25/36		1,549,136
	11,400,000	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		2,871,375
	10,800,000	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 09/25/36		4,428,000
	2,879,869	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.66%, due 03/25/36		1,439,934
	2,300,000	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		1,558,250
	2,700,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, 1 mo. LIBOR + .11%, 0.58%, due 10/25/36		2,357,100
	2,700,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.62%, due 10/25/36		1,272,240
	244,239	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, 1 mo. LIBOR + .06%, 0.53%, due 11/25/36		225,799

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	8,395,571	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.69%, due 05/25/37		5,655,256
	5,000,000	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 02/28/40		2,754,688
	3,484,615	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.58%, due 11/25/36		2,265,000
	5,400,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 11/25/36		1,080,000
	2,889,265	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.63%, due 02/25/37		216,695
	2,700,000	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.63%, due 06/25/36		1,836,540
	2,600,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 12/25/36		676,000
	6,600,000	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 11/25/36		3,880,800
	8,212,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.61%, due 02/25/37		5,183,414
	2,642,681	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.55%, due 03/25/37		2,423,338
	1,168,038	Credit-Based Asset Servicing & Securitization, Series 06-RP1, Class A1, 144A, 1 mo. LIBOR + .11%, 0.58%, due 04/25/36		984,985
	4,400,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 08/25/36		1,408,000
	1,373,484	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.78%, due 01/20/35		843,834
	568,954	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 01/20/35		353,551
	6,800,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.59%, due 12/25/36		2,312,000
	690,358	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.72%, due 10/25/35		535,027
	4,500,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		1,800,000
	2,700,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		715,500

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	6,160,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 08/25/36		1,540,000
	3,100,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.63%, due 10/25/36		821,500
	1,421,296	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		156,343
	3,272,122	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.75%, due 01/25/47		2,360,145
	2,400,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 11/25/36		840,000
	9,000,000	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, 1 mo. LIBOR + .17%, 0.64%, due 09/25/36		3,993,750
	9,100,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		3,392,594
	2,609,992	People's Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.73%, due 12/25/35		1,957,494
	406,828	Residential Asset Mortgage Products, Inc., Series 05-RS4, Class A3, 1 mo. LIBOR + .23%, 0.70%, due 04/25/35		370,214
	6,600,000	Saxon Asset Securities Trust, Series 06-3, Class A2, 1 mo. LIBOR + .11%, 0.58%, due 10/25/46		4,884,000
	9,200,000	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 07/25/36		2,760,000
	2,758,071	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.76%, due 10/25/36		2,516,740
	711,647	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.73%, due 10/25/35		587,108
	5,012,958	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 01/25/37		4,143,523
	3,700,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/37		1,686,969
	2,700,000	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.67%, due 01/25/36		945,000
	1,191,979	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		190,717
		Total Residential Asset-Backed Securities (United States)		98,534,440

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — 2.4%
	1,138,221	Australian Mortgage Securities II, Series G3, Class A1A, 3 mo. LIBOR + .21%, 1.56%, due 01/10/35		996,296
	3,011,603	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 1.20%, due 07/20/38		2,575,815
	8,812,506	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 2.20%, due 03/14/36		7,159,015
	3,403,231	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 2.31%, due 12/08/36		2,620,522
	1,896,101	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 1.32%, due 05/10/36		1,643,314
	4,927,140	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 1.32%, due 02/21/38		4,023,503
		Total Residential Mortgage-Backed Securities (Australian)		19,018,465
		Residential Mortgage-Backed Securities (European) — 5.1%
	9,400,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 1.64%, due 09/20/66		8,542,720
	5,800,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		4,682,340
	872,957	Gracechurch Mortgage Funding Plc, Series 1A, Class A2B, 144A, 3 mo. LIBOR + .07%, 1.42%, due 10/11/41		803,095
	4,799,302	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .04%, 0.51%, due 12/20/54		3,109,947
	9,349,325	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 2.25%, due 12/10/43		6,933,366
	1,025,766	Leek Finance Plc, Series 15A, Class AB, 144A, 3 mo. LIBOR + .14%, 1.67%, due 03/21/37		882,159
	3,386,250	Leek Finance Plc, Series 16A, Class A2B, 144A, 3 mo. LIBOR + .16%, 1.69%, due 09/21/37		2,865,478
	2,400,000	Mound Financing Plc, Series 5A, Class 2A, 144A, 3 mo. LIBOR + .04%, 1.28%, due 05/08/16		2,262,000
	3,039,157	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 1.35%, due 11/15/38		1,789,699
	2,944,619	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 2.10%, due 09/15/39		2,569,415
	2,700,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 1.20%, due 07/15/33		2,227,500

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 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	4,500,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 1.17%, due 10/15/33		3,681,675
	79,314	RMAC Securities Plc, Series 06-NS4A, Class A1B, 144A, 3 mo. LIBOR + .07%, 2.17%, due 06/12/25		79,116
		Total Residential Mortgage-Backed Securities (European)		40,428,510
		Residential Mortgage-Backed Securities (United States) — 0.0%
	494,464	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, 1 mo. LIBOR + .25%, 0.72%, due 07/25/30		321,093
		Student Loans — 2.9%
	1,392,508	College Loan Corp. Trust, Series 04-1, Class A2, 3 mo. LIBOR + .11%, 1.27%, due 04/25/16		1,355,610
	5,904,000	College Loan Corp. Trust, Series 07-1, Class A1, 3 mo. LIBOR + .01%, 1.17%, due 01/25/23		5,733,965
	3,100,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 1.41%, due 01/25/24		2,945,000
	933,262	Goal Capital Funding Trust, Series 06-1, Class A1, 3 mo. LIBOR, 1.25%, due 08/25/20		919,450
	705,491	Keycorp Student Loan Trust, Series 05-A, Class 2A1, 3 mo. LIBOR + .05%, 1.52%, due 09/27/21		682,901
	1,287,858	Montana Higher Education Student Assistance Corp., Series 05-1, Class A, 3 mo. LIBOR + .04%, 1.57%, due 06/20/15		1,240,207
	6,013,597	National Collegiate Student Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .15%, 0.62%, due 02/25/26		5,238,023
	677,107	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.61%, due 08/25/23		609,396
	2,257,966	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, 1 mo. LIBOR + .08%, 0.55%, due 08/26/19		2,077,328
	2,194,359	SLC Student Loan Trust, Series 06-A, Class A2, 3 mo. LIBOR + .03%, 1.12%, due 10/15/15		2,145,071
		Total Student Loans		22,946,951
		Total Asset-Backed Securities		606,666,299

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 28, 2009

Principal Amount		Description	Value ($)
		U.S. Government — 7.9%
	62,999,310	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a) (b)		62,152,725
		U.S. Government Agency — 0.1%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		785,416
		TOTAL DEBT OBLIGATIONS (COST $941,918,906)		669,604,440
		OPTIONS PURCHASED — 9.9%
		Currency Options — 3.8%
USD	700,000,000	USD Call/JPY Put, Expires 09/05/13, Strike 119.00		6,637,400
USD	700,000,000	USD Call/JPY Put, Expires 09/05/13, Strike 119.00		6,637,400
USD	700,000,000	USD Call/JPY Put, Expires 09/10/13, Strike 119.00		6,647,900
USD	700,000,000	USD Call/JPY Put, Expires 09/12/13, Strike 119.00		6,639,500
USD	350,000,000	USD Call/JPY Put, Expires 09/24/13, Strike 119.00		3,326,750
		Total Currency Options		29,888,950
		Options on Interest Rate Swaps — 4.2%
EUR	600,000,000	EUR Swaption Put, Expires 03/12/09, Strike 1.71%		428,246
EUR	150,000,000	EUR Swaption Call, Expires 02/22/10, Strike 3.95%		2,800,713
EUR	500,000,000	EUR Swaption Call, Expires 02/23/10, Strike 1.00%		29,158
EUR	600,000,000	EUR Swaption Put, Expires 02/03/11, Strike 3.39%		7,391,236
GBP	75,000,000	GBP Swaption Call, Expires 05/06/09, Strike 3.79%		1,472,043
GBP	75,000,000	GBP Swaption Call, Expires 05/06/09, Strike 3.39%		254,682
GBP	14,000,000	GBP Swaption Call, Expires 02/28/11, Strike 5.17%		1,474,820
GBP	14,000,000	GBP Swaption Put, Expires 02/28/11, Strike 5.17%		368,620
GBP	14,000,000	GBP Swaption Put, Expires 03/03/11, Strike 5.03%		426,482
GBP	14,000,000	GBP Swaption Call, Expires 03/03/11, Strike 5.03%		1,314,842
GBP	28,000,000	GBP Swaption Put, Expires 03/14/11, Strike 4.96%		925,759
GBP	28,000,000	GBP Swaption Call, Expires 03/14/11, Strike 4.96%		2,464,775
GBP	35,000,000	GBP Swaption Call, Expires 03/21/11, Strike 4.92%		2,952,046
GBP	35,000,000	GBP Swaption Put, Expires 03/21/11, Strike 4.92%		1,219,029
USD	64,000,000	USD Swaption Straddle, Expires 04/10/18, Strike TBD		3,171,776
USD	64,000,000	USD Swaption Straddle, Expires 04/23/18, Strike TBD		3,166,720

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 28, 2009

Shares /Principal Amount		Description	Value ($)
		Options on Interest Rate Swaps — continued
USD	64,000,000	USD Swaption Straddle, Expires 05/01/18, Strike TBD		3,161,408
		Total Options on Interest Rate Swaps		33,022,355
		Options on Interest Rates — 1.9%
GBP	150,000,000	Floor on 3 Month GBP LIBOR Call, Expires 09/13/09, Strike 6.40%		6,645,131
GBP	150,000,000	Floor on 3 Month GBP LIBOR Call, Expires 09/13/09, Strike 5.40%		5,053,048
USD	300,000,000	USD 3 Month LIBOR Cap Call, Expires 04/15/10, Strike 2.64%		90,900
USD	300,000,000	USD 3 Month LIBOR Floor Call, Expires 04/15/10, Strike 2.64%		3,777,600
		Total Options on Interest Rates		15,566,679
		TOTAL OPTIONS PURCHASED (COST $51,279,221)		78,477,984
		SHORT-TERM INVESTMENTS — 8.0%
		Money Market Funds — 8.0%
	38,819,421	State Street Institutional Liquid Reserves Fund-Institutional Class		38,819,421
	24,072,590	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		24,072,590
		TOTAL SHORT-TERM INVESTMENTS (COST $62,892,011)		62,892,011
		TOTAL INVESTMENTS — 102.6% (Cost $1,056,090,138)		810,974,435
		Other Assets and Liabilities (net) — (2.6%)		(20,494,750	)
		TOTAL NET ASSETS — 100.0%	$	790,479,685

See accompanying notes to the financial statements.

15

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)

February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Written Options

A summary of open written option contracts for the Fund at February 28, 2009 is as follows:

	Notional Amount		Expiration Date		Description	Premiums			Market Value
Call		600,000,000	2/3/2011	EUR	Interest Rate Swaption,
					Strike 2.39%	$	(1,787,928	)	$	(1,862,071	)
Call		150,000,000	5/6/2009	GBP	Interest Rate Swaption, Strike 3.54%		(3,330,000	)		(1,372,833	)
Call		30,000,000	5/18/2009	GBP	Interest Rate Swaption, Strike 3.55%		(682,704	)		(315,410	)
Call		300,000,000	9/13/2009	GBP Floor on 3 Month GBP LIBOR,	Strike 5.90%		(1,167,900	)		(11,698,179	)
Put		300,000,000	4/14/2009	USD	Interest Rate Swaption, Strike 2.69%		(1,395,000	)		(2,700	)
Call		300,000,000	4/14/2009	USD	Interest Rate Swaption, Strike 2.69%		(1,395,000	)		(3,710,700	)
Call		55,000,000	10/3/2011	USD	Interest Rate Swaption, Strike 4.88%		(3,025,000	)		(5,946,985	)
Put		120,000,000	10/3/2011	USD	Interest Rate Swaption, Strike 4.88%		(6,600,000	)		(4,599,000	)
						$	(19,383,532	)	$	(29,507,878	)

See accompanying notes to the financial statements.

16

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)

February 28, 2009

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	13,000,000	USD	9/20/2010	Morgan Stanley	Receive		0.40	%		17.76	%	Eagle		13,000,000	USD	$	(3,134,275	)
												Creek
												CDO
	50,000,000	USD	12/20/2012	Morgan Stanley	(Pay)		1.93	%		6.22	%	Reference security within CDX index		N/A			6,354,725
	97,228,457	USD	12/20/2012	Morgan Stanley	Receive		0.71	%		0.58	%	Reference security within CDX index		97,228,457	USD		589,446
	252,793,989	USD	12/20/2012	Morgan Stanley	Receive		0.71	%		0.58	%	Reference security within CDX Index		252,793,989	USD		1,532,560
	100,000,000	USD	12/20/2012	Morgan Stanley	(Pay)		1.20	%		1.19	%	Referenc security within CDX Index		N/A			(276,095	)
	7,000,000	USD	3/20/2013	Morgan Stanley	Receive		0.25	%		17.49	%	MS Synthetic 2006-1		7,000,000	USD		(3,447,436	)
																$	1,618,925
													Premiums to (Pay) Receive			$	—

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

See accompanying notes to the financial statements.

17

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)

February 28, 2009

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount		Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate			Variable Rate	Market Value
	55,000,000	USD11/15/2021	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR	$	(8,769,217	)
	65,000,000	USD5/15/2022	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		(5,174,335	)
	105,000,000	USD8/15/2022	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		(8,365,991	)
	153,000,000	AUD4/16/2023	Deutsche Bank AG	Receive		6.36	%	6 month AUD BBSW		2,969,251
	82,200,000	AUD4/17/2038	Deutsche Bank AG	(Pay)		4.34	%	6 month AUD BBSW		(2,787,465	)
	25,000,000	GBP12/7/2046	Merrill Lynch	(Pay)		4.36	%	6 month GBP LIBOR		(3,264,671	)
									$	(25,392,428	)
								Premiums to (Pay) Receive	$	2,001,485

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay			Receive	Market Value
	65,000,000	USD	3/11/2009	JP Morgan		2.65	%	Return on Treasury
				Chase Bank				Coupon STRIP	$	1,683,409
	105,000,000	USD	3/11/2009	JP Morgan Chase Bank		2.65	%	Return on Treasury Coupon STRIP		2,455,833
	55,000,000	USD	4/20/2009	JP Morgan Chase Bank		2.35	%	Return on Treasury Principal STRIP		3,689,076
	25,000,000	GBP	5/8/2009	Barclays Bank PLC		1.72	%	Return on United Kingdom Treasury 2046 Bonds		(134,369	)
									$	7,693,949
Premiums to (Pay) Receive									$		—

See accompanying notes to the financial statements.

18

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)

February 28, 2009

As of February 28, 2009, 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.

BBSW - Bank Bill Swap Reference Rate

CDO - Collateralized Debt Obligation

CMBS - Collateralized Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

LIBOR - London Interbank Offered Rate

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

RMAC - Residential Mortgage Acceptance Corp.

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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)  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 collateral requirements on open swap contracts (Note 2).

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

USD - United States Dollar

See accompanying notes to the financial statements.

19

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $1,056,090,138) (Note 2)	$	810,974,435
Cash		29,321,429
Dividends and interest receivable		942,280
Interest receivable for open swap contracts		4,225,867
Receivable for open swap contracts (Note 2)		19,274,300
Receivable for expenses reimbursed by Manager (Note 3)		110,015
Total assets		864,848,326
Liabilities:
Payable for investments purchased		9,187,200
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		2,342
Payable for open swap contracts (Note 2)		35,353,854
Written options outstanding, at value (premiums $19,383,532) (Note 2)		29,507,878
Miscellaneous payable		146,504
Accrued expenses		170,863
Total liabilities		74,368,641
Net assets	$	790,479,685
Shares outstanding:		43,086,310
Net asset value per share:	$	18.35

See accompanying notes to the financial statements.

20

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Interest	$	37,460,971
Dividends		877,947
Total investment income		38,338,918
Expenses:
Custodian, fund accounting agent and transfer agent fees		164,218
Audit and tax fees		111,345
Legal fees		239,364
Trustees fees and related expenses (Note 3)		22,090
Miscellaneous		14,303
Total expenses		551,320
Fees and expenses reimbursed by Manager (Note 3)		(492,100	)
Net expenses		59,220
Net investment income (loss)		38,279,698
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(67,148,445	)
Closed futures contracts		8,349,319
Closed swap contracts		(100,245,488	)
Written options		(65,671,464	)
Foreign currency, forward contracts and foreign currency related transactions		94,713
Net realized gain (loss)		(224,621,365	)
Change in net unrealized appreciation (depreciation) on:
Investments		(142,109,350	)
Open futures contracts		436,136
Open swap contracts		(9,609,116	)
Written options		(9,731,267	)
Foreign currency, forward contracts and foreign currency related transactions		178,438
Net unrealized gain (loss)		(160,835,159	)
Net realized and unrealized gain (loss)		(385,456,524	)
Net increase (decrease) in net assets resulting from operations	$	(347,176,826	)

See accompanying notes to the financial statements.

21

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	38,279,698		$	84,404,733
Net realized gain (loss)		(224,621,365	)		398,466
Change in net unrealized appreciation (depreciation)		(160,835,159	)		(110,689,866	)
Net increase (decrease) in net assets from operations		(347,176,826	)		(25,886,667	)
Net share transactions (Note 7):		(340,951,905	)		(246,005,000	)
Redemption fees (Notes 2 and 7):		432,682			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(340,519,223	)		(246,005,000	)
Total increase (decrease) in net assets		(687,696,049	)		(271,891,667	)
Net assets:
Beginning of period		1,478,175,734			1,750,067,401
End of period	$	790,479,685		$	1,478,175,734

See accompanying notes to the financial statements.

22

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Financial Highlights
(For a share outstanding throughout each period)

	Year Ended February 28/29,
	2009			2008			2007			2006			2005(a)
Net asset value, beginning of period	$	25.68		$	25.99		$	25.23		$	25.17		$	25.00
Income (loss) from investment operations:
Net investment income (loss)†		0.76			1.41			1.36			0.96			0.15
Net realized and unrealized gain (loss)		(8.09	)		(1.72	)		(0.60	)		(0.90	)		0.02
Total from investment operations		(7.33	)		(0.31	)		0.76			0.06			0.17
Net asset value, end of period	$	18.35		$	25.68		$	25.99		$	25.23		$	25.17
Total Return(b)		(28.54	)%		(1.19	)%		3.01	%		0.24	%		0.68	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	790,480		$	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)		0.00	%(c)		0.01	%*
Interest expense to average daily net assets		—			0.07	%		0.00	%(c)		—			—
Total net expenses to average daily net assets		0.00	%(c)		0.07	%		0.00	%(c)		0.00	%(c)		0.01	%*
Net investment income to average daily net assets		3.19	%		5.38	%		5.36	%		3.84	%		2.21	%*
Portfolio turnover rate		59	%		41	%		93	%		31	%		8	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.04	%		0.02	%		0.03	%		0.03	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—			—			—

(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. Calculation excludes redemption fees which are borne by the shareholder.

(c)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to financial statements.

23

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 adjustable rate fixed income securities with low volatility (although market changes may indirectly result in volatility), some of which have been downgraded. The Fund may also, from time to time, make tactical allocations to seek to add value to the Fund.

The Fund directly invests in asset-backed securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities. The Fund took temporary defensive measures during the last fiscal year.

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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in

24

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund values debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 prices provided by a single source. As of February 28, 2009, the total value of these securities represented 33.17% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

25

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Level 3 — Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using indicative bids received from primary pricing sources. The Fund also valued certain credit default swaps using industry standard models and inputs from pricing vendors.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		204,308,136		10,797,569
Level 3 - Significant Unobservable Inputs		606,666,299		8,476,731
Total	$	810,974,435	$	19,274,300

*  Other financial instruments include swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(58,003,926	)
Level 3 - Significant Unobservable Inputs		—		(6,857,806	)
Total	$	—	$	(64,861,732	)

**  Other financial instruments include swap agreements and written options.

26

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	299,356,447		$	—
Accrued discounts/premiums		637,276			—
Realized gain (loss)		(65,129,665	)		—
Change in unrealized appreciation/depreciation		(169,771,875	)		3,901,401
Net purchases (sales)		(241,424,258	)		—
Net transfers in and/or out of Level 3		782,998,374			(2,282,476	)
Balance as of February 28, 2009	$	606,666,299		$	1,618,925

***  Other financial instruments include swap agreements.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable

27

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to 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.

28

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the year ended February 28, 2009, 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 year	$	(120,000,000	)	$	(525,305	)	$	(540,000,000	)	$	(2,385,597	)
Options written		(19,013,000,000	)		(43,177,695	)		(6,372,000,000	)		(47,294,297	)
Options exercised		16,832,000,000			26,759,335			1,908,000,000			17,479,820
Options bought back		805,997,600			589,805			2,052,000,000			15,374,110
Options expired		1,075,002,400			8,358,860			1,517,000,000			5,437,432
Outstanding, end of year	$	(420,000,000	)	$	(7,995,000	)	$	(1,435,000,000	)	$	(11,388,532	)

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. Options contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund's Schedule of Investments.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange

29

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and

30

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that

31

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, the Fund did not participate in securities lending.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to federal income tax. Instead, each shareholder is required to take into account in determining its tax liability its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. Accordingly, no provision (benefit) for federal and state income taxes is reflected in the accompanying financial statements.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,056,090,138	$	34,377,259	$	(279,492,962	)	$	(245,115,703	)

For the year ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $43,434,360.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109.

32

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Distributions

Because the Fund has elected to be treated as a partnership for tax purposes, it is not required to make distributions to its shareholders. It is the policy of the Fund to declare and pay distributions as determined by the Trustees (or their delegates).

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures will tend to cause the

33

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Purchases and redemptions of Fund shares

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 1.00% of the amount redeemed. Effective October 20, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 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, through June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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

34

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $19,543 and $8,246, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	63,500,657	$	—
Investments (non-U.S. Government securities)		611,716,892		1,065,684,662

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 55.18% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. The shareholder is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and 99.99% of the Fund's shares were held by accounts for which the Manager had investment discretion.

35

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
	Shares			Amount			Shares			Amount
Shares sold		6,499,921		$	163,700,000			53,723,671		$	1,403,880,000
Shares repurchased		(20,970,764	)		(504,651,905	)		(63,507,548	)		(1,649,885,000	)
Redemption fees		—			432,682			—			—
Net increase (decrease)		(14,470,843	)	$	(340,519,223	)		(9,783,877	)	$	(246,005,000	)

36

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

37

GMO World Opportunity Overlay Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including redemption fees; 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, 2008 through February 28, 2009.

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		0.01	%	$	1,000.00	$	694.00	$	0.04
2) Hypothetical		0.01	%	$	1,000.00	$	1,024.74	$	0.05

*  Expenses are calculated using the annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the 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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

39

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

40

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

41

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

42

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Tax-Managed U.S. Equities Fund declined 35.4% for the fiscal year ended February 28, 2009, as compared to the 43.5% decline for the Russell 3000 Index. On an after-tax basis (calculated using the historical highest individual federal marginal income tax rates and not taking into account the impact of state and local taxes), the Fund returned -35.6% compared to the benchmark's -43.7% return for the same period. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

The portfolio's outperformance for the fiscal year is attributed primarily to sector selection. The portfolio benefited from being underweight Financial Services stocks, the weakest sector for the period. Overweight exposure to Health Care and Consumer Staples stocks, which posted the strongest, albeit still negative, returns also benefited the portfolio.

Stock selection was also positive for the latest fiscal year. Strength was broad based, with selections within Energy, Consumer Discretionary, and Consumer Staples stocks all contributing positively. Overweight exposures to Wal-Mart, Johnson & Johnson, and Exxon Mobil were three of the portfolio's strongest contributors. Selection within Health Care, including overweight exposure to UnitedHealth Group and Zimmer Holdings, detracted from relative performance.

For the fiscal year, the performance of high quality stocks was the key factor in the portfolio's relative returns. These stocks significantly outperformed the market during the latter half of the period. Momentum also contributed positive returns for the year, as the strategy also picked up exposure to high quality stocks. Our intrinsic value strategy struggled in the sharply descending 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. 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.

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		98.2	%
Short-Term Investments		1.9
Other		(0.1	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		28.5	%
Consumer Staples		25.4
Information Technology		19.0
Energy		13.4
Consumer Discretionary		4.8
Industrials		3.8
Financials		2.4
Telecommunication Services		1.8
Materials		0.5
Utilities		0.4
		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 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 98.2%
		Consumer Discretionary — 4.7%
	200	Advance Auto Parts, Inc.		7,650
	300	Apollo Group, Inc.-Class A *		21,750
	100	AutoZone, Inc. *		14,223
	600	Bed Bath & Beyond, Inc. *		12,780
	200	Best Buy Co., Inc.		5,764
	2,100	Coach, Inc. *		29,358
	2,400	Comcast Corp.-Class A		31,344
	300	DirecTV Group (The), Inc. *		5,982
	200	Dollar Tree, Inc. *		7,764
	500	Gap (The), Inc.		5,395
	300	H&R Block, Inc.		5,730
	200	Hasbro, Inc.		4,578
	5,200	Home Depot, Inc.		108,628
	200	ITT Educational Services, Inc. *		22,700
	300	Johnson Controls, Inc.		3,414
	200	Kohl's Corp. *		7,028
	400	Leggett & Platt, Inc.		4,572
	2,800	Lowe's Cos., Inc.		44,352
	700	McDonald's Corp.		36,575
	100	Nike, Inc.-Class B		4,153
	100	Polo Ralph Lauren Corp.		3,447
	300	Ross Stores, Inc.		8,856
	100	Sherwin-Williams Co. (The)		4,595
	1,500	Staples, Inc.		23,925
	800	Target Corp.		22,648
	300	Time Warner Cable, Inc.-Class A *		5,469
	600	Time Warner, Inc.		4,578
	500	TJX Cos. (The), Inc.		11,135
	500	Urban Outfitters, Inc. *		8,320
	200	Yum! Brands, Inc.		5,256
		Total Consumer Discretionary		481,969

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — 24.9%
	8,600	Altria Group, Inc.		132,784
	400	Archer-Daniels-Midland Co.		10,664
	400	Avon Products, Inc.		7,036
	600	Campbell Soup Co.		16,062
	200	Clorox Co.		9,720
	8,300	Coca-Cola Co. (The)		339,055
	1,500	Colgate-Palmolive Co.		90,270
	300	Costco Wholesale Corp.		12,702
	100	Energizer Holdings, Inc. *		4,219
	800	Estee Lauder Cos. (The), Inc.-Class A		18,120
	1,200	General Mills, Inc.		62,976
	500	Hershey Co. (The)		16,845
	600	HJ Heinz Co.		19,602
	100	JM Smucker Co. (The)		3,712
	800	Kellogg Co.		31,136
	1,200	Kimberly-Clark Corp.		56,532
	1,500	Kraft Foods, Inc.-Class A		34,170
	400	Kroger Co. (The)		8,268
	6,200	PepsiCo, Inc.		298,468
	6,500	Philip Morris International, Inc.		217,555
	6,100	Procter & Gamble Co. (The)		293,837
	300	Supervalu, Inc.		4,683
	500	Sysco Corp.		10,750
	14,100	Wal-Mart Stores, Inc.		694,284
	6,200	Walgreen Co.		147,932
		Total Consumer Staples		2,541,382
		Energy — 13.2%
	200	Anadarko Petroleum Corp.		6,990
	400	Apache Corp.		23,636
	500	BJ Services Co.		4,835
	200	Cabot Oil & Gas Corp.		4,074
	700	Chesapeake Energy Corp.		10,948
	6,800	Chevron Corp.		412,828
	200	Cimarex Energy Co.		3,930

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	2,274	ConocoPhillips		84,934
	300	Devon Energy Corp.		13,101
	300	EOG Resources, Inc.		15,012
	8,900	Exxon Mobil Corp.		604,310
	500	Halliburton Co.		8,155
	200	Helmerich & Payne, Inc.		4,732
	300	Hess Corp.		16,407
	200	Murphy Oil Corp.		8,362
	500	Nabors Industries Ltd. *		4,855
	300	Newfield Exploration Co. *		5,799
	200	Noble Corp.		4,918
	200	Noble Energy, Inc.		9,108
	700	Occidental Petroleum Corp.		36,309
	300	Pioneer Natural Resources Co.		4,377
	300	Plains Exploration & Production Co. *		5,742
	400	Southwestern Energy Co. *		11,508
	400	Spectra Energy Corp.		5,200
	100	Sunoco, Inc.		3,345
	189	Transocean Ltd. *		11,296
	600	Valero Energy Corp.		11,628
	300	XTO Energy, Inc.		9,498
		Total Energy		1,345,837
		Financials — 2.3%
	400	Aflac, Inc.		6,704
	1,100	Allstate Corp. (The)		18,513
	3,508	Bank of America Corp.		13,857
	600	BB&T Corp.		9,678
	100	BlackRock, Inc.		9,681
	1,100	Chubb Corp.		42,944
	2,500	Citigroup, Inc.		3,750
	200	First American Corp.		4,634
	100	Goldman Sachs Group (The), Inc.		9,108
	600	Hudson City Bancorp, Inc.		6,222
	300	JPMorgan Chase & Co.		6,855

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	800	Marsh & McLennan Cos., Inc.		14,344
	300	MetLife, Inc.		5,538
	300	Moody's Corp.		5,385
	100	PNC Financial Services Group, Inc.		2,734
	600	Progressive Corp. (The) *		6,942
	200	Torchmark Corp.		4,120
	1,100	Travelers Cos. (The), Inc.		39,765
	300	Unum Group		3,054
	800	US Bancorp		11,448
	1,000	Wells Fargo & Co.		12,100
		Total Financials		237,376
		Health Care — 28.0%
	3,600	Abbott Laboratories		170,424
	500	AmerisourceBergen Corp.		15,880
	5,900	Amgen, Inc. *		288,687
	200	Baxter International, Inc.		10,182
	100	Becton, Dickinson & Co.		6,189
	300	Biogen Idec, Inc. *		13,812
	1,800	Bristol-Myers Squibb Co.		33,138
	400	Cardinal Health, Inc.		12,980
	200	Celgene Corp. *		8,946
	100	Cephalon, Inc. *		6,559
	2,400	Coventry Health Care, Inc. *		27,648
	200	Covidien Ltd.		6,334
	4,600	Eli Lilly & Co.		135,148
	400	Express Scripts, Inc. *		20,120
	2,100	Forest Laboratories, Inc. *		45,024
	100	Genentech, Inc. *		8,555
	100	Genzyme Corp. *		6,093
	1,700	Gilead Sciences, Inc. *		76,160
	10,700	Johnson & Johnson		535,000
	900	McKesson Corp.		36,918
	3,400	Medtronic, Inc.		100,606

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	3,800	Merck & Co., Inc.		91,960
	42,030	Pfizer, Inc.		517,389
	100	Quest Diagnostics, Inc.		4,583
	600	Schering-Plough Corp.		10,434
	300	Stryker Corp.		10,101
	12,021	UnitedHealth Group, Inc.		236,213
	200	Varian Medical Systems, Inc. *		6,102
	200	Vertex Pharmaceuticals, Inc. *		6,046
	1,900	WellPoint, Inc. *		64,448
	6,100	Wyeth		249,002
	2,600	Zimmer Holdings, Inc. *		91,052
		Total Health Care		2,851,733
		Industrials — 3.7%
	1,400	3M Co.		63,644
	500	Burlington Northern Santa Fe Corp.		29,385
	600	CH Robinson Worldwide, Inc.		24,828
	800	CSX Corp.		19,744
	200	Danaher Corp.		10,152
	300	Emerson Electric Co.		8,025
	800	Fastenal Co.		24,096
	100	FedEx Corp.		4,321
	1,000	General Dynamics Corp.		43,820
	500	General Electric Co.		4,255
	200	Joy Global, Inc.		3,492
	100	L-3 Communications Holdings, Inc.		6,765
	100	Lockheed Martin Corp.		6,311
	600	Norfolk Southern Corp.		19,032
	200	Paccar, Inc.		5,014
	200	Parker-Hannifin Corp.		6,674
	200	Ryder System, Inc.		4,572
	400	Tyco International Ltd.		8,020
	600	Union Pacific Corp.		22,512
	700	United Parcel Service, Inc.-Class B		28,826

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	800	United Technologies Corp.		32,664
	200	Waste Management, Inc.		5,400
		Total Industrials		381,552
		Information Technology — 18.7%
	400	Altera Corp.		6,132
	200	Automatic Data Processing, Inc.		6,830
	18,700	Cisco Systems, Inc. *		272,459
	300	Citrix Systems, Inc. *		6,174
	3,000	Dell, Inc. *		25,590
	4,761	eBay, Inc. *		51,752
	200	Fiserv, Inc. *		6,524
	210	Google, Inc.-Class A *		70,978
	200	Hewlett-Packard Co.		5,806
	1,700	International Business Machines Corp.		156,451
	200	Intuit, Inc. *		4,558
	100	MasterCard, Inc.-Class A		15,803
	30,900	Microsoft Corp.		499,035
	400	NetApp, Inc. *		5,376
	23,900	Oracle Corp. *		371,406
	11,300	Qualcomm, Inc.		377,759
	600	Symantec Corp. *		8,298
	100	Visa, Inc.-Class A		5,671
	800	Western Union Co.		8,928
		Total Information Technology		1,905,530
		Materials — 0.5%
	100	Air Products & Chemicals, Inc.		4,625
	200	Monsanto Co.		15,254
	400	Nucor Corp.		13,460
	200	Owens-Illinois, Inc. *		3,084
	100	Praxair, Inc.		5,675
	200	Sigma-Aldrich Corp.		7,140
	100	Vulcan Materials Co.		4,141
		Total Materials		53,379

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 28, 2009

Shares		Description	Value ($)
		Telecommunication Services — 1.8%
	3,863	AT&T, Inc.		91,824
	3,242	Verizon Communications, Inc.		92,494
		Total Telecommunication Services		184,318
		Utilities — 0.4%
	200	Dominion Resources, Inc./Virginia		6,036
	100	Exelon Corp.		4,722
	200	FirstEnergy Corp.		8,512
	100	PG&E Corp.		3,822
	400	Southern Co.		12,124
		Total Utilities		35,216
		TOTAL COMMON STOCKS (COST $12,435,103)		10,018,292
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 1.9%
	195,160	State Street Institutional Treasury Money Market Fund-Institutional Class		195,160
		TOTAL SHORT-TERM INVESTMENTS (COST $195,160)		195,160
		TOTAL INVESTMENTS — 100.1% (Cost $12,630,263)		10,213,452
		Other Assets and Liabilities (net) — (0.1%)		(14,726	)
		TOTAL NET ASSETS — 100.0%	$	10,198,726

Notes to Schedule of Investments:

*  Non-income producing security.

See accompanying notes to the financial statements.

8

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $12,630,263) (Note 2)	$	10,213,452
Dividends receivable		43,200
Receivable for expenses reimbursed by Manager (Note 3)		7,987
Total assets		10,264,639
Liabilities:
Payable to affiliate for (Note 3):
Management fee		2,844
Shareholder service fee		1,293
Trustees and Chief Compliance Officer of GMO Trust fees		84
Accrued expenses		61,692
Total liabilities		65,913
Net assets	$	10,198,726
Net assets consist of:
Paid-in capital	$	31,673,509
Accumulated undistributed net investment income		39,439
Accumulated net realized loss		(19,097,411	)
Net unrealized depreciation		(2,416,811	)
	$	10,198,726
Net assets attributable to:
Class III shares	$	10,198,726
Shares outstanding:
Class III		1,317,950
Net asset value per share:
Class III	$	7.74

See accompanying notes to the financial statements.

9

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $63)	$	1,221,264
Interest		1,927
Total investment income		1,223,191
Expenses:
Management fee (Note 3)		198,196
Shareholder service fee – Class III (Note 3)		90,089
Custodian, fund accounting agent and transfer agent fees		38,362
Audit and tax fees		56,945
Legal fees		1,605
Trustees fees and related expenses (Note 3)		720
Registration fees		1,730
Miscellaneous		3,240
Total expenses		390,887
Fees and expenses reimbursed by Manager (Note 3)		(101,441	)
Expense reductions (Note 2)		(31	)
Net expenses		289,415
Net investment income (loss)		933,776
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(20,369,888	)
Closed futures contracts		(429,455	)
Net realized gain (loss)		(20,799,343	)
Change in net unrealized appreciation (depreciation) on investments		(2,169,581	)
Net realized and unrealized gain (loss)		(22,968,924	)
Net increase (decrease) in net assets resulting from operations	$	(22,035,148	)

See accompanying notes to the financial statements.

10

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	933,776		$	1,718,647
Net realized gain (loss)		(20,799,343	)		6,085,509
Change in net unrealized appreciation (depreciation)		(2,169,581	)		(13,115,568	)
Net increase (decrease) in net assets from operations		(22,035,148	)		(5,311,412	)
Distributions to shareholders from:
Net investment income
Class III		(1,107,627	)		(1,800,557	)
Net realized gains
Class III		—			(1,256,863	)
		(1,107,627	)		(3,057,420	)
Net share transactions (Note 7):
Class III		(55,344,097	)		(19,670,155	)
Total increase (decrease) in net assets		(78,486,872	)		(28,038,987	)
Net assets:
Beginning of period		88,685,598			116,724,585
End of period (including accumulated undistributed net investment income of $39,439 and $213,290, respectively)	$	10,198,726		$	88,685,598

See accompanying notes to the financial statements.

11

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	12.21		$	13.48		$	12.83		$	12.14		$	11.58
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.21			0.19			0.20			0.16
Net realized and unrealized gain (loss)		(4.45	)		(1.08	)		0.64			0.69			0.54
Total from investment operations		(4.27	)		(0.87	)		0.83			0.89			0.70
Less distributions to shareholders:
From net investment income		(0.20	)		(0.22	)		(0.18	)		(0.20	)		(0.14	)
From net realized gains		—			(0.18	)		—			—			—
Total distributions		(0.20	)		(0.40	)		(0.18	)		(0.20	)		(0.14	)
Net asset value, end of period	$	7.74		$	12.21		$	13.48		$	12.83		$	12.14
Total Return(a)		(35.43	)%		(6.78	)%		6.53	%		7.46	%		6.12	%(b)
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	10,199		$	88,686		$	116,725		$	121,339		$	81,374
Net expenses to average daily net assets		0.48	%(c)		0.48	%(c)		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.55	%		1.55	%		1.46	%		1.65	%		1.39	%
Portfolio turnover rate		66	%		62	%		67	%		62	%		87	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.17	%		0.12	%		0.11	%		0.08	%		0.08	%

(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 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.

12

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

13

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	10,018,292	$	—
Level 2 - Other Significant Observable Inputs		195,160		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	10,213,452	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

14

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default

15

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

16

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

17

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	—	$	1,910,887	$	(1,910,887	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	1,107,627	$	1,811,810
Net long-term capital gain		—		1,245,610
Total distributions	$	1,107,627	$	3,057,420

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 39,439

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $10,340,010.

As of February 28, 2009, 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:

2/28/2017	$	(8,413,466	)
Total	$	(8,413,466	)

18

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	12,974,198	$	273,027	$	(3,033,773	)	$	(2,760,746	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, 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 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.33% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $720 and $303, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $38,922,539 and $92,908,690, respectively.

20

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 92.65% of the outstanding shares of the Fund were held by five shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.28% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 17.26% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		147,299		$	1,297,188			76,039		$	1,022,306
Shares issued to shareholders in reinvestment of distributions		85,574			960,217			196,167			2,702,024
Shares repurchased		(6,181,090	)		(57,601,502	)		(1,667,621	)		(23,394,485	)
Net increase (decrease)		(5,948,217	)	$	(55,344,097	)		(1,395,415	)	$	(19,670,155	)

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

22

GMO Tax-Managed U.S. Equities Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.48	%	$	1,000.00	$	654.70	$	1.97
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 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 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $22,416 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

26

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

27

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

28

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the International Active team 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 -51.3% for the fiscal year ended February 28, 2009, as compared to -53.2% for the S&P Developed ex-U.S. Small Cap Index (formerly S&P/Citigroup EMI World ex-U.S. Index). Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in equity securities of small companies in countries outside of the U.S. throughout the period.

Stock selection subtracted 1.8% from returns for the fiscal year. Stock selection underperformed in Japan, Germany, and the emerging markets. Stock selection outperformed in the United Kingdom and Australia.

Country selection added 3.7% to performance for the fiscal year. The largest positive impact from country selection came from an underweight position in Australia, which added 0.8% to 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. 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. 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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		92.5	%
Short-Term Investments		5.2
Preferred Stocks		0.3
Rights and Warrants		0.0
Other		2.0
		100.0	%
Country Summary	% of Equity Investments
Japan		28.1	%
United Kingdom		23.8
France		7.1
Switzerland		5.3
Germany		4.8
Italy		4.6
Canada		3.3
Finland		2.9
South Korea		2.6
Hong Kong		2.1
Netherlands		2.1
Sweden		2.0
Norway		1.9
Australia		1.8
Spain		1.6
Singapore		1.0
Taiwan		1.0
China		0.6
Belgium		0.5
Philippines		0.5
Brazil		0.4
Greece		0.4
Mexico		0.4
Thailand		0.3
Austria		0.2
Indonesia		0.2
Ireland		0.2
Malaysia		0.2
New Zealand		0.1
India		0.0
		100.0	%

1

GMO Foreign Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Industrials		21.1	%
Consumer Discretionary		15.0
Financials		14.7
Information Technology		11.3
Consumer Staples		10.9
Health Care		9.4
Energy		6.7
Materials		6.3
Utilities		3.2
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 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 92.5%
		Australia — 1.7%
	140,000	Aristocrat Leisure Ltd		327,108
	235,814	Australian Vintage Ltd *		24,021
	359,197	Consolidated Rutile Ltd		65,967
	344,215	Fairfax Media Ltd (a)		165,081
	232,073	Goodman Group		37,322
	397,700	Insurance Australia Group Ltd		862,108
	82,500	Insurance Australia Group Ltd (Placement Shares)		178,311
	425,860	Iress Market Technology Ltd		1,418,795
	322,000	Metcash Ltd		855,382
	666,100	Tatts Group Ltd		1,206,298
	133,600	West Australian Newspapers Holdings Ltd		383,566
		Total Australia		5,523,959
		Austria — 0.2%
	17,607	Flughafen Wien AG		477,812
	29,800	Wienerberger AG		239,983
		Total Austria		717,795
		Belgium — 0.5%
	86,840	AGFA-Gevaert NV *		195,555
	14,000	Bekaert NV		679,766
	22,954	Omega Pharma SA		609,682
		Total Belgium		1,485,003
		Brazil — 0.4%
	450,000	Cia Hering *		1,223,133
		Canada — 3.0%
	199,800	Flint Energy Services Ltd *		783,683
	350,800	Gammon Gold Inc *		2,757,428
	93,900	ING Canada Inc		2,412,821
	90,600	KAP Resources Ltd (a) (b) *		712
	291,800	Kingsway Financial Services Inc		516,075

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 28, 2009

Shares		Description	Value ($)
		Canada — continued
	246,000	Linamar Corp		645,842
	96,000	Penn West Energy Trust		845,905
	300,000	Precision Drilling Trust		870,146
	45,000	TransCanada Corp		1,092,989
		Total Canada		9,925,601
		China — 0.5%
	5,874,000	Uni-President China Holding Ltd *		1,787,214
		Finland — 2.7%
	45,121	Atria Group Plc		457,137
	143,072	Hk-Ruokatalo Oyj Class A		765,857
	170,086	KCI Konecranes Oyj		2,754,586
	68,383	Marimekko Oyj		699,063
	139,129	Nokian Renkaat Oyj		1,638,807
	100,000	Oriola-KD Oyj Class B		237,563
	26,600	Outokumpu Oyj		269,096
	65,000	Tietoenator Oyj		810,531
	47,700	Uponor Oyj		480,889
	144,205	YIT Oyj		864,463
		Total Finland		8,977,992
		France — 6.6%
	116,288	Boursorama *		685,109
	65,100	Cap Gemini SA		1,865,677
	3,200	Casino Guichard-Perrachon SA		197,700
	17,000	CNP Assurances		1,093,450
	6,450	Damartex SA		87,016
	73,000	Essilor International SA		2,519,382
	45,267	Eurazeo		1,054,835
	5,400	Gaumont SA		283,337
	48,156	JC Decaux SA		613,019
	46,712	Klepierre		944,889
	3,075	Lisi		102,177

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 28, 2009

Shares		Description	Value ($)
		France — continued
	34,866	Neopost SA		2,530,122
	11,272	Societe BIC SA		549,379
	44,600	Sodexo		2,040,809
	171,872	TF1 SA		1,383,301
	21,000	Thales SA		842,916
	38,672	Virbac SA		2,757,761
	71,141	Zodiac SA		2,143,874
		Total France		21,694,753
		Germany — 4.1%
	13,164	Adidas AG		378,442
	7,827	Axel Springer AG		529,704
	119,755	Cat Oil AG *		309,529
	24,800	Celesio AG		518,015
	41,200	Commerzbank AG		142,059
	170,300	Francotyp-Postalia Holdings AG		119,327
	35,900	Fraport AG		1,086,982
	18,900	Fresenius Medical Care AG & Co		768,465
	108,500	Gagfah SA		328,939
	83,100	Gerresheimer AG		1,761,421
	21,515	Grenkeleasing AG		577,611
	65,220	Heidelberger Druckmaschinen AG		269,488
	523,600	Infineon Technologies AG *		317,625
	10,900	MAN AG		438,745
	55,446	Nemetschek AG		493,883
	508,500	Patrizia Immobilien AG *		959,692
	4,788	Puma AG Rudolf Dassler Sport		715,652
	42,600	Rheinmetall AG		1,391,420
	264,300	Symrise AG		2,424,674
		Total Germany		13,531,673
		Greece — 0.3%
	57,645	Bank of Cyprus Public Co Ltd		118,644
	75,000	Metka SA		538,531

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 28, 2009

Shares		Description	Value ($)
		Greece — continued
	64,600	Mytilineos Holdings SA		270,373
	43,100	Piraeus Bank SA		208,982
		Total Greece		1,136,530
		Hong Kong — 1.9%
	3,498,686	Hong Kong & Shanghai Hotels		2,093,866
	1,801,307	Industrial & Commercial Bank of China		1,668,344
	6,800,000	Ming An Holdings Co Ltd (The)		631,665
	7,472,000	TPV Technology Ltd		1,927,338
		Total Hong Kong		6,321,213
		India — 0.0%
	100,000	Welspun Gujarat Stahl Ltd		119,041
		Indonesia — 0.2%
	1,600,000	United Tractors Tbk PT		703,625
		Ireland — 0.2%
	40,500	DCC Plc		550,201
		Italy — 4.3%
	255,300	Arnoldo Mondadori Editore SPA		766,322
	77,000	Banco Popolare Scarl		293,621
	112,900	Brembo SPA		422,001
	128,900	Buzzi Unicem SPA		1,199,860
	351,300	Campari		1,901,734
	182,000	Credito Emiliano SPA		565,105
	112,616	Finmeccanica SPA		1,435,113
	212,016	Grouppo Editoriale L'Espresso		200,996
	883,700	IFIL SPA		1,668,479
	255,700	Indesit Company SPA		734,134
	71,900	Italcementi SPA		640,775
	192,742	Mediaset SPA		855,343
	50,000	Saipem SPA		772,484

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 28, 2009

Shares		Description	Value ($)
		Italy — continued
	1,408,664	Telecom Italia SPA-Di RISP		1,339,733
	137,600	Unione di Banche Italiane ScpA		1,301,148
		Total Italy		14,096,848
		Japan — 26.1%
	500,000	Capcom		9,491,787
	1,400,000	Daicel Chemical Industries Ltd		4,866,615
	400	EPS Co Ltd		1,626,241
	247	Global One REIT Co Ltd		1,532,207
	180,000	Hisamitsu Pharmaceutical Co Inc		5,436,079
	275,000	Hitachi Chemical Co Ltd		2,747,455
	250,000	Hitachi Transport System Ltd		2,279,183
	430,000	Izumi Co Ltd		4,481,664
	600,000	J-Oil Mills Inc		1,604,981
	250	Japan Retail Fund Investment Corp REIT		809,228
	175,000	K's Holdings Corp		2,091,463
	540,000	Keiyo Bank Ltd (The)		2,479,744
	225,000	KOSE Corp		4,662,649
	117,000	Kyorin Co Ltd		1,448,318
	375,000	Kyowa Exeo Corp		3,066,201
	89,900	Mitsubishi UFJ Lease & Finance Co Ltd		1,564,480
	380,000	Nabtesco Corp		2,319,729
	535,000	NHK Spring Co Ltd		1,809,065
	23,500	Obic Co Ltd		3,100,048
	525,000	Rohto Pharmaceutical Co Ltd		5,564,261
	550	Seven Bank Ltd		1,509,168
	250,000	Shimachu Co Ltd		3,851,306
	350,000	Shimadzu Corp		2,186,620
	1,400,000	Snow Brand Milk Products Co Ltd		3,766,087
	180,000	Sumitomo Rubber Industries		1,136,526
	440,000	Toyo Suisan Kaisha Ltd		10,413,299
		Total Japan		85,844,404
		Malaysia — 0.2%
	600,000	IJM Corp Berhad		593,527

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 28, 2009

Shares		Description	Value ($)
		Mexico — 0.4%
	2,405,600	Genomma Lab Internacional SA Class B *		1,262,032
		Netherlands — 1.9%
	61,600	Imtech NV		781,356
	55,600	Koninklijke DSM NV		1,270,653
	77,756	Koninklijke Ten Cate NV		1,175,686
	34,621	Randstad Holdings NV		502,308
	126,600	SBM Offshore NV		1,656,250
	236,300	SNS Reaal NV		877,529
		Total Netherlands		6,263,782
		New Zealand — 0.1%
	413,300	Air New Zealand		168,934
		Norway — 1.8%
	1,228,334	Ability Drilling ASA *		451,979
	405,000	DNO International ASA *		246,802
	3,283,000	Dockwise Ltd *		2,421,961
	1,669,085	Prosafe Production Public Ltd *		2,708,861
		Total Norway		5,829,603
		Philippines — 0.5%
	12,800,000	Aboitiz Power Corp		1,088,512
	5,100,000	Alliance Global Group Inc *		154,380
	23,400,000	Pepsi-Cola Products Philippines Inc		409,008
		Total Philippines		1,651,900
		Singapore — 1.0%
	1,472,500	Anwell Technologies Ltd *		218,056
	490,000	Banyan Tree Holdings Inc		122,836
	3,039,000	Chemoil Energy Ltd		678,305
	2,815,000	Financial One Corp		279,363
	2,950,000	First Ship Lease Trust		652,231
	2,522,000	LMA International NV *		199,446
	934,000	People's Food Holdings Ltd		382,833

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 28, 2009

Shares		Description	Value ($)
		Singapore — continued
	1,703,000	Petra Foods Ltd		351,108
	298,000	SembCorp Marine Ltd		264,393
		Total Singapore		3,148,571
		South Korea — 2.4%
	92,823	Busan Bank		307,664
	15,000	Cheil Industries Inc		355,879
	227,549	Handsome Corp		1,148,042
	2,978	Hite Brewery Co Ltd		262,118
	49,900	Korea Electric Terminal Co		481,926
	220,963	Kortek Corp		789,870
	15,100	Nong Shim Co Ltd		2,229,376
	13,580	Pulmuone Holdings Co Ltd		673,852
	52,200	Samsung Card Co Ltd		896,694
	12,307	Samsung Digital Imaging Co Ltd (a) *		125,060
	27,393	Samsung Techwin Co Ltd		535,010
		Total South Korea		7,805,491
		Spain — 1.5%
	50,000	Grifols SA		783,875
	159,000	Mapfre SA		323,241
	26,000	Red Electrica de Espana		1,042,750
	22,000	Tecnicas Reunidas SA		611,036
	96,592	Union Fenosa SA		2,176,911
		Total Spain		4,937,813
		Sweden — 1.8%
	170,268	B&B Tools AB		1,044,641
	145,555	Getinge AB Class B		1,679,395
	301,100	SAAB AB Class B		2,072,916
	2,322,000	Trigon Agri A/S *		1,282,577
		Total Sweden		6,079,529

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 28, 2009

Shares		Description	Value ($)
		Switzerland — 4.9%
	165,080	Bank Sarasin & Cie AG Class B (Registered)		3,483,240
	7,500	Banque Cantonale Vaudoise		1,988,796
	12,970	Geberit AG (Registered)		1,161,774
	14,910	Helvetia Patria Holding (Registered)		2,283,181
	2,083	Jelmoli Holding AG (Registered)		801,507
	170,539	Kardex AG *		3,858,262
	6,470	Swisscom AG (Registered)		1,937,983
	4,394	Valora Holding AG		581,021
		Total Switzerland		16,095,764
		Taiwan — 0.9%
	42,000	104 Corp		76,222
	1,434,840	Advanced Semiconductor Engineering Inc		497,058
	230,290	Catcher Technology Co Ltd		384,432
	3,769,280	Gold Circuit Electronics Ltd		776,365
	2,243,322	Tsann Kuen Enterprises Co Ltd		735,872
	1,339,019	Yulon Motor Co Ltd		548,614
		Total Taiwan		3,018,563
		Thailand — 0.3%
	9,520,000	Home Product Center Pcl (Foreign Registered) (a)		962,474
		United Kingdom — 22.1%
	145,000	AMEC Plc		1,120,050
	150,000	Amlin Plc		731,297
	150,000	Aquarius Platinum Ltd		362,030
	488,989	Balfour Beatty Plc		2,201,615
	100,000	Berkeley Group Holdings Plc (Unit Shares) *		1,236,401
	179,199	Bodycote Plc		300,640
	142,613	Bovis Homes Group Plc		785,320
	583,333	Brit Insurance Holdings Plc		1,573,745
	438,800	British Airways Plc		851,758
	200,000	Carillion Plc		625,523
	250,400	Catlin Group Ltd		1,478,843
	123,888	Chemring Group		3,853,122
	468,000	Cobham Plc		1,284,570

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	242,000	Compass Group Plc		1,063,212
	50,000	Connaught Plc		240,996
	134	Consort Medical Plc		800
	200,000	Davis Service Group (Ordinary)		653,468
	84,828	De La Rue Plc		1,246,567
	3,300,000	Dimension Data Holdings Plc		1,671,923
	31,660	DS Smith Plc		31,215
	11,400	Experian Plc		67,375
	95,200	Filtrona Plc		155,873
	1,253,000	Galliford Try Plc		706,396
	135,027	Go-Ahead Group Plc		1,760,116
	621,109	Group 4 Securicor Plc		1,641,870
	1,128,160	Hays Plc		1,223,580
	77,100	Hikma Pharmaceuticals Plc		412,664
	86,000	Homeserve Plc		1,221,142
	311,049	ICAP Plc		1,035,495
	143,466	Inmarsat Plc		879,360
	116,050	International Personal Finance Plc		186,256
	725,000	John Wood Group Plc		1,994,240
	115,000	Johnson Matthey Plc		1,596,917
	104,929	Kazakhmys Plc		387,829
	137,649	Kier Group Plc		1,763,751
	97,000	Lamprell Plc		114,744
	15,000	Lonmin Plc		214,931
	544,498	Mitie Group Plc		1,369,977
	207,142	N Brown Group		589,204
	101,000	Next Plc		1,674,877
	275,000	Northumbrian Water Group Plc		866,157
	497,357	Pennon Group Plc		3,067,793
	196,076	Petrofac Ltd		1,309,645
	305,555	Playtech Ltd		1,574,145
	57,500	Provident Financial Plc		669,295
	472,187	PZ Cussons Plc		1,121,388
	600,000	Qinetiq Group Plc		1,182,960
	750,000	RM Plc		1,819,385

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	1,091,496	RSA Insurance Group Plc		2,134,023
	1,000,000	Sage Group Plc		2,422,983
	275,000	Savills Plc		1,137,725
	22,000	Schroders Plc		228,362
	195,858	Segro Plc		298,504
	419,930	Serco Group Plc		2,311,085
	90,000	Severn Trent (Ordinary Shares)		1,395,084
	69,000	Shire Plc		818,040
	110,288	Smith News Plc		91,307
	23,796	Soco International Plc *		401,370
	719,500	Spice Plc		400,581
	250,000	Stagecoach Group Plc		411,191
	307,600	Total Produce Plc		81,467
	110,181	Travis Perkins Plc		510,541
	601,129	TT Group Plc		186,315
	151,104	Tullow Oil Plc		1,569,189
	130,700	Ultra Electronics Holdings		2,051,419
	221,206	United Business Media Ltd		1,304,367
	59,135	Venture Production (Ordinary Shares)		429,189
	235,661	VT Group Plc		1,648,131
	177,097	WH Smith Plc		849,054
	33,800	Wolseley Plc		85,361
		Total United Kingdom		72,685,748
		TOTAL COMMON STOCKS (COST $481,186,820)		304,142,716
		PREFERRED STOCKS — 0.3%
		Germany — 0.3%
	554,574	ProSiebenSat.1 Media AG 91.24%		964,248
		Italy — 0.0%
	8,500	Exor SPA *		36,304
		TOTAL PREFERRED STOCKS (COST $4,656,258)		1,000,552

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		RIGHTS AND WARRANTS — 0.0%
		Malaysia — 0.0%
	70,000	IJM Land Berhad Warrants, Expires 09/11/13 *		3,399
		TOTAL RIGHTS AND WARRANTS (COST $1,435)		3,399
		SHORT-TERM INVESTMENTS — 5.2%
	1,996,378	Banco Santander Time Deposit, 0.53%, due 03/02/09		1,996,378
	67,434	Bank of Tokyo-Mitsubishi Time Deposit, 0.08%, due 03/02/09		67,434
	2,000,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		2,000,000
	2,000,000	Branch Banking & Trust Time Deposit, 0.13%, due 03/02/09		2,000,000
	1,996,378	Citibank Time Deposit, 0.53%, due 03/02/09		1,996,378
	2,000,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		2,000,000
	1,140,783	JPMorgan Chase Time Deposit, 0.09%-0.53%, due 03/02/09		1,140,783
	2,100,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		2,100,000
	3,996,378	Societe Generale Time Deposit, 0.25%-0.53%, due 03/02/09		3,996,378
		TOTAL SHORT-TERM INVESTMENTS (COST $17,297,351)		17,297,351
		TOTAL INVESTMENTS — 98.0%(Cost $503,141,864)		322,444,018
		Other Assets and Liabilities (net) — 2.0%		6,418,173
		TOTAL NET ASSETS — 100.0%	$	328,862,191

Notes to Schedule of Investments:

*  Non-income producing security.

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

(b)  Bankrupt issuer.

See accompanying notes to the financial statements.

13

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $503,141,864) (Note 2)	$	322,444,018
Cash		4,922,383
Foreign currency, at value (cost $697,105) (Note 2)		662,576
Receivable for investments sold		1,156,614
Dividends and interest receivable		737,078
Foreign taxes receivable		192,999
Receivable for expenses reimbursed by Manager (Note 3)		22,376
Miscellaneous receivable		1,024,735
Total assets		331,162,779
Liabilities:
Payable for investments purchased		948,509
Payable to affiliate for (Note 3):
Management fee		189,593
Shareholder service fee		33,043
Trustees and Chief Compliance Officer of GMO Trust fees		1,286
Miscellaneous payable		835,717
Accrued expenses		292,440
Total liabilities		2,300,588
Net assets	$	328,862,191
Net assets consist of:
Paid-in capital	$	596,428,078
Distributions in excess of net investment income		(2,263,216	)
Distributions in excess of net realized gain		(84,418,562	)
Net unrealized depreciation		(180,884,109	)
	$	328,862,191
Net assets attributable to:
Class III shares	$	185,297,727
Class IV shares	$	143,564,464
Shares outstanding:
Class III		28,901,376
Class IV		22,361,691
Net asset value per share:
Class III	$	6.41
Class IV	$	6.42

See accompanying notes to the financial statements.

14

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $2,329,701)	$	22,940,073
Securities lending income		1,272,055
Interest		985,697
Total investment income		25,197,825
Expenses:
Management fee (Note 3)		5,028,384
Shareholder service fee – Class III (Note 3)		373,554
Shareholder service fee – Class IV (Note 3)		469,305
Custodian and fund accounting agent fees		670,764
Transfer agent fees		41,646
Audit and tax fees		86,000
Legal fees		17,968
Trustees fees and related expenses (Note 3)		9,256
Registration fees		460
Miscellaneous		14,049
Total expenses		6,711,386
Fees and expenses reimbursed by Manager (Note 3)		(798,420	)
Expense reductions (Note 2)		(25,053	)
Net expenses		5,887,913
Net investment income (loss)		19,309,912
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(81,616,379	)
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $139) (Note 2)		(2,867,183	)
Net realized gain (loss)		(84,483,562	)
Change in net unrealized appreciation (depreciation) on:
Investments		(363,978,849	)
Foreign currency, forward contracts and foreign currency related transactions		(1,249,911	)
Net unrealized gain (loss)		(365,228,760	)
Net realized and unrealized gain (loss)		(449,712,322	)
Net increase (decrease) in net assets resulting from operations	$	(430,402,410	)

See accompanying notes to the financial statements.

15

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	19,309,912		$	19,366,409
Net realized gain (loss)		(84,483,562	)		177,097,003
Change in net unrealized appreciation (depreciation)		(365,228,760	)		(210,550,516	)
Net increase (decrease) in net assets from operations		(430,402,410	)		(14,087,104	)
Distributions to shareholders from:
Net investment income
Class III		(5,535,606	)		(8,928,275	)
Class IV		(7,364,331	)		(16,347,910	)
Total distributions from net investment income		(12,899,937	)		(25,276,185	)
Net realized gains
Class III		(17,878,843	)		(71,469,472	)
Class IV		(33,553,914	)		(126,085,967	)
Total distributions from net realized gains		(51,432,757	)		(197,555,439	)
Return of capital
Class III		(183,326	)		—
Class IV		(243,890	)		—
Total distributions from return of capital		(427,216	)		—
		(64,759,910	)		(222,831,624	)
Net share transactions (Note 7):
Class III		18,176,575			46,586,423
Class IV		(199,947,721	)		79,691,450
Increase (decrease) in net assets resulting from net share transactions		(181,771,146	)		126,277,873
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		14			—
Class IV		27			—
Increase in net assets resulting from purchase premiums and redemption fees		41			—
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(181,771,105	)		126,277,873
Total increase (decrease) in net assets		(676,933,425	)		(110,640,855	)
Net assets:
Beginning of period		1,005,795,616			1,116,436,471
End of period (including distributions in excess of net investment income of $2,263,216 and $7,212,762, respectively)	$	328,862,191		$	1,005,795,616

See accompanying notes to the financial statements.

16

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	14.63		$	18.38		$	17.98		$	17.19		$	14.79
Income (loss) from investment operations:
Net investment income (loss)†		0.30			0.31			0.28			0.26			0.26
Net realized and unrealized gain (loss)		(7.43	)		(0.36	)		4.51			3.19			3.76
Total from investment operations		(7.13	)		(0.05	)		4.79			3.45			4.02
Less distributions to shareholders:
From net investment income		(0.27	)		(0.41	)		(0.44	)		(0.32	)		(0.38	)
From net realized gains		(0.81	)		(3.29	)		(3.95	)		(2.34	)		(1.24	)
Return of capital		(0.01	)		—			—			—			—
Total distributions		(1.09	)		(3.70	)		(4.39	)		(2.66	)		(1.62	)
Net asset value, end of period	$	6.41		$	14.63		$	18.38		$	17.98		$	17.19
Total Return(a)		(51.33	)%		(1.96	)%		29.94	%		22.32	%		28.40	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	185,298		$	338,804		$	375,565		$	364,551		$	426,758
Net expenses to average daily net assets		0.85	%(b)		0.86	%(b)		0.86	%		0.85	%		0.85	%
Net investment income to average daily net assets		2.59	%		1.69	%		1.53	%		1.52	%		1.71	%
Portfolio turnover rate		42	%		42	%		37	%		40	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.09	%		0.09	%		0.09	%		0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(c)		—			—			—			—

(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, except for reimbursements related to securities lending transactions (Note 2).

(c)  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.

17

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	14.64		$	18.39		$	17.99		$	17.20		$	14.80
Income (loss) from investment operations:
Net investment income (loss)†		0.33			0.31			0.28			0.26			0.26
Net realized and unrealized gain (loss)		(7.46	)		(0.35	)		4.52			3.20			3.76
Total from investment operations		(7.13	)		(0.04	)		4.80			3.46			4.02
Less distributions to shareholders:
From net investment income		(0.27	)		(0.42	)		(0.45	)		(0.33	)		(0.38	)
From net realized gains		(0.81	)		(3.29	)		(3.95	)		(2.34	)		(1.24	)
Return of capital		(0.01	)		—			—			—			—
Total distributions		(1.09	)		(3.71	)		(4.40	)		(2.67	)		(1.62	)
Net asset value, end of period	$	6.42		$	14.64		$	18.39		$	17.99		$	17.20
Total Return(a)		(51.29	)%		(1.91	)%		30.00	%		22.37	%		28.44	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	143,564		$	666,991		$	740,872		$	638,634		$	567,048
Net expenses to average daily net assets		0.80	%(b)		0.81	%(b)		0.81	%		0.80	%		0.81	%
Net investment income to average daily net assets		2.74	%		1.70	%		1.54	%		1.55	%		1.69	%
Portfolio turnover rate		42	%		42	%		37	%		40	%		25	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.11	%		0.09	%		0.09	%		0.09	%		0.09	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(c)		—			—			—			—

(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, except for reimbursements related to securities lending transactions (Note 2).

(c)  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.

18

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 Developed ex-U.S. Small Cap Index (formerly S&P/Citigroup EMI 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 25% of companies in a particular country as measured by total float-adjusted market capitalization. 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 cash equivalents 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.

As of February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally valued at their net asset value. Securities for which

19

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

quotations are not readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 88.58% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund's securities in Thailand were subject to a fair value premium adjustment upon exceeding foreign ownership limitations. The Fund also considered certain bankrupt securities to be worthless. The Fund valued Fairfax Media Ltd at the subscription price of an entitlement offer. The Fund valued Samsung Digital Imaging Co Ltd at the exchange value of a corporate action adjusted by the movement in a representative index until the security began trading.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

20

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	29,885,714	$	—
Level 2 - Other Significant Observable Inputs		291,304,977		—
Level 3 - Significant Unobservable Inputs		1,253,327		—
Total	$	322,444,018	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	2,052,106		$	—
Realized gain (loss)		169,674			—
Change in unrealized appreciation/depreciation		(1,270,503	)		—
Net purchases (sales)		302,050			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	1,253,327		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

21

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York stock Exchange ("NYSE"), closing prices for foreign futures 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. The Fund had no futures contracts outstanding at the end of the period.

22

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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

23

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

borrower. If a loan is collateralized by cash, the Fund typically invests the cash collateral for its own account. The Fund had no securities on loan at February 28, 2009.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 28, 2009, the Fund incurred $139 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

24

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, losses on wash sale transactions, adjustments related to securities on loan, post-October capital and currency losses, foreign currency 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income			Distributions In Excess of Net Realized Gain		Paid-in Capital
$	(1,460,429	)	$	7,879,159	$	(6,418,730	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	12,899,937	$	68,579,611
Net long-term capital gain		51,432,757		154,252,013
		64,332,694		222,831,624
Tax return-of-capital		427,216		—
Total distribution	$	64,759,910	$	222,831,624

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

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital and currency losses of $81,517,073 and $1,563,263, respectively.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	505,680,465	$	28,586,152	$	(211,822,599	)	$	(183,236,447	)

For the period ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $5,674,239.

25

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective January 15, 2009, the Fund instituted a premium on cash purchases and fee on cash redemptions of 0.50% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases and fee on cash redemptions were each 0.50% of the amount invested or redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or

26

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund 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 Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.70% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, fees and expenses of the independent Trustees of the Trust,

27

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $8,129 and $5,090, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $285,617,243 and $479,598,300, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 67.53% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers, and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

28

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		8,133,081		$	54,843,370			8,563,923		$	166,900,000
Shares issued to shareholders in reinvestment of distributions		2,299,029			23,448,063			4,631,692			78,154,241
Shares repurchased		(4,688,611	)		(60,114,858	)		(10,469,794	)		(198,467,818	)
Purchase Premiums		—			—			—			—
Redemption fees		—			14			—			—
Net increase (decrease)		5,743,499		$	18,176,589			2,725,821		$	46,586,423
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			6,619,129		$	126,292,990
Shares issued to shareholders in reinvestment of distributions		3,578,937			39,283,862			8,449,525			140,398,460
Shares repurchased		(26,775,273	)		(239,231,583	)		(9,792,130	)		(187,000,000	)
Purchase Premiums		—			—			—			—
Redemption fees		—			27			—			—
Net increase (decrease)		(23,196,336	)	$	(199,947,694	)		5,276,524		$	79,691,450

8.  Subsequent Event

Subsequent to February 28, 2009, the Fund received redemption requests in the amount of $144,588,492.

29

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

30

GMO Foreign Small Companies Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	542.70	$	3.29
2) Hypothetical		0.86	%	$	1,000.00	$	1,020.53	$	4.31
Class IV
1) Actual		0.80	%	$	1,000.00	$	543.10	$	3.06
2) Hypothetical		0.80	%	$	1,000.00	$	1,020.83	$	4.01

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

31

GMO Foreign Small Companies Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $51,432,757 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $2,329,701 and recognized foreign source income of $25,269,774.

For taxable, non-corporate shareholders, 99.42% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $1,076,771 or if determined to be different, the qualified interest income of such year.

32

GMO Foreign 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. 0.53% of the distributions to shareholders declared from net investment income and 3.14% of the distributions to shareholders 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.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

37

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -48.0% for the fiscal year ended February 28, 2009, as compared to -50.2% for the MSCI EAFE Index and -51.4% for the MSCI EAFE Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in international equity securities throughout the period.

Relative to the EAFE Value Index, country allocation had a slight negative impact. This was the result of positions in several countries. The Fund's underweight in Spain combined with holding small cash balances in falling markets added value, but these gains were offset by the Fund's overweight in Switzerland and underweight in the United Kingdom.

Sector weightings had a strong positive impact on performance relative to the index. During the period, the Fund's underweight to Financials and overweight to Health Care contributed significantly.

Currency allocation also had a strong positive impact on relative performance as the Fund's underweights in the British pound and Australian dollar and overweights in the Japanese yen and Swiss franc added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI EAFE Index returned almost 9% more in local currency terms than in U.S. dollars.

Stock selection had mixed results, with the Fund's financial holdings especially weak. Holdings in Australian mining company Rio Tinto, Finnish cell phone maker Nokia, and British financial Royal Bank of Scotland were among the most significant detractors. On the positive side were holdings in British pharmaceutical GlaxoSmithKline, Swiss pharmaceutical Novartis, and Swiss food processor Nestlé, all of which outperformed strongly.

Among GMO's international quantitative stock selection disciplines, stocks ranked highly by intrinsic value (with its boost of high quality) outperformed strongly. Those selected by quality-adjusted value outperformed slightly, while those with strong momentum underperformed somewhat.

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.

*  Effective January 1, 2009, the benchmark for the International Intrinsic Value Fund was changed from the S&P EPAC Large Mid Cap Value Index to the MSCI EAFE Value Index. This change was applicable retroactively as well as going forward.

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.0	%
Short-Term Investments		2.5
Preferred Stocks		0.0
Rights and Warrants		0.0
Forward Currency Contracts		(0.3	)
Futures		(1.1	)
Other		3.9
		100.0	%
Country Summary	% of Equity Investments
Japan		30.9	%
United Kingdom		20.0
France		12.1
Switzerland		8.9
Germany		4.9
Italy		4.3
Canada		3.3
Hong Kong		2.9
Australia		2.2
Netherlands		1.9
Singapore		1.8
Spain		1.6
Sweden		1.3
Finland		1.1
Belgium		1.0
Greece		0.5
Ireland		0.4
Denmark		0.3
Norway		0.3
New Zealand		0.2
Austria		0.1
		100.0	%

1

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Health Care		17.2	%
Financials		13.5
Energy		13.3
Consumer Discretionary		13.1
Consumer Staples		10.2
Utilities		8.0
Telecommunication Services		7.8
Industrials		6.5
Materials		6.2
Information Technology		4.2
		100.0	%

2

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 95.0%
		Australia — 2.1%
	160,334	AGL Energy Ltd		1,345,781
	1,195,413	Australia and New Zealand Banking Group Ltd		10,012,812
	308,374	BHP Billiton Ltd		5,552,765
	1,690,912	BlueScope Steel Ltd		2,369,243
	966,580	Foster's Group Ltd		3,383,986
	4,615,170	Macquarie Infrastructure Group		2,983,338
	4,232,474	Mirvac Group Ltd		2,245,276
	541,819	National Australia Bank Ltd		6,086,025
	437,053	QBE Insurance Group Ltd		5,249,268
	536,830	Santos Ltd		5,277,765
	5,002,914	Stockland		8,569,145
	1,105,753	TABCORP Holdings Ltd		4,480,726
	2,888,525	Telstra Corp Ltd		6,509,804
	508,934	Woodside Petroleum Ltd		11,583,016
	267,976	Woolworths Ltd		4,452,872
		Total Australia		80,101,822
		Austria — 0.1%
	117,360	OMV AG		3,057,300
		Belgium — 0.9%
	22,776	Bekaert NV		1,105,882
	231,143	Belgacom SA		7,523,497
	41,628	Colruyt SA		9,437,266
	53,442	Delhaize Group		3,085,602
	1,709,510	Dexia		3,561,194
	2,132,999	Fortis		3,514,531
	61,297	Mobistar SA		3,773,795
	63,094	Solvay SA		3,570,654
		Total Belgium		35,572,421

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 28, 2009

Shares		Description	Value ($)
		Canada — 3.1%
	861,800	Bank of Montreal		19,163,907
	298,000	Bank of Nova Scotia		6,725,028
	153,211	BCE Inc		2,990,276
	173,700	Canadian Imperial Bank of Commerce		5,891,491
	335,300	Canadian National Railway Co		10,769,029
	158,500	Canadian Natural Resources		5,095,622
	258,300	Canadian Pacific Railway Ltd		7,309,228
	31,200	EnCana Corp		1,231,127
	491,100	Hudbay Minerals Inc *		2,161,736
	175,300	IGM Financial Inc		3,852,687
	210,200	Magna International Inc Class A		5,392,963
	591,800	National Bank of Canada		17,620,959
	303,400	Penn West Energy Trust		2,673,411
	516,300	Petro-Canada		11,395,774
	239,100	Royal Bank of Canada		5,811,171
	180,700	Shaw Communications Inc Class B		2,670,303
	527,000	Sun Life Financial Inc		8,247,579
		Total Canada		119,002,291
		Denmark — 0.3%
	332,800	Danske Bank A/S		2,089,752
	1,406	NeuroSearch A/S *		19,156
	159,129	Novo-Nordisk A/S Class B		7,748,537
		Total Denmark		9,857,445
		Finland — 1.0%
	329,570	Neste Oil Oyj		4,105,299
	1,133,693	Nokia Oyj		10,623,067
	199,709	Nokian Renkaat Oyj		2,352,382
	232,597	Outokumpu Oyj		2,353,042
	162,387	Rautaruukki Oyj		2,694,602
	1,006,161	Sampo Oyj Class A		13,233,176
	38,955	Stockmann Oyj AB Class A		588,449
	208,277	Tietoenator Oyj		2,597,155
		Total Finland		38,547,172

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 28, 2009

Shares		Description	Value ($)
		France — 11.5%
	119,327	Air Liquide SA		8,707,584
	728,147	ArcelorMittal		13,956,198
	940,486	BNP Paribas		30,457,809
	15,189	Bongrain SA		766,166
	94,860	Cap Gemini SA		2,718,558
	118,326	Casino Guichard-Perrachon SA		7,310,330
	215,486	Cie de Saint-Gobain		4,915,698
	18,011	CNP Assurances		1,158,478
	147,667	Dassault Systemes SA		5,117,488
	165,104	Essilor International SA		5,698,083
	1,132,481	France Telecom SA		25,308,425
	3,655	Fromageries Bel		425,428
	669,048	GDF Suez		21,128,388
	118,539	Hermes International		10,009,855
	117,040	L'Oreal SA		7,528,865
	334,203	Peugeot SA		5,686,923
	423,668	Renault SA		6,083,575
	2,262,820	Sanofi-Aventis		116,302,432
	159,951	SES		2,929,674
	663,541	Societe Generale		20,568,198
	70,321	Sodexo		3,217,751
	339,107	STMicroelectronics NV		1,490,215
	2,684,418	Total SA		126,118,111
	35,589	Unibail-Rodamco		4,467,819
	43,616	Vallourec SA		3,394,831
		Total France		435,466,882
		Germany — 4.7%
	271,462	Adidas AG		7,804,060
	68,437	Allianz SE (Registered)		4,594,004
	231,841	BASF AG		6,431,185
	561,563	Bayerische Motoren Werke AG		13,890,585
	134,445	Demag Cranes AG		2,617,709
	544,958	Deutsche Post AG (Registered)		5,213,240

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 28, 2009

Shares		Description	Value ($)
		Germany — continued
	1,961,271	Deutsche Telekom AG (Registered)		23,717,285
	522,666	E.ON AG		13,440,311
	124,746	Fresenius Medical Care AG & Co		5,072,114
	207,595	Gildemeister AG		1,206,174
	271,763	Hannover Rueckversicherungs AG (Registered)		9,688,459
	571,290	Heidelberger Druckmaschinen AG		2,360,557
	184,379	Kloeckner & Co AG		2,059,797
	48,745	MTU Aero Engines Holding AG		1,250,588
	63,919	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		7,788,995
	276,868	Norddeutsche Affinerie AG		6,882,993
	24,434	Puma AG Rudolf Dassler Sport		3,652,098
	137,829	RWE AG		8,766,428
	171,703	Salzgitter AG		10,604,741
	885,810	SAP AG		28,456,344
	83,874	SGL Carbon SE *		1,851,089
	332,977	ThyssenKrupp AG		5,879,533
	37,297	Vossloh AG		3,467,580
		Total Germany		176,695,869
		Greece — 0.5%
	284,470	Alpha Bank A.E.		1,500,069
	396,315	National Bank of Greece SA		4,844,715
	487,456	OPAP SA		12,531,985
		Total Greece		18,876,769
		Hong Kong — 2.8%
	3,030,500	BOC Hong Kong Holdings Ltd		3,013,990
	5,548,598	CLP Holdings Ltd		41,018,236
	1,072,400	Esprit Holdings Ltd		5,775,327
	171,000	Guoco Group		986,264
	469,800	Hang Seng Bank Ltd		5,196,941
	5,632,300	Hong Kong & China Gas		8,493,787
	186,700	Hong Kong Aircraft Engineering Co Ltd		1,668,464
	4,434,469	Hong Kong Electric Holdings Ltd		27,340,779

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 28, 2009

Shares		Description	Value ($)
		Hong Kong — continued
	564,700	Hong Kong Ferry Co Ltd		303,443
	506,000	Hutchison Whampoa Ltd		2,640,393
	879,000	MTR Corp Ltd		1,950,762
	322,000	Sun Hung Kai Properties Ltd		2,497,493
	2,664,400	Yue Yuen Industrial Holdings		4,942,157
		Total Hong Kong		105,828,036
		Ireland — 0.4%
	786,796	CRH Plc		16,158,663
		Italy — 4.0%
	1,152,750	A2A SPA		1,656,496
	412,084	Banco Popolare Scarl		1,571,386
	2,017,949	Enel SPA		10,029,638
	4,635,220	ENI SPA		92,517,057
	136,019	Fondiaria - Sai SPA-Di RISP		1,017,005
	1,146,249	Intesa San Paolo		2,789,916
	220,092	Italcementi SPA-Di RISP		1,152,220
	197,819	Luxottica Group SPA		2,575,663
	1,335,964	Mediaset SPA		5,928,686
	97,300	Natuzzi SPA ADR *		144,004
	1,539,591	Snam Rete Gas SPA		7,628,675
	7,057,377	Telecom Italia SPA		8,578,374
	9,035,087	Telecom Italia SPA-Di RISP		8,592,964
	1,588,316	Terna SPA		4,933,290
	3,124,667	UniCredit SPA		3,957,731
		Total Italy		153,073,105
		Japan — 29.3%
	47,380	Acom Co Ltd		1,159,136
	1,083,450	Aiful Corp		1,118,339
	169,000	Air Water Inc		1,429,495
	156,900	Aisin Seiki Co Ltd		2,433,648
	1,174,600	Alps Electric Co Ltd		3,246,420

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	778,600	Asahi Breweries Ltd		9,749,192
	1,957,000	Asahi Kasei Corp		6,218,028
	96,100	Astellas Pharma Inc		3,188,931
	787,000	Bank of Yokohama Ltd (The)		3,333,019
	104,300	Benesse Corp		4,150,919
	299,200	Bridgestone Corp		4,075,030
	552,700	Canon Inc		13,948,530
	161,400	Capcom		3,063,949
	341,200	Chubu Electric Power Co Inc		8,412,250
	123,100	Chugoku Electric Power Co Inc		2,949,254
	112,200	Circle K Sunkus Co Ltd		1,724,513
	290,000	COMSYS Holdings Corp		2,076,195
	2,015,000	Cosmo Oil Co Ltd		5,585,088
	517,200	Culture Convenience Club Co Ltd		3,568,614
	475,000	Dai Nippon Printing Co Ltd		4,014,030
	797,650	Daiei Inc *		2,481,634
	458,000	Daihatsu Motor Co Ltd		3,472,463
	124,600	Daito Trust Construction Co Ltd		3,923,822
	779,000	Daiwa Securities Group Inc		2,675,949
	332,000	Daiwabo Co Ltd		743,705
	320,500	Denso Corp		6,085,149
	185,600	Don Quijote Co Ltd		2,189,748
	490,000	Dowa Holdings Co Ltd		1,510,412
	181,300	Electric Power Development Co Ltd		5,792,789
	200,700	FamilyMart Co Ltd		6,770,481
	248,700	Fast Retailing Co Ltd		24,981,925
	3,223,000	Fuji Heavy Industries Ltd		10,269,605
	180,000	Fuji Oil Co Ltd		2,262,862
	1,715,000	Fujikura Ltd		3,723,071
	1,115,000	Furukawa Electric Co Ltd (The)		2,890,755
	1,089,000	GS Yuasa Corp		4,473,065
	229,000	Hankyu Hanshin Holdings Inc		1,054,905
	1,609,000	Hanwa Co Ltd		4,334,530
	10,403,000	Haseko Corp		3,552,391

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	136,800	Hikari Tsushin Inc		2,204,241
	75,500	Hirose Electric Co Ltd		6,482,570
	1,629,000	Hitachi Ltd		4,056,398
	405,300	Hokkaido Electric Power Co Inc		8,583,880
	108,400	Hokuriku Electric Power Co		2,874,581
	3,172,300	Honda Motor Co Ltd		75,858,562
	249,400	Hosiden Corp		2,614,806
	66,800	Hoya Corp		1,210,581
	775	INPEX Corp		5,243,086
	592,000	Iseki & Co Ltd *		1,344,663
	960,000	Itochu Corp		4,304,567
	630,800	JFE Holdings Inc		13,649,195
	340,000	JGC Corp		3,875,001
	1,489,000	Kajima Corp		3,112,594
	269,100	Kansai Electric Power Co Inc		6,470,157
	1,415,000	Kao Corp		26,890,917
	2,853,000	Kawasaki Kisen Kaisha Ltd		8,969,169
	6,670	Kenedix Inc *		461,116
	47,500	Keyence Corp		8,965,104
	67,000	Kirin Holdings Co Ltd		646,693
	9,264	KK daVinci Holdings *		232,228
	280,000	Konami Corp		3,952,367
	231,000	Kyowa Exeo Corp		1,888,780
	460,600	Kyushu Electric Power Co Inc		10,908,274
	178,200	Lawson Inc		7,716,384
	596,600	Leopalace21 Corp		3,314,244
	1,359,000	Marubeni Corp		4,219,058
	725,800	Matsui Securities Co Ltd		4,149,311
	4,820,000	Mazda Motor Corp		6,089,587
	1,538,500	Mitsubishi Chemical Holdings Corp		5,225,721
	532,300	Mitsubishi Corp		6,622,600
	389,000	Mitsubishi Gas Chemical Co Inc		1,522,905
	1,647,000	Mitsubishi Heavy Industries Ltd		4,611,502
	721,000	Mitsubishi Rayon Co Ltd		1,307,731

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	2,417,800	Mitsubishi UFJ Financial Group Inc		10,922,711
	173,910	Mitsubishi UFJ Lease & Finance Co Ltd		3,026,460
	3,296,000	Mitsui Mining & Smelting Co Ltd		4,643,475
	1,574,000	Mitsui OSK Lines Ltd		7,978,108
	9,782,900	Mizuho Financial Group Inc		18,438,714
	208,000	Murata Manufacturing Co Ltd		7,897,158
	707,000	NEC Corp		1,650,724
	1,447	Net One Systems Co Ltd		2,032,739
	871,000	Nichirei Corp		2,875,864
	18,000	Nintendo Co Ltd		5,138,991
	389,000	Nippon Carbon Co Ltd		650,505
	362,000	Nippon Denko Co Ltd		991,968
	357,000	Nippon Meat Packers Inc		3,455,820
	3,526,500	Nippon Mining Holdings Inc		12,248,032
	5,246,000	Nippon Oil Corp		25,001,540
	135,900	Nippon Paper Group Inc		3,012,527
	1,095,400	Nippon Telegraph & Telephone Corp		46,838,711
	1,325,000	Nippon Yakin Koguo Co Ltd		2,551,091
	2,923,000	Nippon Yusen KK		12,057,846
	8,897,700	Nissan Motor Co		27,162,405
	114,300	Nissha Printing Co Ltd		2,836,100
	314,500	Nisshin Seifun Group Inc		3,174,738
	905,000	Nisshinbo Industries Inc		6,458,641
	141,300	Nitto Denko Corp		2,546,976
	243,300	Nomura Research Institute		3,831,506
	26,865	NTT Docomo Inc		41,850,842
	1,091,000	Obayashi Corp		4,587,007
	416,000	Odakyu Electric Railway Co Ltd		3,072,603
	948,000	OJI Paper Co Ltd		3,506,311
	74,100	Ono Pharmaceutical Co Ltd		3,430,206
	52,100	Oriental Land Co Ltd		3,418,245
	276,600	ORIX Corp		5,618,882
	6,961,000	Osaka Gas Co Ltd		24,889,061
	1,359,000	Pacific Metals Co Ltd		5,205,553

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	131,600	Panasonic Corp		1,523,693
	101,270	Point Inc		4,142,247
	253,750	Promise Co Ltd		3,389,303
	740,000	Rengo Co Ltd		4,046,474
	723,900	Resona Holdings Inc		12,412,002
	901,000	Ricoh Company Ltd		10,177,438
	69,200	Rohm Co Ltd		3,305,168
	173,000	Ryohin Keikaku Co Ltd		6,087,345
	132,000	Saizeriya Co Ltd		1,300,182
	323,700	Sankyo Co Ltd		14,527,470
	2,099,000	Sanyo Electric Co Ltd *		2,946,295
	25,019	SBI Holdings Inc		1,992,549
	1,289,800	Sega Sammy Holdings Inc		10,976,228
	168,600	Seiko Epson Corp		1,928,874
	2,637,300	Seven & I Holdings Co Ltd		58,447,413
	86,300	Shimamura Co Ltd		4,454,246
	155,100	Shimano Inc		5,051,433
	388,600	Shin-Etsu Chemical Co Ltd		17,301,100
	1,419,000	Shinsei Bank Ltd		1,249,701
	1,054,000	Showa Shell Sekiyu KK		8,757,560
	5,790,200	Sojitz Corp		6,506,970
	457,100	SUMCO Corp		5,663,606
	940,700	Sumitomo Corp		7,854,299
	1,169,800	Sumitomo Electric Industries Ltd		9,090,043
	4,244,000	Sumitomo Metal Industries Ltd		7,950,202
	785,000	Sumitomo Metal Mining Co Ltd		7,835,740
	1,476,000	Sumitomo Trust & Banking Co Ltd		4,874,888
	61,200	T&D Holdings Inc		1,369,719
	2,192,000	Taisei Corp		3,880,809
	452,900	Takeda Pharmaceutical Co Ltd		18,292,552
	913,510	Takefuji Corp		3,015,995
	114,500	Terumo Corp		3,508,984
	182,600	Tohoku Electric Power Co Inc		4,275,219
	904,500	Tokyo Electric Power Co Inc (The)		25,534,073

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	2,682,000	Tokyo Gas Co Ltd		10,743,944
	919,800	Tokyo Steel Manufacturing Co		9,043,006
	540,000	Tokyo Tatemono Co Ltd		1,193,596
	790,000	TonenGeneral Sekiyu KK		7,464,715
	638,000	Toppan Printing Co Ltd		3,800,135
	2,730,000	Tosoh Corp		4,131,837
	867,000	Toyo Engineering Corp		2,348,746
	178,000	Toyo Suisan Kaisha Ltd		4,212,653
	122,900	Toyota Boshoku Corp		1,176,373
	200	Toyota Industries Corp		4,262
	394,600	Toyota Motor Corp		12,638,898
	388,600	Toyota Tsusho Kaisha		3,138,426
	1,263,000	Ube Industries Ltd		1,994,123
	62,500	Unicharm Corp		4,083,150
	1,141,000	UNY Co Ltd		8,344,847
	76,120	USS Co Ltd		3,070,799
	21,030	Yahoo Japan Corp		6,015,667
	89,000	Yamato Kogyo Co		1,805,505
	223,000	Yamazaki Baking Co Ltd		2,809,689
		Total Japan		1,112,904,665
		Netherlands — 1.8%
	3,785,031	Aegon NV		13,471,233
	112,184	European Aeronautic Defense and Space Co NV		1,628,775
	11,644	Gamma Holdings NV		50,587
	442,871	Heineken NV		11,824,973
	3,826,638	ING Groep NV		17,297,511
	582,644	Koninklijke Ahold NV		6,465,081
	256,990	Koninklijke DSM NV		5,873,115
	314,313	Reed Elsevier NV		3,492,273
	339,421	Unilever NV		6,503,741
		Total Netherlands		66,607,289

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 28, 2009

Shares		Description	Value ($)
		New Zealand — 0.1%
	4,824,192	Telecom Corp of New Zealand		5,847,196
		Norway — 0.3%
	756,300	DnB NOR ASA		2,720,558
	429,050	StatoilHydro ASA		7,123,376
		Total Norway		9,843,934
		Singapore — 1.7%
	2,384,000	Neptune Orient Lines Ltd		1,827,412
	2,627,200	Noble Group Ltd		1,794,525
	2,870,000	Oversea-Chinese Banking Corp Ltd		8,199,364
	3,258,100	Sembcorp Industries Ltd		4,370,096
	4,795,000	SembCorp Marine Ltd		4,254,236
	1,251,000	Singapore Exchange Ltd		3,606,339
	1,578,000	Singapore Petroleum Co		2,703,322
	5,458,000	Singapore Press Holdings Ltd		9,543,874
	2,399,000	Singapore Technologies Engineering Ltd		3,543,747
	11,974,000	Singapore Telecommunications		18,845,076
	1,133,000	United Overseas Bank Ltd		7,219,650
		Total Singapore		65,907,641
		Spain — 1.6%
	470,250	Banco Bilbao Vizcaya Argentaria SA *		3,397,095
	634,251	Banco Popular Espanol SA *		3,001,439
	988,220	Banco Santander SA		6,036,944
	118,893	Gas Natural SDG SA		2,131,334
	599,186	Iberdrola SA		3,896,537
	204,544	Inditex SA		7,672,951
	1,243,711	Repsol YPF SA		18,996,258
	627,162	Telefonica SA		11,542,323
	104,458	Union Fenosa SA		2,354,188
		Total Spain		59,029,069

See accompanying notes to the financial statements.

13

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Sweden — 1.3%
	517,366	Hennes & Mauritz AB Class B		19,191,269
	913,607	Investor AB Class B		10,312,392
	1,162,532	Nordea Bank AB		5,796,242
	418,200	SKF AB Class B		3,486,049
	655,877	Svenska Handelsbanken AB Class A		7,849,916
	670,100	Swedbank AB		1,732,809
		Total Sweden		48,368,677
		Switzerland — 8.5%
	286,555	Ciba Holding AG *		12,076,045
	286,383	Clariant AG (Registered) *		1,067,636
	255,426	Compagnie Financiere Richemont SA Class A		3,373,366
	2,847,350	Nestle SA (Registered)		93,081,097
	3,943,783	Novartis AG (Registered)		143,882,257
	253,409	Roche Holding AG (Non Voting)		28,766,367
	38,127	Swatch Group AG		4,241,071
	22,893	Syngenta AG (Registered)		4,894,010
	148,631	Synthes Inc		17,247,930
	1,339,874	UBS AG (Registered) *		12,546,494
		Total Switzerland		321,176,273
		United Kingdom — 19.0%
	1,932,712	3i Group Plc		5,499,985
	2,588,275	AstraZeneca Plc		82,078,862
	718,499	BAE Systems Plc		3,793,283
	8,372,626	Barclays Plc		10,984,201
	1,095,110	Barratt Developments Plc		1,325,541
	1,998,694	BG Group Plc		28,570,097
	3,001,764	BP Plc		19,123,527
	862,287	British American Tobacco Plc		22,040,365
	4,602,910	BT Group Plc		5,880,493
	1,246,405	Burberry Group Plc		4,547,781
	1,378,307	Cable & Wireless Plc		2,697,343
	876,734	Cadbury Plc		6,675,045

See accompanying notes to the financial statements.

14

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	682,752	Capita Group Plc		6,442,715
	1,132,089	Centrica Plc		4,353,683
	2,527,322	Cobham Plc		6,937,010
	1,694,513	Compass Group Plc		7,444,736
	1,318,395	Diageo Plc		15,202,745
	1,008,106	Drax Group Plc		7,447,513
	16,531,489	DSG International Plc		4,754,596
	401,044	FirstGroup Plc		1,531,848
	1,457,164	Game Group Plc		3,029,400
	11,791,007	GlaxoSmithKline Plc		178,831,844
	3,502,880	Home Retail Group Plc		10,559,001
	2,205,355	HSBC Holdings Plc		15,338,558
	186,890	Imperial Tobacco Group Plc		4,474,508
	285,771	Jardine Lloyd Thompson Group Plc		1,854,699
	1,916,757	Kesa Electricals Plc		2,883,152
	3,358,416	Kingfisher Plc		6,018,540
	299,160	Lancashire Holdings Ltd *		2,048,494
	16,124,188	Lloyds Banking Group Plc		13,236,014
	321,740	London Stock Exchange		1,974,927
	504,514	Next Plc		8,366,325
	4,302,051	Old Mutual Plc		2,528,194
	248,399	Reckitt Benckiser Group Plc		9,505,118
	798,727	Reed Elsevier Plc		5,966,905
	164,991	Rio Tinto Plc		4,211,749
	27,582,510	Royal Bank of Scotland Group Plc		8,983,320
	2,351,023	Royal Dutch Shell Plc A Shares (London)		51,615,068
	1,179,016	Royal Dutch Shell Plc B Shares (London)		24,748,530
	2,013,967	RSA Insurance Group Plc		3,937,580
	1,438,161	Sage Group Plc		3,484,640
	505,735	Scottish & Southern Energy Plc		8,241,191
	444,774	Signet Jewelers Ltd		3,388,149
	932,781	Smith & Nephew Plc		6,610,078
	2,881,273	Taylor Woodrow Plc		756,081
	1,418,284	Tesco Plc		6,726,157

See accompanying notes to the financial statements.

15

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	576,738	Travis Perkins Plc		2,672,408
	229,376	Unilever Plc		4,431,022
	590,487	United Utilities Group Plc		4,266,437
	34,405,461	Vodafone Group Plc		60,962,738
	1,956,735	William Hill Plc		6,573,721
	1,668,222	Wolseley Plc		4,213,071
		Total United Kingdom		719,768,988
		TOTAL COMMON STOCKS (COST $6,487,775,057)		3,601,691,507
		PREFERRED STOCKS — 0.0%
		Germany — 0.0%
	9,049	Villeroy & Boch AG (Non Voting) 12.57%		41,785
		TOTAL PREFERRED STOCKS (COST $95,178)		41,785
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	262,246	Cie de Saint-Gobain Warrants, Expires 03/06/09 *		385,656
		TOTAL RIGHTS AND WARRANTS (COST $1,083,603)		385,656

See accompanying notes to the financial statements.

16

GMO International Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.5%
	25,000,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		25,000,000
	46,775	Brown Brothers Harriman Time Deposit, 0.02% - 2.45%, due 03/02/09		46,775
	6,107,066	Citibank Time Deposit, 0.05% - 2.29%, due 03/02/09		6,107,066
	356,473	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/02/09		356,473
	25,000,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		25,000,000
	38,014	JPMorgan Chase Time Deposit, 0.01%, due 03/02/09		38,014
	25,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		25,000,000
	11,328,600	Societe Generale Time Deposit, 0.25% - 0.33%, due 03/02/09		11,328,600
		TOTAL SHORT-TERM INVESTMENTS (COST $92,876,928)		92,876,928
		TOTAL INVESTMENTS — 97.5% (Cost $6,581,830,766)		3,694,995,876
		Other Assets and Liabilities (net) — 2.5%		96,019,503
		TOTAL NET ASSETS — 100.0%	$	3,791,015,379

See accompanying notes to the financial statements.

17

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	AUD		13,186,000	$	8,400,809	$	(119,325	)
4/24/09	CAD		8,102,000		6,368,934		(136,554	)
4/24/09	CAD		12,368,000		9,722,411		(129,978	)
4/24/09	CHF		32,284,954		27,628,580		78,518
4/24/09	CHF		32,284,954		27,628,580		74,897
4/24/09	CHF		32,284,954		27,628,580		111,509
4/24/09	CHF		32,284,954		27,628,580		46,036
4/24/09	CHF		32,284,954		27,628,580		42,148
4/24/09	EUR		61,451,067		77,884,475		690,874
4/24/09	EUR		61,451,067		77,884,475		481,940
4/24/09	EUR		122,902,135		155,768,952		965,110
4/24/09	GBP		34,204,729		48,962,428		(594,239	)
4/24/09	JPY		4,233,677,586		43,427,646		(3,848,018	)
4/24/09	JPY		3,311,304,013		33,966,247		(2,060,060	)
4/24/09	JPY		3,311,304,013		33,966,247		(2,088,892	)
4/24/09	SEK		251,526,296		27,924,468		(2,476,970	)
4/24/09	SEK		195,511,737		21,705,728		(451,339	)
4/24/09	SEK		195,511,737		21,705,728		(721,001	)
4/24/09	SEK		195,511,737		21,705,728		(695,049	)
4/24/09	SEK		195,511,737		21,705,728		(722,674	)
4/24/09	SEK		195,511,737		21,705,728		(631,706	)
4/24/09	SEK		195,511,737		21,705,728		(675,765	)
4/24/09	SEK		195,511,737		21,705,728		(665,641	)
				$	814,360,088	$	(13,526,179	)
Sales
4/24/09	AUD		45,779,936	$	29,166,428	$	(121,073	)
4/24/09	AUD		44,433,467		28,308,591		(84,453	)
4/24/09	AUD		44,433,467		28,308,591		(87,119	)
4/24/09	CAD		38,766,287		30,473,946		190,370
4/24/09	CAD		38,766,287		30,473,946		170,008
4/24/09	CAD		38,766,287		30,473,946		175,702

See accompanying notes to the financial statements.

18

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
4/24/09	CAD		38,766,287	$	30,473,946	$	243,703
4/24/09	EUR		9,015,000		11,425,815		141,421
4/24/09	EUR		112,594,537		142,704,868		1,730,278
4/24/09	GBP		31,467,765		45,044,595		(178,580	)
4/24/09	GBP		31,467,765		45,044,595		(315,685	)
4/24/09	GBP		31,467,765		45,044,595		(172,978	)
4/24/09	GBP		31,467,765		45,044,595		(289,252	)
4/24/09	GBP		31,467,765		45,044,595		(166,055	)
4/24/09	GBP		31,467,765		45,044,595		(293,657	)
4/24/09	GBP		31,467,765		45,044,595		(182,387	)
				$	677,122,242	$	760,243

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	704	DAX	March 2009	$	84,829,046	$	(18,375,462	)
	1,414	CAC 40	March 2009		47,772,924		(3,711,028	)
	933	S&P/MIB	March 2009		89,465,628		(29,147,676	)
	729	TOPIX Index	March 2009		55,946,092		(4,954,266	)
				$	278,013,690	$	(56,188,432	)
Sales
	785	FTSE 100	March 2009	$	42,384,408	$	4,302,687
	78	Hang Seng	March 2009		6,303,387		89,762
	695	SPI 200	March 2009		36,305,145		3,245,021
	823	S&P Toronto 60	March 2009		63,242,006		4,370,186
	521	IBEX 35	March 2009		49,641,680		2,049,162
				$	197,876,626	$	14,056,818

As of February 28, 2009, 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.

19

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

ADR - American Depositary Receipt

*  Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

See accompanying notes to the financial statements.

20

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $6,581,830,766) (Note 2)	$	3,694,995,876
Foreign currency, at value (cost $1,482) (Note 2)		1,478
Receivable for investments sold		1,738,432
Receivable for Fund shares sold		30,607,569
Dividends and interest receivable		12,672,967
Foreign taxes receivable		1,736,278
Unrealized appreciation on open forward currency contracts (Note 2)		5,142,514
Receivable for collateral on open futures contracts (Note 2)		70,689,727
Receivable for expenses reimbursed by Manager (Note 3)		19,712
Total assets		3,817,604,553
Liabilities:
Payable for investments purchased		1,156,260
Payable for Fund shares repurchased		1,114,509
Payable to affiliate for (Note 3):
Management fee		1,577,344
Shareholder service fee		382,174
Administration fee – Class M		1,501
Trustees and Chief Compliance Officer of GMO Trust fees		15,306
Payable for 12b-1 fee – Class M		4,174
Payable for variation margin on open futures contracts (Note 2)		3,199,913
Unrealized depreciation on open forward currency contracts (Note 2)		17,908,450
Miscellaneous payable		320,432
Accrued expenses		909,111
Total liabilities		26,589,174
Net assets	$	3,791,015,379

See accompanying notes to the financial statements.

21

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	7,135,029,435
Accumulated undistributed net investment income		75,187,376
Accumulated net realized loss		(477,227,959	)
Net unrealized depreciation		(2,941,973,473	)
	$	3,791,015,379
Net assets attributable to:
Class II shares	$	394,069,819
Class III shares	$	1,487,839,389
Class IV shares	$	1,900,168,374
Class M shares	$	8,937,797
Shares outstanding:
Class II		28,437,198
Class III		106,242,973
Class IV		135,767,547
Class M		646,388
Net asset value per share:
Class II	$	13.86
Class III	$	14.00
Class IV	$	14.00
Class M	$	13.83

See accompanying notes to the financial statements.

22

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $23,658,193)	$	237,798,464
Securities lending income		6,303,767
Interest		3,543,007
Total investment income		247,645,238
Expenses:
Management fee (Note 3)		31,414,815
Shareholder service fee – Class II (Note 3)		904,824
Shareholder service fee – Class III (Note 3)		3,270,352
Shareholder service fee – Class IV (Note 3)		3,130,154
12b-1 fee – Class M (Note 3)		37,266
Administration fee – Class M (Note 3)		29,813
Custodian and fund accounting agent fees		2,554,946
Transfer agent fees		71,362
Audit and tax fees		109,379
Legal fees		153,653
Trustees fees and related expenses (Note 3)		85,180
Registration fees		29,823
Miscellaneous		106,958
Total expenses		41,898,525
Fees and expenses reimbursed by Manager (Note 3)		(2,981,508	)
Expense reductions (Note 2)		(17,900	)
Net expenses		38,899,117
Net investment income (loss)		208,746,121
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(345,352,225	)
Closed futures contracts		(143,483,872	)
Foreign currency, forward contracts and foreign currency related transactions		53,004,523
Net realized gain (loss)		(435,831,574	)
Change in net unrealized appreciation (depreciation) on:
Investments		(3,314,080,721	)
Open futures contracts		13,053,553
Foreign currency, forward contracts and foreign currency related transactions		(37,384,477	)
Net unrealized gain (loss)		(3,338,411,645	)
Net realized and unrealized gain (loss)		(3,774,243,219	)
Net increase (decrease) in net assets resulting from operations	$	(3,565,497,098	)

See accompanying notes to the financial statements.

23

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	208,746,121		$	218,038,494
Net realized gain (loss)		(435,831,574	)		1,274,521,119
Change in net unrealized appreciation (depreciation)		(3,338,411,645	)		(1,522,423,988	)
Net increase (decrease) in net assets from operations		(3,565,497,098	)		(29,864,375	)
Distributions to shareholders from:
Net investment income
Class II		(16,802,472	)		(12,407,304	)
Class III		(92,401,886	)		(65,215,261	)
Class IV		(145,544,379	)		(109,936,051	)
Class M		(578,220	)		(443,458	)
Total distributions from net investment income		(255,326,957	)		(188,002,074	)
Net realized gains
Class II		(26,461,564	)		(69,248,911	)
Class III		(143,314,754	)		(349,607,893	)
Class IV		(230,830,432	)		(574,842,698	)
Class M		(1,002,702	)		(2,604,560	)
Total distributions from net realized gains		(401,609,452	)		(996,304,062	)
		(656,936,409	)		(1,184,306,136	)
Net share transactions (Note 7):
Class II		166,533,198			29,246,584
Class III		398,098,987			350,165,933
Class IV		172,499,767			254,901,122
Class M		353,743			4,852,998
Increase (decrease) in net assets resulting from net share transactions		737,485,695			639,166,637
Total increase (decrease) in net assets		(3,484,947,812	)		(575,003,874	)
Net assets:
Beginning of period		7,275,963,191			7,850,967,065
End of period (including accumulated undistributed net investment income of $75,187,376 and $84,019,314, respectively)	$	3,791,015,379		$	7,275,963,191

See accompanying notes to the financial statements.

24

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	29.69		$	34.99		$	32.35		$	29.04		$	24.18
Income (loss) from investment operations:
Net investment income (loss)†		0.79			0.93			0.79			0.65			0.49
Net realized and unrealized gain (loss)		(14.01	)		(0.86	)		5.60			4.45			5.07
Total from investment operations		(13.22	)		0.07			6.39			5.10			5.56
Less distributions to shareholders:
From net investment income		(0.99	)		(0.83	)		(0.54	)		(0.36	)		(0.66	)
From net realized gains		(1.62	)		(4.54	)		(3.21	)		(1.43	)		(0.04	)
Total distributions		(2.61	)		(5.37	)		(3.75	)		(1.79	)		(0.70	)
Net asset value, end of period	$	13.86		$	29.69		$	34.99		$	32.35		$	29.04
Total Return(a)		(48.04	)%		(1.11	)%		20.46	%		18.16	%		23.17	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	394,070		$	510,006		$	564,440		$	567,313		$	231,695
Net expenses to average daily net assets		0.74	%(b)		0.76	%(b)		0.76	%		0.76	%		0.76	%
Net investment income to average daily net assets		3.41	%		2.59	%		2.32	%		2.16	%		1.88	%
Portfolio turnover rate		53	%		47	%		36	%		38	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.04	%		0.06	%		0.07	%

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

25

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	29.97		$	35.28		$	32.59		$	29.23		$	24.32
Income (loss) from investment operations:
Net investment income (loss)†		0.79			0.94			0.81			0.72			0.59
Net realized and unrealized gain (loss)		(14.13	)		(0.86	)		5.66			4.44			5.02
Total from investment operations		(13.34	)		0.08			6.47			5.16			5.61
Less distributions to shareholders:
From net investment income		(1.01	)		(0.85	)		(0.57	)		(0.37	)		(0.66	)
From net realized gains		(1.62	)		(4.54	)		(3.21	)		(1.43	)		(0.04	)
Total distributions		(2.63	)		(5.39	)		(3.78	)		(1.80	)		(0.70	)
Net asset value, end of period	$	14.00		$	29.97		$	35.28		$	32.59		$	29.23
Total Return(a)		(48.01	)%		(1.06	)%		20.54	%		18.26	%		23.28	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,487,839		$	2,615,878		$	2,703,050		$	2,795,610		$	1,804,485
Net expenses to average daily net assets		0.67	%(b)		0.69	%(b)		0.69	%		0.69	%		0.69	%
Net investment income to average daily net assets		3.38	%		2.61	%		2.36	%		2.39	%		2.30	%
Portfolio turnover rate		53	%		47	%		36	%		38	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.04	%		0.06	%		0.07	%

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

26

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	29.96		$	35.26		$	32.58		$	29.22		$	24.31
Income (loss) from investment operations:
Net investment income (loss)†		0.82			0.96			0.80			0.74			0.54
Net realized and unrealized gain (loss)		(14.14	)		(0.85	)		5.68			4.43			5.09
Total from investment operations		(13.32	)		0.11			6.48			5.17			5.63
Less distributions to shareholders:
From net investment income		(1.02	)		(0.87	)		(0.59	)		(0.38	)		(0.68	)
From net realized gains		(1.62	)		(4.54	)		(3.21	)		(1.43	)		(0.04	)
Total distributions		(2.64	)		(5.41	)		(3.80	)		(1.81	)		(0.72	)
Net asset value, end of period	$	14.00		$	29.96		$	35.26		$	32.58		$	29.22
Total Return(a)		(47.95	)%		(0.98	)%		20.61	%		18.32	%		23.37	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,900,168		$	4,131,392		$	4,566,106		$	3,150,741		$	2,193,988
Net expenses to average daily net assets		0.61	%(b)		0.63	%(b)		0.63	%		0.63	%		0.63	%
Net investment income to average daily net assets		3.47	%		2.67	%		2.32	%		2.45	%		2.06	%
Portfolio turnover rate		53	%		47	%		36	%		38	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.04	%		0.06	%		0.07	%

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

27

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	29.60		$	34.93		$	32.28		$	28.98		$	24.15
Income (loss) from investment operations:
Net investment income (loss)†		0.73			0.79			0.68			0.61			0.44
Net realized and unrealized gain (loss)		(13.95	)		(0.81	)		5.62			4.41			5.04
Total from investment operations		(13.22	)		(0.02	)		6.30			5.02			5.48
Less distributions to shareholders:
From net investment income		(0.93	)		(0.77	)		(0.44	)		(0.29	)		(0.61	)
From net realized gains		(1.62	)		(4.54	)		(3.21	)		(1.43	)		(0.04	)
Total distributions		(2.55	)		(5.31	)		(3.65	)		(1.72	)		(0.65	)
Net asset value, end of period	$	13.83		$	29.60		$	34.93		$	32.28		$	28.98
Total Return(a)		(48.14	)%		(1.36	)%		20.18	%		17.92	%		22.88	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	8,938		$	18,687		$	17,371		$	29,984		$	18,347
Net expenses to average daily net assets		0.97	%(b)		0.99	%(b)		0.99	%		0.99	%		0.99	%
Net investment income to average daily net assets		3.13	%		2.22	%		2.00	%		2.07	%		1.72	%
Portfolio turnover rate		53	%		47	%		36	%		38	%		46	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.04	%		0.06	%		0.07	%

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

28

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, 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 EAFE Value Index. The Fund typically makes equity investments in companies from developed countries, other than the U.S. Effective January 1, 2009 the Fund changed its benchmark from the S&P EPAC Large Mid Cap Value Index (formerly S&P/Citigroup PMI EPAC Value Index) to the MSCI EAFE Value Index to better reflect a more appropriate, comparative, broad-based market Index for the Fund.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 persons acting at their direction

29

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 87.66% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	371,354,891	$	4,370,186
Level 2 - Other Significant Observable Inputs		3,323,640,985		14,829,146
Level 3 - Significant Unobservable Inputs		—		—
Total	$	3,694,995,876	$	19,199,332

*  Other financial instruments include forward currency contracts and futures contracts.

30

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(74,096,882	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(74,096,882	)

**  Other financial instruments include forward currency contracts and futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

31

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

32

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

33

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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

34

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. As of February 28, 2009 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions, passive foreign investment company 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 28, 2009. The financial highlights exclude these adjustments.

35

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	37,748,898	$	(37,748,898	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	255,354,938	$	329,444,076
Net long-term capital gain		401,581,471		854,862,060
Total distributions	$	656,936,409	$	1,184,306,136

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 63,634,786

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $285,032,634.

As of February 28, 2009, 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:

2/28/2017	$	(154,259,096	)
Total	$	(154,259,096	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	6,619,446,565	$	22,161,094	$	(2,946,611,783	)	$	(2,924,450,689	)

36

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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, 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

37

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

Effective June 30, 2008, GMO receives a management fee for investment management services provided to the Fund that is paid monthly at the annual rate of 0.50% of average daily net assets. For the period from March 1, 2008 through June 29, 2008, the management fee rate was 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.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net assets of Class M shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.50% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, administration and distribution (12b-1) 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $70,979 and $44,001, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

38

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $3,433,072,305 and $3,087,544,799, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, the Fund had no shareholders who individually held more than 10% of the Fund's outstanding shares.

As of February 28, 2009, 0.43% shares of the Fund were held by senior management of the Manager and GMO Trust officers, and 57.00% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class II:	Shares			Amount			Shares			Amount
Shares sold		12,342,982		$	192,225,431			2,870,488		$	104,261,777
Shares issued to shareholders in reinvestment of distributions		1,660,673			38,959,612			2,225,434			73,788,974
Shares repurchased		(2,745,119	)		(64,651,845	)		(4,046,894	)		(148,804,167	)
Net increase (decrease)		11,258,536		$	166,533,198			1,049,028		$	29,246,584

39

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		34,874,353		$	648,206,780			11,261,644		$	401,290,984
Shares issued to shareholders in reinvestment of distributions		9,415,098			223,954,309			12,081,961			403,817,120
Shares repurchased		(25,321,014	)		(474,062,102	)		(12,684,964	)		(454,942,171	)
Net increase (decrease)		18,968,437		$	398,098,987			10,658,641		$	350,165,933
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		50,166,036		$	1,080,197,863			25,699,917		$	891,693,160
Shares issued to shareholders in reinvestment of distributions		14,525,469			347,382,151			19,888,170			664,131,421
Shares repurchased		(66,824,488	)		(1,255,080,247	)		(37,173,406	)		(1,300,923,459	)
Net increase (decrease)		(2,132,983	)	$	172,499,767			8,414,681		$	254,901,122
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class M:	Shares			Amount			Shares			Amount
Shares sold		124,606		$	2,785,247			245,514		$	9,021,667
Shares issued to shareholders in reinvestment of distributions		67,005			1,580,922			92,415			3,048,018
Shares repurchased		(176,478	)		(4,012,426	)		(204,043	)		(7,216,687	)
Net increase (decrease)		15,133		$	353,743			133,886		$	4,852,998

40

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

41

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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.

42

GMO International Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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		0.72	%	$	1,000.00	$	565.70	$	2.80
2) Hypothetical		0.72	%	$	1,000.00	$	1,021.22	$	3.61
Class III
1) Actual		0.65	%	$	1,000.00	$	565.60	$	2.52
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.57	$	3.26
Class IV
1) Actual		0.59	%	$	1,000.00	$	566.00	$	2.29
2) Hypothetical		0.59	%	$	1,000.00	$	1,021.87	$	2.96
Class M
1) Actual		0.95	%	$	1,000.00	$	564.90	$	3.69
2) Hypothetical		0.95	%	$	1,000.00	$	1,020.08	$	4.76

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

43

GMO International Intrinsic Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $401,581,471 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $23,626,965 and recognized foreign source income of $261,456,657.

For taxable, non-corporate shareholders, 72.87% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

44

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

45

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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

46

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

47

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

48

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income team 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 -20.1% for the fiscal year ended February 28, 2009, as compared to the +2.1% return for the Barclays Capital U.S. Aggregate Index (formerly Lehman Brothers U.S. Aggregate Index). The Fund's exposure to various investments is achieved directly, and indirectly, through its investment in certain underlying GMO mutual funds, including the GMO Emerging Country Debt Fund (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 22.2%. Exposures to SDCF and WOOF were by far the largest negative contributors during the fiscal year, followed by negative contributions from developed interest-rate strategies, currency selection, and exposure to emerging country debt via ECDF.

About 76% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds primarily invest in asset-backed securities. The positions in SDCF and WOOF collateralize the Fund's derivatives positions that seek to deliver the return of the benchmark as well as create active exposures in global interest-rate and currency markets.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held in the GMO Core Plus Bond Fund, mostly indirectly via holdings of SDCF and WOOF. Such ABS exposure contributed -15.33% to the Fund's performance. To increase flexibility, the Fund began holding more U.S. Government Securities and Money Market Funds directly. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate and currency strategies. Given the unhealthy market conditions for interest-rates and currencies, characterized by poor liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions in interest rates and currencies starting in October.

In interest-rate strategies, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

Currency contribution was concentrated before positions were suspended in October. Negative relative currency performance during this time came mainly from the Fund's Swedish krona, Norwegian krone, yen, and New Zealand dollar positions.

A small exposure to emerging country debt also detracted value as spread widening on that asset class contributed negatively, as did negative contributions from both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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.

This page has been left blank intentionally.

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		86.4	%
Short-Term Investments		15.7
Options Purchased		1.7
Preferred Stocks		0.3
Loan Participations		0.2
Forward Currency Contracts		0.1
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Futures		(0.1	)
Written Options		(0.6	)
Swaps		(6.1	)
Other		2.3
		100.0	%
Country / Region Summary**	% of Investments
United States		95.9	%
Emerging***		3.4
United Kingdom		1.8
Australia		(0.4	)
Euro Region****		(0.7	)
		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 table is based on duration-adjusted exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative contracts. Duration is based on the Manager's models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures (both positive and negative) are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

***  The "Emerging" exposure is associated with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Philippines, Russia, Venezuela, Brazil, Argentina, Colombia, Uruguay, Mexico, Ivory Coast, and Vietnam. Additional information about the Fund's emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.

****  The "Euro Region" is comprised of Austria, Belgium, 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 28, 2009

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 25.7%
		Albania — 2.3%
		Foreign Government Obligations
USD	15,681,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 (a) (b)		7,114,707
		Australia — 0.2%
		Asset-Backed Securities
USD	326,810	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 1.20%, due 04/19/38		264,985
USD	481,549	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 1.32%, due 05/10/36		417,350
		Total Australia		682,335
		United Kingdom — 0.5%
		Asset-Backed Securities
USD	300,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, 3 mo. LIBOR + .09%, 1.62%, due 03/20/30		268,800
USD	700,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		565,110
USD	111,747	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.51%, due 12/20/54		69,283
USD	500,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 1.32%, due 02/12/16		437,000
USD	300,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 1.17%, due 10/15/33		245,445
		Total United Kingdom		1,585,638
		United States — 22.7%
		Asset-Backed Securities — 5.1%
USD	309,806	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.67%, due 05/25/37		39,760
USD	400,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.49%, due 10/06/13		268,120
USD	50,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		47,832

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 28, 2009

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	200,000	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 09/25/36		82,000
USD	1,000,000	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		677,500
USD	1,200,000	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		302,250
USD	186,877	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.86%, due 01/25/36		119,452
USD	200,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		192,644
USD	300,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.86%, due 02/18/14		246,450
USD	500,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		344,045
USD	250,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		225,825
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 1.41%, due 01/25/24		285,000
USD	903,082	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 1.82%, due 06/28/19		650,219
USD	300,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.30%, due 11/10/14		236,400
USD	100,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		65,000
USD	800,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 04/25/36		317,000
USD	600,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, 1 mo. LIBOR + .04%, 0.50%, due 02/15/12		540,876
USD	500,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		300,000
USD	533,304	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.67%, due 05/25/36		344,148
USD	100,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 08/25/36		32,000
USD	953,875	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.70%, due 11/15/33		618,542

See accompanying notes to the financial statements.

3

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	500,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.47%, due 06/15/13		456,250
USD	600,000	GE Dealer Floorplan Master Trust, Series 06-4, Class A, 1 mo. LIBOR + .01%, 0.48%, due 10/20/11		496,710
USD	18,313	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, 1 mo. LIBOR + .25%, 0.72%, due 07/25/30		11,892
USD	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .13%, 0.58%, due 03/06/20		596,720
USD	600,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 1.01%, due 07/15/13		499,875
USD	440,338	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, 1 mo. LIBOR + .08%, 0.54%, due 09/15/21		308,237
USD	528,851	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, 1 mo. LIBOR + .65%, 1.12%, due 10/25/37		412,504
USD	200,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		80,000
USD	900,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		238,500
USD	1,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, 3 mo. LIBOR + .45%, 1.98%, due 03/20/10		487,500
USD	1,000,000	Morgan Stanley ACES SPC, Series 04-12, Class A, 144A, 3 mo. LIBOR + .60%, 1.83%, due 08/05/09		729,000
USD	700,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.70%, due 02/25/37		196,000
USD	300,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		235,500
USD	430,886	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.61%, due 08/25/23		387,798
USD	300,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.66%, due 07/15/11		276,094
USD	200,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.46%, due 05/15/12		162,000
USD	445,499	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.58%, due 04/25/37		387,584
USD	142,070	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.76%, due 12/25/32		69,028

See accompanying notes to the financial statements.

4

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	500,000	Santander Drive Auto Receivables Trust, Series 07-1, Class A4, FGIC, 1 mo. LIBOR + .05%, 0.51%, due 09/15/14		340,361
USD	156,047	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.66%, due 11/25/35		78,023
USD	784,712	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.62%, due 05/20/18		594,577
USD	666,812	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 2.03%, due 09/15/22		560,122
USD	166,926	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		150,233
USD	129,563	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		20,730
USD	400,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		268,000
USD	400,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		282,360
USD	500,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		350,000
USD	900,000	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.62%, due 03/20/14		815,022
USD	500,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.59%, due 02/15/17		354,790
				15,780,473
		U.S. Government — 17.5%
USD	25,532,760	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (c) (d)		25,189,650
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 08/15/12 (b)		9,183,868
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/10 (b)		9,950,445
USD	10,100,000	U.S. Treasury Receipts, 0.00%, due 02/15/12 (b)		9,392,360
				53,716,323
		U.S. Government Agency — 0.1%
USD	201,584	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.07%, due 10/01/11 (b)		194,851
		Total United States		69,691,647
		TOTAL DEBT OBLIGATIONS (COST $78,313,163)		79,074,327

See accompanying notes to the financial statements.

5

GMO Core Plus Bond Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 64.7%
		United States — 64.7%
		Affiliated Issuers
	1,644,373	GMO Emerging Country Debt Fund, Class III		9,619,580
	7,980,394	GMO Short-Duration Collateral Fund		136,464,740
	93,858	GMO Special Purpose Holding Fund (b) (e)		68,517
	2,873,549	GMO World Opportunity Overlay Fund		52,729,622
		Total United States		198,882,459
		TOTAL MUTUAL FUNDS (COST $267,458,801)		198,882,459
		PREFERRED STOCKS — 0.3%
		United States — 0.3%
	10,000	Home Ownership Funding 2 Preferred 144A, 1.00% (b)		900,000
		TOTAL PREFERRED STOCKS (COST $2,138,851)		900,000
		SHORT-TERM INVESTMENTS — 13.1%
		Money Market Funds — 13.1%
	10,361,181	State Street Institutional Liquid Reserves Fund-Institutional Class		10,361,181
	30,028,954	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		30,028,954
		TOTAL SHORT-TERM INVESTMENTS (COST $40,390,135)		40,390,135
		TOTAL INVESTMENTS — 103.8% (Cost $388,300,950)		319,246,921
		Other Assets and Liabilities (net) — (3.8%)		(11,668,533	)
		TOTAL NET ASSETS — 100.0%	$	307,578,388

See accompanying notes to the financial statements.

6

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	27	U.S. Long Bond (CBT)	March 2009	$	3,364,453	$	(266,815	)
	238	U.S. Treasury Note 2 Yr. (CBT)	June 2009		51,553,031		(30,464	)
	99	U.S. Treasury Note 5 Yr. (CBT)	June 2009		11,542,008		(28,914	)
				$	66,459,492	$	(326,193	)
Sales
	34	U.S. Treasury Note 10 Yr. (CBT)	June 2009	$	4,081,062	$	34,695

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	5,000,000	USD	12/20/2010	Deutsche	Receive		0.75	%		3.36	%	Enterprise		5,000,000	USD	$	(217,745	)
				Bank AG								Products
												Partners
												LP
	2,000,000	USD	6/20/2011	Barclays Bank PLC	Receive		0.30	%		21.97	%	Prologis		2,000,000	USD		(657,142	)
	2,000,000	USD	6/20/2011	UBS AG	Receive		0.26	%		3.90	%	ERP Operating LP		2,000,000	USD		(154,143	)
	2,000,000	USD	12/20/2013	UBS AG	Receive		0.34	%		10.61	%	CIT		2,000,000	USD		(616,543	)
	2,000,000	USD	12/20/2013	Barclays Bank PLC	Receive		0.25	%		9.59	%	SLM Corp.		2,000,000	USD		(580,171	)
																$	(2,225,744	)
															Premiums to (Pay) Receive	$	—

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

See accompanying notes to the financial statements.

7

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

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	$	(2,596,991	)
	10,100,000	USD	2/15/2012	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		(2,877,719	)
	10,100,000	USD	8/15/2012	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		(2,907,984	)
	15,680,000	USD	8/31/2025	JP Morgan Chase Bank	(Pay)		0.00	%	3 month LIBOR		(4,105,907	)
										$	(12,488,601	)
									Premiums to (Pay) Receive(f)	$	8,730,953

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive	Market Value
	250,000,000	USD	8/19/2011	Morgan Stanley	3 month	Lehman Aggregate
					LIBOR - 0.01%	Total Return Index	$	(1,357,987	)
							$	(1,357,987	)
						Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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.

8

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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.

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.

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at February 28, 2009, which are subject to change based on the terms of the security.

(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 (Note 2).

(d)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(e)  Underlying investment represents interests in defaulted securities.

(f)  Includes accretion since inception for zero coupon interest rate swaps.

Currency Abbreviations:

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 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $120,842,149) (Note 2)	$	120,364,462
Investments in affiliated issuers, at value (cost $267,458,801) (Notes 2 and 8)		198,882,459
Interest receivable		105,544
Receivable for variation margin on open futures contracts (Note 2)		68,255
Interest receivable for open swap contracts		5,395,814
Receivable for expenses reimbursed by Manager (Note 3)		10,372
Total assets		324,826,906
Liabilities:
Payable to affiliate for (Note 3):
Management fee		59,425
Shareholder service fee		26,620
Trustees and Chief Compliance Officer of GMO Trust fees		1,067
Payable to broker for closed futures contracts		49
Payable for open swap contracts (Note 2)		16,072,332
Miscellaneous payable		854,313
Accrued expenses		234,712
Total liabilities		17,248,518
Net assets	$	307,578,388
Net assets consist of:
Paid-in capital	$	540,949,827
Accumulated undistributed net investment income		639,071
Accumulated net realized loss		(157,323,604	)
Net unrealized depreciation		(76,686,906	)
	$	307,578,388
Net assets attributable to:
Class III shares	$	73,730,254
Class IV shares	$	233,848,134
Shares outstanding:
Class III		12,124,156
Class IV		38,379,005
Net asset value per share:
Class III	$	6.08
Class IV	$	6.09

See accompanying notes to the financial statements.

10

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	12,880,241
Interest		4,197,059
Dividends		107,702
Total investment income		17,185,002
Expenses:
Management fee (Note 3)		1,769,661
Shareholder service fee – Class III (Note 3)		153,490
Shareholder service fee – Class IV (Note 3)		605,538
Custodian, fund accounting agent and transfer agent fees		331,240
Audit and tax fees		81,605
Legal fees		35,063
Trustees fees and related expenses (Note 3)		15,797
Registration fees		1,380
Miscellaneous		9,751
Total expenses		3,003,525
Fees and expenses reimbursed by Manager (Note 3)		(436,056	)
Expense reductions (Note 2)		(165	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(94,529	)
Shareholder service fee waived (Note 3)		(22,305	)
Net expenses		2,450,470
Net investment income (loss)		14,734,532
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		1,078,227
Investments in affiliated issuers		(80,421,086	)
Realized gains distributions from affiliated issuers (Note 8)		753,610
Closed futures contracts		(2,302,070	)
Closed swap contracts		(17,888,081	)
Written options		(2,242,470	)
Foreign currency, forward contracts and foreign currency related transactions		(8,254,415	)
Net realized gain (loss)		(109,276,285	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(6,218,091	)
Investments in affiliated issuers		(9,108,148	)
Open futures contracts		(526,001	)
Open swap contracts		(2,731,519	)
Foreign currency, forward contracts and foreign currency related transactions		(3,685,506	)
Net unrealized gain (loss)		(22,269,265	)
Net realized and unrealized gain (loss)		(131,545,550	)
Net increase (decrease) in net assets resulting from operations	$	(116,811,018	)

See accompanying notes to the financial statements.

11

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,734,532		$	50,658,808
Net realized gain (loss)		(109,276,285	)		(7,666,110	)
Change in net unrealized appreciation (depreciation)		(22,269,265	)		(78,741,185	)
Net increase (decrease) in net assets from operations		(116,811,018	)		(35,748,487	)
Distributions to shareholders from:
Net investment income
Class III		(16,448,556	)		(12,275,863	)
Class IV		(65,811,675	)		(99,097,283	)
Total distributions from net investment income		(82,260,231	)		(111,373,146	)
Net share transactions (Note 7):
Class III		(14,545,995	)		(45,249,825	)
Class IV		(622,725,935	)		(1,033,993,070	)
Increase (decrease) in net assets resulting from net share transactions		(637,271,930	)		(1,079,242,895	)
Redemption fees (Notes 2 and 7):
Class III		109,302			—
Class IV		514,084			—
Increase in net assets resulting from redemption fees		623,386			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(636,648,544	)		(1,079,242,895	)
Total increase (decrease) in net assets		(835,719,793	)		(1,226,364,528	)
Net assets:
Beginning of period		1,143,298,181			2,369,662,709
End of period (including accumulated undistributed net investment income of $639,071 and $42,886,045, respectively)	$	307,578,388		$	1,143,298,181

See accompanying notes to the financial statements.

12

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	9.42		$	10.49		$	10.32		$	10.35		$	10.40
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.27			0.37			0.43			0.15			0.18
Net realized and unrealized gain (loss)		(2.08	)		(0.63	)		0.27			0.17			0.24
Total from investment operations		(1.81	)		(0.26	)		0.70			0.32			0.42
Less distributions to shareholders:
From net investment income		(1.53	)		(0.81	)		(0.53	)		(0.35	)		(0.25	)
From net realized gains		—			—			—			—			(0.22	)
Total distributions		(1.53	)		(0.81	)		(0.53	)		(0.35	)		(0.47	)
Net asset value, end of period	$	6.08		$	9.42		$	10.49		$	10.32		$	10.35
Total Return(b)		(20.12	)%		(2.56	)%		6.85	%		3.10	%		4.01	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	73,730		$	125,506		$	187,045		$	148,476		$	1,216,251
Net expenses to average daily net assets(c)		0.39	%(d)		0.39	%(d)		0.39	%		0.39	%		0.39	%
Net investment income to average daily net assets(a)		3.20	%		3.70	%		4.11	%		1.40	%		1.77	%
Portfolio turnover rate		22	%		44	%		72	%		62	%		108	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.08	%		0.06	%		0.06	%		0.06	%		0.07	%
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—			—			—

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

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (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.

13

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	9.44		$	10.50		$	10.33		$	10.46
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.17			0.36			0.45			0.23
Net realized and unrealized gain (loss)		(1.99	)		(0.61	)		0.26			(0.01	)(c)
Total from investment operations		(1.82	)		(0.25	)		0.71			0.22
Less distributions to shareholders:
From net investment income		(1.53	)		(0.81	)		(0.54	)		(0.35	)
Total distributions		(1.53	)		(0.81	)		(0.54	)		(0.35	)
Net asset value, end of period	$	6.09		$	9.44		$	10.50		$	10.33
Total Return(d)		(20.23	)%		(2.42	)%		6.90	%		2.06	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	233,848		$	1,017,792		$	2,182,618		$	2,618,011
Net expenses to average daily net assets(e)		0.34	%(f)		0.34	%(f)		0.34	%		0.34	%*
Net investment income to average daily net assets(b)		1.89	%		3.60	%		4.33	%		2.16	%(g)
Portfolio turnover rate		22	%		44	%		72	%		62	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.08	%		0.06	%		0.06	%		0.07	%*
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—			—

(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 the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.

(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.

14

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 Barclays Capital U.S. Aggregate Index (formerly Lehman Brothers U.S. Aggregate Index). The Fund typically invests in bonds included in the Barclays Capital U.S. Aggregate Index and in securities and instruments with similar characteristics. The Fund seeks additional returns by seeking to exploit differences in global interest rates and 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 (also known as "junk bonds")), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

Throughout the year ended February 28, 2009, 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.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

15

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 prices provided by a single source. As of February 28, 2009, the total value of these securities represented 26.41% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund.

16

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used 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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $212,552 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using indicative bids received from primary pricing sources. In addition, the Fund valued certain debt securities and preferred stocks using a specified spread above the LIBOR rate or U.S. Treasury yield. The Fund also valued certain credit default swaps using industry standard models and inputs from pricing vendors. The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	9,619,580	$	34,695
Level 2 - Other Significant Observable Inputs		254,774,147		—
Level 3 - Significant Unobservable Inputs		54,853,194		—
Total	$	319,246,921	$	34,695

*  Other financial instruments include futures contracts.

17

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(326,193	)
Level 2 - Other Significant Observable Inputs		—		(13,846,588	)
Level 3 - Significant Unobservable Inputs		—		(2,225,744	)
Total	$	—	$	(16,398,525	)

**  Other financial instruments include futures contracts and swap agreements.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	33,957,631		$	—
Accrued discounts/premiums		2,355,287			—
Realized gain (loss)		100,157			—
Realized gain distributions received		162,394			—
Realized gain distributions paid		(212,552	)		—
Change in unrealized appreciation/depreciation		(3,857,035	)		(1,119,082	)
Net purchases (sales)		20,802,815			—
Net transfers in and/or out of Level 3		1,544,497			(1,106,662	)
Balance as of February 28, 2009	$	54,853,194		$	(2,225,744	)

***  Other financial instruments include swap agreements.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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.

18

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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.

19

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no written option contracts outstanding at the end of the period.

For the year ended February 28, 2009, 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 year	$	—	$	—		—		$	—
Options written		—		—	JPY	(9,302,000,000	)		(870,449	)
Options exercised		—		—	JPY	9,302,000,000			870,449
Options expired		—		—		—			—
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—		—		$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

20

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

21

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

22

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

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

23

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, losses on wash sale transactions, foreign currency transactions, derivative contract transactions, partnership interest tax allocations, post-October capital losses and differing treatment for security 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	111,050,815	$	3,961,632	$	(115,012,447	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	82,260,231	$	111,373,146
Total distributions	$	82,260,231	$	111,373,146

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 6,483,643

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $16,579,574.

24

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Such losses expire as follows:

2/28/2014	$	(34,693,380	)
2/28/2015		(2,795,728	)
2/29/2016		(33,008,915	)
2/28/2017		(59,218,431	)
Total	$	(129,716,454	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	405,611,711	$	3,420,726	$	(89,785,516	)	$	(86,364,790	)

Utilization of the capital loss carryforwards, post-October capital losses and future losses, if any, realized subsequent to February 28, 2009 could be subject to limitations imposed by the Code related to share ownership activity.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

25

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.89% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund 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. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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

26

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 greater to the extent that the underlying funds engage in derivative transactions.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

27

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.10% 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 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.

28

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2009, 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
	0.018	%		0.003	%		0.007	%		0.028	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $15,337 and $5,067, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	49,231,572	$	45,252,051
Investments (non-U.S. Government securities)		104,049,747		877,279,607

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 72.68% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned

29

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.02% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 40.80% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,083		$	29,086			7,093,489		$	73,135,418
Shares issued to shareholders in reinvestment of distributions		2,426,853			16,389,522			1,115,417			10,882,545
Shares repurchased		(3,624,307	)		(30,964,603	)		(12,715,568	)		(129,267,788	)
Redemption fees		—			109,302			—			—
Net increase (decrease)		(1,193,371	)	$	(14,436,693	)		(4,506,662	)	$	(45,249,825	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		564,334		$	5,000,000			12,016,620		$	125,053,877
Shares issued to shareholders in reinvestment of distributions		9,197,631			65,811,675			10,145,742			99,097,283
Shares repurchased		(79,246,156	)		(693,537,610	)		(122,110,610	)		(1,258,144,230	)
Redemption fees		—			514,084			—			—
Net increase (decrease)		(69,484,191	)	$	(622,211,851	)		(99,948,248	)	$	(1,033,993,070	)

30

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	—	$	9,636,024	$	—	$	—		$	—	$	9,619,580
GMO Emerging Country Debt Fund, Class IV		37,549,507		1,731,782		30,736,024		1,190,723			541,058
GMO Short- Duration Collateral Fund		780,181,577		77,330,341		643,132,208		11,689,518	u		—		136,464,740
GMO Special Purpose Holding Fund		118,261		—		—		—			212,552		68,517
GMO World Opportunity Overlay Fund		232,656,595		5,800,000		163,200,000		—			—		52,729,622
Totals	$	1,050,505,940	$	94,498,147	$	837,068,232	$	12,880,241		$	753,610	$	198,882,459

^u  The Fund received total distributions in the amount of $31,213,684, of which $19,524,166 was a return of capital.

31

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

32

GMO Core Plus Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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*
Class III
1) Actual		0.43	%	$	1,000.00	$	811.70	$	1.93
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.66	$	2.16
Class IV
1) Actual		0.37	%	$	1,000.00	$	811.50	$	1.66
2) Hypothetical		0.37	%	$	1,000.00	$	1,022.96	$	1.86

*  Expenses are calculated using each Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

33

GMO Core Plus Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $13,628,614 or if determined to be different, the qualified interest income of such year.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

36

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

37

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

38

GMO Global Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Bond Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Global Bond Fund returned -22.8% for the fiscal year ended February 28, 2009, as compared to the -1.9% 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 (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 20.9%. Exposures to SDCF and WOOF were by far the largest negative contributors during the fiscal year, followed by negative contributions from developed interest-rate strategies, exposure to emerging country debt via ECDF, and currency selection.

Nearly 80% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds primarily invest in asset-backed securities. The 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.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held indirectly in the Global Bond Fund via holdings of SDCF and WOOF. Such ABS exposure contributed (17.65%) to the Fund's performance. To increase flexibility, the Fund began holding more cash assets directly. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate and currency strategies. Given the unhealthy market conditions for interest-rates and currencies, characterized by poor liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions in interest rates and currencies starting in October.

In interest-rate strategies, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

GMO Global Bond Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

Currency contribution was concentrated before positions were suspended in October. Negative relative currency performance during this time came mainly from the Fund's Swedish krona, Norwegian krone, New Zealand dollar, and yen positions.

A small exposure to emerging country debt also detracted value as spread widening on the asset class contributed negatively, as did negative contributions from both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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.

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GMO Global Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		94.0	%
Short-Term Investments		6.1
Options Purchased		1.8
Loan Participations		0.2
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Futures		(0.0	)
Written Options		(0.7	)
Swaps		(1.0	)
Forward Currency Contracts		(3.4	)
Other		2.9
		100.0	%
Country / Region Summary**	% of Investments
Japan		34.7	%
Euro Region***		32.7
United States		20.5
United Kingdom		7.3
Emerging****		3.3
Canada		1.7
Australia		(0.2	)
		100.0	%

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

****  The "Emerging" exposure is associated with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Philippines, Russia, Venezuela, Brazil, Argentina, Colombia, Uruguay, Mexico, Ivory Coast, and Vietnam. Additional information about the fund's emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.

1

GMO Global Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 16.8%
		Canada — 0.7%
		Foreign Government Obligations
CAD	1,500,000	Government of Canada, 8.00%, due 06/01/23		1,752,861
		France — 2.3%
		Foreign Government Obligations
EUR	5,000,000	Government of France, 4.00%, due 10/25/38		6,187,318
		Germany — 2.7%
		Foreign Government Obligations
EUR	5,000,000	Republic of Deutschland, 4.75%, due 07/04/34		7,056,297
		Japan — 2.9%
		Foreign Government Obligations
JPY	700,000,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		7,540,950
		United Kingdom — 2.1%
		Foreign Government Obligations
GBP	4,000,000	U.K. Treasury Gilt, 4.25%, due 12/07/27		5,568,925
		United States — 6.1%
		U.S. Government
USD	7,104,768	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a) (b)		7,009,294
USD	15,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		8,864,445
		Total United States		15,873,739
		TOTAL DEBT OBLIGATIONS (COST $47,830,810)		43,980,090

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 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 81.6%
		United States — 81.6%
		Affiliated Issuers
	1,322,529	GMO Emerging Country Debt Fund, Class III		7,736,793
	9,323,457	GMO Short-Duration Collateral Fund		159,431,112
	45,838	GMO Special Purpose Holding Fund (c) (d)		33,462
	2,522,448	GMO World Opportunity Overlay Fund		46,286,913
		Total United States		213,488,280
		TOTAL MUTUAL FUNDS (COST $290,221,048)		213,488,280
		SHORT-TERM INVESTMENTS — 3.0%
		Money Market Funds — 3.0%
	7,889,087	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		7,889,087
		TOTAL SHORT-TERM INVESTMENTS (COST $7,889,087)		7,889,087
		TOTAL INVESTMENTS — 101.4%(Cost $345,940,945)		265,357,457
		Other Assets and Liabilities (net) — (1.4%)		(3,651,195	)
		TOTAL NET ASSETS — 100.0%	$	261,706,262

See accompanying notes to the financial statements.

3

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/31/09	AUD		800,000	$	510,519	$	(8,681	)
4/07/09	CAD		5,000,000		3,930,059		(184,152	)
3/10/09	EUR		60,000,000		76,061,482		(6,342,518	)
4/14/09	GBP		4,500,000		6,441,483		(155,517	)
3/17/09	JPY		5,433,700,000		55,689,692		(3,904,728	)
				$	142,633,235	$	(10,595,596	)
Sales
4/07/09	CAD		2,300,000	$	1,807,827	$	49,528
3/10/09	EUR		10,900,000		13,817,836		1,427,424
				$	15,625,663	$	1,476,952

Forward Cross Currency Contracts

Settlement Date		Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
	4/21/09	EUR	1,200,000	SEK	12,960,000	$	(82,149	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	4	Australian Government Bond 10 Yr.	March 2009	$	289,155	$	(2,263	)
	7	Australian Government Bond 3 Yr.	March 2009		482,730		1,369
	20	Canadian Government Bond 10 Yr.	June 2009		1,947,178		(16,767	)
	172	Euro BOBL	March 2009		25,466,412		219,233
	181	Euro Bund	March 2009		28,614,007		71,081
	300	Federal Funds 30 day	March 2009		124,716,226		(1,512	)

See accompanying notes to the financial statements.

4

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Futures Contracts — continued

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
	51	Japanese Government Bond 10 Yr. (TSE)	March 2009	$	72,898,203	$	47,840
	35	U.S. Long Bond (CBT)	March 2009		4,361,328		(168,808	)
	44	U.S. Treasury Note 10 Yr. (CBT)	June 2009		5,281,375		(44,820	)
	135	U.S. Treasury Note 5 Yr. (CBT)	June 2009		15,739,102		(39,428	)
	79	U.S. Treasury Note 2 Yr. (CBT)	June 2009		17,112,141		(10,112	)
	37	UK Gilt Long Bond	June 2009		6,314,460		(86,864	)
				$	303,222,317	$	(31,051	)

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Market Value
	21,000,000	USD	3/20/2014	Deutsche Bank	(Pay)		1.70	%		1.86	%	Republic	N/A		$	123,788
												of Italy
	15,000,000	USD	3/20/2019	Deutsche Bank	Receive		1.66	%		1.81	%	Republic of Italy	15,000,000	USD		(154,293	)
															$	(30,505	)
													Premiums to (Pay) Receive		$	—

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

See accompanying notes to the financial statements.

5

GMO Global Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

As of February 28, 2009, 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:

(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)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $55,719,897) (Note 2)	$	51,869,177
Investments in affiliated issuers, at value (cost $290,221,048) (Notes 2 and 8)		213,488,280
Cash		5,294,000
Dividends and interest receivable		420,024
Unrealized appreciation on open forward currency contracts (Note 2)		1,476,952
Receivable for variation margin on open futures contracts (Note 2)		35,123
Receivable for open swap contracts (Note 2)		123,788
Receivable for expenses reimbursed by Manager (Note 3)		8,985
Total assets		272,716,329
Liabilities:
Payable to affiliate for (Note 3):
Management fee		38,846
Shareholder service fee		30,668
Trustees and Chief Compliance Officer of GMO Trust fees		869
Unrealized depreciation on open forward currency contracts (Note 2)		10,677,745
Payable for open swap contracts (Note 2)		154,293
Accrued expenses		107,646
Total liabilities		11,010,067
Net assets	$	261,706,262
Net assets consist of:
Paid-in capital	$	370,428,961
Accumulated undistributed net investment income		(406,766	)
Accumulated net realized loss		(18,436,172	)
Net unrealized depreciation		(89,879,761	)
	$	261,706,262
Net assets attributable to:
Class III shares	$	261,706,262
Shares outstanding:
Class III		41,336,295
Net asset value per share:
Class III	$	6.33

See accompanying notes to the financial statements.

7

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	10,962,957
Dividends		85,521
Interest		235,986
Total investment income		11,284,464
Expenses:
Management fee (Note 3)		591,744
Shareholder service fee – Class III (Note 3)		467,166
Custodian, fund accounting agent and transfer agent fees		138,133
Audit and tax fees		67,162
Legal fees		10,408
Trustees fees and related expenses (Note 3)		8,586
Registration fees		6,208
Miscellaneous		4,350
Total expenses		1,293,757
Fees and expenses reimbursed by Manager (Note 3)		(34,530	)
Expense reductions (Note 2)		(1,953	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(37,784	)
Shareholder service fee waived (Note 3)		(13,391	)
Net expenses		1,206,099
Net investment income (loss)		10,078,365
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		948,086
Investments in affiliated issuers		(8,404,504	)
Realized gains distributions from affiliated issuers (Note 8)		312,612
Closed futures contracts		11,405,798
Closed swap contracts		3,287,785
Written options		(920,150	)
Foreign currency, forward contracts and foreign currency related transactions		(3,294,403	)
Net realized gain (loss)		3,335,224
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(3,862,279	)
Investments in affiliated issuers		(60,236,285	)
Open futures contracts		(3,574,999	)
Open swap contracts		(2,574,033	)
Foreign currency, forward contracts and foreign currency related transactions		(20,601,342	)
Net unrealized gain (loss)		(90,848,938	)
Net realized and unrealized gain (loss)		(87,513,714	)
Net increase (decrease) in net assets resulting from operations	$	(77,435,349	)

See accompanying notes to the financial statements.

8

GMO Global Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	10,078,365		$	12,741,125
Net realized gain (loss)		3,335,224			10,424,511
Change in net unrealized appreciation (depreciation)		(90,848,938	)		(3,353,820	)
Net increase (decrease) in net assets from operations		(77,435,349	)		19,811,816
Distributions to shareholders from:
Net investment income
Class III		(19,772,881	)		(23,714,054	)
Net share transactions (Note 7):
Class III		20,286,078			157,195,473
Redemption fees (Notes 2 and 7):
Class III		13,923			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		20,300,001			157,195,473
Total increase (decrease) in net assets		(76,908,229	)		153,293,235
Net assets:
Beginning of period		338,614,491			185,321,256
End of period (including accumulated undistributed net investment income of $406,767 and $403,110, respectively)	$	261,706,262		$	338,614,491

See accompanying notes to the financial statements.

9

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	8.70		$	8.92		$	8.53		$	9.11		$	8.73
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.25			0.42			0.38			0.18			0.21
Net realized and unrealized gain (loss)		(2.11	)		0.11			0.38			(0.57	)		0.63
Total from investment operations		(1.86	)		0.53			0.76			(0.39	)		0.84
Less distributions to shareholders:
From net investment income		(0.51	)		(0.75	)		(0.37	)		(0.19	)		(0.46	)
Total distributions		(0.51	)		(0.75	)		(0.37	)		(0.19	)		(0.46	)
Net asset value, end of period	$	6.33		$	8.70		$	8.92		$	8.53		$	9.11
Total Return(b)		(22.77	)%		6.50	%		8.99	%		(4.33	)%		9.52	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	261,706		$	338,614		$	185,321		$	168,324		$	170,750
Net expenses to average daily net assets(c)		0.39	%(d)		0.38	%(d)		0.39	%		0.37	%		0.33	%
Net investment income to average daily net assets(a)		3.24	%		4.86	%		4.33	%		2.12	%		2.40	%
Portfolio turnover rate		35	%		20	%		22	%		20	%		38	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%		0.03	%		0.06	%		0.07	%		0.12	%
Redemption fees consisted of the following per share amounts:†	$	0.00	(e)		—			—			—			—

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

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

(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)  Redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

10

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 seeking to exploit differences in global interest rates and 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 (also known as "junk bonds")), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities. The Fund took temporary defensive measures during the last fiscal year.

11

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 40.29% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are

12

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $103,806 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	7,736,793	$	339,523
Level 2 - Other Significant Observable Inputs		257,587,202		1,476,952
Level 3 - Significant Unobservable Inputs		33,462		123,788
Total	$	265,357,457	$	1,940,263

*  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(370,574	)
Level 2 - Other Significant Observable Inputs		—		(10,677,745	)
Level 3 - Significant Unobservable Inputs		—		(154,293	)
Total	$	—	$	(11,202,612	)

**  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

13

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	57,756		$	—
Accrued discounts/premiums		—			—
Realized gain (loss)		—			—
Realized gain distributions received		79,287			—
Realized gain distributions paid		(103,806	)		—
Change in unrealized appreciation/depreciation		225			(30,505	)
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	33,462		$	(30,505	)

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

14

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the

15

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

For the year ended February 28, 2009, the Fund's investment activity in options contracts written by the Fund was as follows:

	Puts				Calls
	Principal Amount of Contracts		Premiums		Principal Amount of Contracts			Premiums
Outstanding, beginning of year	$	—	$	—	$	—		$	—
Options written		—		—	JPY	(3,817,000,000	)		(357,184	)
Options exercised		—		—	JPY	3,817,000,000			357,184
Options expired		—		—		—			—
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—	$	—		$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. Indexed securities held by the Fund 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 28, 2009

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would

17

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee

18

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement andtax purposes will reverse at some time in the future. Distributions in excess of net investment incomeor 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 andtax purposes.

19

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, partnership interest tax allocations, net operating losses, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	8,884,640	$	(7,770,825	)	$	(1,113,815	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	19,772,881	$	23,714,054
Total distributions	$	19,772,881	$	23,714,054

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

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $7,106,783.

As of February 28, 2009, 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	$	(7,601,799	)
2/28/2014		(7,575,780	)
2/28/2015		(269,796	)
2/28/2017		(4,412,277	)
Total	$	(19,859,652	)

20

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	347,291,501	$	33,462	$	(81,967,506	)	$	(81,934,044	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity.

21

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.97% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reducethe redemption fee in extraordinary circumstances if the purchase or redemption will not cause theFund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund aspaid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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. Additionally, the investment risks associated with an investment in the underlying funds may be greater to the extent that the underlying funds engage in derivative transactions.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors

22

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.19% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager 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%.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded 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.

23

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2009, 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
	0.017	%		0.004	%		0.007	%		0.028	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $7,524 and $2,173, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	11,563,370	$	3,000,000
Investments (non-U.S. Government securities)		118,766,166		99,877,534

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 64.29% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

24

GMO Global Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 31.30% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,411,603		$	12,089,225			15,937,195		$	139,052,495
Shares issued to shareholders in reinvestment of distributions		2,363,492			19,546,079			2,820,633			23,399,087
Shares repurchased		(1,373,474	)		(11,349,226	)		(606,251	)		(5,256,109	)
Redemption fees		—			13,923			—			—
Net increase (decrease)		2,401,621		$	20,300,001			18,151,577		$	157,195,473

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	9,885,128	$	2,400,195	$	—	$	891,388		$	208,806	$	7,736,793
GMO Short-Duration Collateral Fund		241,749,211		69,343,808		85,200,000		10,071,569	u		—		159,431,112
GMO Special Purpose Holding Fund		57,756		—		—		—			103,806		33,462
GMO World Opportunity Overlay Fund		66,066,597		9,600,000		11,100,000		—			—		46,286,913
Totals	$	317,758,692	$	81,344,003	$	96,300,000	$	10,962,957		$	312,612	$	213,488,280

^u  The Fund received total distributions in the amount of $30,745,194, of which $20,673,625 was a return of capital.

25

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

26

GMO Global Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs including 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, 2008 through February 28, 2009.

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		0.42	%	$	1,000.00	$	810.50	$	1.89
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.71	$	2.11

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO Global Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The Alternative Asset Opportunity Fund returned -33.7% for the fiscal year ended February 28, 2009, as compared to -27.1% for the Alternative Asset Opportunity (50% Dow Jones-AIG Commodity Index / 50% JPMorgan U.S. 3 Month Cash Index) Index.

The Fund underperformed its benchmark, the Alternative Asset Opportunity Index (50% Dow Jones-AIG Commodity Index / 50% JPMorgan U.S. 3 Month Cash Index), by 6.6% during the fiscal year.

Commodity prices fell broadly during the fiscal year: energy commodity prices fell the most, by 54% to 64%, followed by grain commodity prices, which fell by 27% to 58%. Metal, soft, and meat commodity prices also fell, by 6% to 60%, 2% to 57%, and 16% to 25%, respectively.

Losses from the Fund's exposure to the GMO Short Duration Collateral Fund (SDCF), which invests primarily in asset-backed securities, more than offset gains from commodity performance, as negative momentum in the asset-backed market accelerated during the fiscal year. The SDCF investment collateralizes the commodities positions, which are achieved in the futures markets.

Overall commodity performance was positive during the fiscal year as the Fund correctly positioned for falling prices in cotton, live cattle, lean hog, and soy oil contracts.

Sugar, soy meal, crude oil, and cocoa contracts were the largest negative commodity contributors for the fiscal year, as negative performance came from incorrectly positioning the prices of these contracts.

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 redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 Alternative Asset Opportunity Index is a composite benchmark computed by GMO and comprised of 50% Dow Jones-AIG Commodity Index and 50% JPMorgan U.S. 3 Month Cash Index.

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)
Consolidated Investments Concentration Summary ^(a)
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		96.6	%
Short-Term Investments		3.4
Swaps		0.3
Futures		0.3
Forward Currency Contracts		0.0
Other		(0.6	)
		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 28, 2009

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 26.7%
		U.S. Government — 26.7%
	6,050,154	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a)(b)(c)		5,968,852
		TOTAL DEBT OBLIGATIONS (COST $5,982,086)		5,968,852
		MUTUAL FUNDS — 71.5%
		Affiliated Issuers — 71.5%
	936,264	GMO Short-Duration Collateral Fund		16,010,119
		TOTAL MUTUAL FUNDS (COST $21,311,450)		16,010,119
		SHORT-TERM INVESTMENTS— 1.6%
		Money Market Funds — 1.6%
	135,371	SSgA USD Liquidity Fund-Class I Stable NAV Shares (c)(d)		135,371
	216,563	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		216,563
		TOTAL MONEY MARKET FUNDS (COST $351,934)		351,934
		TOTAL SHORT-TERM INVESTMENTS (COST $351,934)		351,934
		TOTAL INVESTMENTS — 99.8% (Cost $27,645,470)		22,330,905
		Other Assets and Liabilities (net) — 0.2%		57,962
		TOTAL NET ASSETS — 100.0%	$	22,388,867

See accompanying notes to the financial statements.

2

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts^(c)

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	11	Cocoa	May 2009	$	265,430	$	(38,550	)
	4	Copper	May 2009		153,850		3,596
	4	Crude Oil	April 2009		179,040		9,884
	4	Gold 100 OZ	April 2009		377,000		(4,747	)
	4	Heating Oil	April 2009		212,940		16,364
	1	Natural Gas	April 2009		41,980		26
				$	1,230,240	$	(13,427	)
Sales
	15	Corn	May 2009	$	269,250	$	(1,189	)
	10	Coffee "C"	May 2009		419,625		18,027
	17	Cotton No. 2	May 2009		367,710		31,481
	28	Lean Hogs	April 2009		682,080		21,128
	23	Live Cattle	April 2009		790,510		(914	)
	3	Silver	May 2009		196,650		15,250
	8	Soybean	May 2009		348,800		6,366
	5	Soybean Meal	May 2009		134,900		2,465
	3	Soybean Oil	May 2009		55,998		(697	)
	27	Sugar (World)	May 2009		415,195		(8,597	)
	11	Wheat	May 2009		286,825		503
				$	3,967,543	$	83,823

See accompanying notes to the financial statements.

3

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)
February 28, 2009

Swap Agreements^(c)

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive	Market Value
	8,435,866	USD	4/14/2009	Barclays Capital	1 month	Return on DJ-AIG
					T-Bill + 0.19%	Commodity
						Total Return Index (b)	$	200,753
							$	200,753
						Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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)  Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic (Note 2).

(c)  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.

(d)  Fund is domiciled in Ireland.

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 28, 2009

	GMO Alternative Asset Opportunity Fund		GMO Alternative Asset SPC Ltd.		Eliminations			Consolidated Totals
Assets:
Investments in unaffiliated issuers, at value (consolidated cost $6,334,020) (Note 2)	$	216,563	$	6,104,223	$	—		$	6,320,786
Investments in affiliated issuers, at value (consolidated cost $21,311,450) (Note 2)		22,264,445		—		(6,254,326	)		16,010,119
Dividends and interest receivable		8		18,346		—			18,354
Receivable for open swap contracts (Note 2)		—		200,753					200,753
Receivable for expenses reimbursed by Manager (Note 3)		9,046		7,504		—			16,550
Total assets		22,490,062		6,330,826		(6,254,326	)		22,566,562
Liabilities:
Payable for variation margin on open futures contracts (Note 2)		—		7,203					7,203
Payable to affiliate for (Note 3):
Management fee		7,752		—		—			7,752
Shareholder service fee		2,584		—		—			2,584
Trustees and Chief Compliance Officer of GMO Trust fees		67		—		—			67
Accrued expenses		90,792		69,297		—			160,089
Total liabilities		101,195		76,500		—			177,695
Net assets	$	22,388,867	$	6,254,326	$	(6,254,326	)	$	22,388,867
Shareholders' capital	$	22,388,867						$	22,388,867
Shares outstanding		1,020,688							1,020,688
Net asset value per share	$	21.94						$	21.94

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 February 28, 2009

	GMO Alternative Asset Opportunity Fund			GMO Alternative Asset SPC Ltd.			Eliminations		Consolidated Totals
Investment Income:
Dividends from affiliated issuers (Note 8)	$	1,004,960		$	—		$	—	$	1,004,960
Dividends		38			19,228			—		19,266
Interest		551			106,595			—		107,146
Total income (loss)		1,005,549			125,823			—		1,131,372
Expenses:
Management fee (Note 3)		132,631			—			—		132,631
Shareholder service fee (Note 3)		44,210			—			—		44,210
Custodian and transfer agent fees		2,703			83,720			—		86,423
Audit and tax fees		92,798			18,473			—		111,271
Legal fees		5,863			2,200			—		8,063
Trustees fees and related expenses (Note 3)		527			—			—		527
Miscellaneous		1,928			6,770			—		8,698
Total expenses		280,660			111,163			—		391,823
Fees and expenses reimbursed by Manager (Note 3)		(103,291	)		(111,163	)		—		(214,454	)
Expense Reduction		(279	)							(279	)
Net expenses		177,090			—			—		177,090
Net investment income (loss)		828,459			125,823			—		954,282
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		—			(198,109	)		—		(198,109	)
Investments in affiliated issuers		(168,878	)		—			—		(168,878	)
Closed futures contracts		—			1,324,997			—		1,324,997
Closed swap contracts		—			(7,490,504	)		—		(7,490,504	)
Net realized gain (loss)		(168,878	)		(6,363,616	)		—		(6,532,494	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			(22,071	)		—		(22,071	)
Investments in affiliated issuers		(12,114,464	)		—			7,818,266		(4,296,198	)
Open futures contracts		—			(76,829	)		—		(76,829	)
Open swap contracts		—			(1,481,573	)		—		(1,481,573	)
Net unrealized gain (loss)		(12,114,464	)		(1,580,473	)		7,818,266		(5,876,671	)
Net realized and unrealized gain (loss)		(12,283,342	)		(7,944,089	)		7,818,266		(12,409,165	)
Net increase (decrease) in net assets resulting from operations	$	(11,454,883	)	$	(7,818,266	)	$	7,818,266	$	(11,454,883	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	954,282		$	2,400,062
Net realized gain (loss)		(6,532,494	)		2,207,780
Change in net unrealized appreciation (depreciation)		(5,876,671	)		(3,054,525	)
Net increase (decrease) in net assets from operations		(11,454,883	)		1,553,317
Fund share transactions: (Note 7)
Proceeds from sale of shares		388			3,431,990
Cost of shares repurchased		(131,245	)		(145,526,957	)
Redemption fees		2,617			—
Net increase (decrease) in Fund share transactions		(128,240	)		(142,094,967	)
Total increase (decrease) in net assets		(11,583,123	)		(140,541,650	)
Net assets:
Beginning of period		33,971,990			174,513,640
End of period	$	22,388,867		$	33,971,990

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	33.11		$	28.54		$	26.63		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.93			0.69			1.28			0.73
Net realized and unrealized gain (loss)		(12.10	)		3.88	(c)		0.63			0.90
Total from investment operations		(11.17	)		4.57			1.91			1.63
Net asset value, end of period	$	21.94		$	33.11		$	28.54		$	26.63
Total Return(d)		(33.74	)%		16.01	%		7.17	%		6.52	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	22,389		$	33,972		$	174,514		$	181,947
Net expenses to average daily net assets(e)		0.60	%(f)		0.60	%		0.60	%		0.61	%*
Net investment income to average daily net assets(b)		3.24	%		2.41	%		4.60	%		3.12	%*
Portfolio turnover rate		89	%		24	%		12	%		13	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.73	%		0.21	%		0.12	%		0.15	%*
Redemption fees consisted of the following per share amounts:†	$	0.00	(g)		—			—			—

(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 and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.

(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)  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.

8

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements
February 28, 2009

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 U.S. 3 Month Cash Index (50%). The Fund seeks indirect exposure to investment returns of commodities and, from time to time, other alternative asset classes (e.g., currencies). 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.

The Fund directly and indirectly (through underlying funds) invests in asset-backed securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

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.

9

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

2.  Significant accounting policies

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

Basis of presentation and principles of consolidation

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems it appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 27.47% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security

10

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("FASB") No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	125,090
Level 2 - Other Significant Observable Inputs		22,330,905		200,753
Level 3 - Significant Unobservable Inputs		—		—
Total	$	22,330,905	$	325,843

*  Other financial instruments include futures contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(54,694	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(54,694	)

**  Other financial instruments include futures contracts.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

11

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 contract 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.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

12

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (i.e., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be

13

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes

The Fund has elected to be treated as a partnership for U.S. federal income tax purposes. As a partnership, the Fund is not itself subject to federal income tax. Instead, each shareholder is required to take into account in determining its tax liability its distributive share of items of Fund income, gain, loss, deduction, credit, and tax preference for each taxable year substantially as though such items have been realized directly by the shareholder and without regard to whether any distribution by the Fund has been or will be received. Accordingly, no provision (benefit) for federal and state income taxes is reflected in the accompanying financial statements.

As of February 28, 2009, 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)
$	34,963,184	$	33,253	$	(12,665,532	)	$	(12,632,279	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in

14

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

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 in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.76% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee for cash redemptions is currently 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the

15

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

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. Commodity prices can be extremely volatile and are affected by a wide range of factors, including changes in overall market movements, real or perceived inflationary trends, commodity index volatility, changes in interest rates or currency exchange rates, population growth and changing demographics, international economic, political, and regulatory developments, and developments affecting a particular industry or commodity, such as drought, floods, or other weather conditions, livestock disease, trade embargoes, competition from substitute products, transportation bottlenecks or shortages, fluctuations in supply and demand, and tariffs. The value of the Fund's investments in commodity-related derivatives may fluctuate more than the relevant underlying commodity or commodity index.

To manage the Fund's cash collateral needs in current extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described under Purchases and Redemptions of Fund Shares above.

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 expropriation and 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 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. Because of the Fund's

16

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

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 broader range of investments.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about Funds' derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

In December, 2007, FASB issued SFAS No. 160, an amendment of Accounting Research Bulletin No. 51, Noncontrolling Interests in Consolidated Financial Statements. SFAS 160 is effective for fiscal years and interim periods beginning on or after December 15, 2008. SFAS 160 requires enhanced disclosures in consolidated financial statements that identifies and distinguishes between the interests of the parent's owners and the interests of the noncontrolling owners of a subsidiary. The Manager is currently evaluating the impact the adoption of SFAS 160 will have on the Fund's financial statements.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.45% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15%.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.45% of the Fund's average daily net assets. Excluded Expenses include 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).

17

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the GMO Short-Duration Collateral Fund. For the year ended February 28, 2009, 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
	0.003	%		0.000	%		0.000	%		0.003	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $345 and $182, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	22,812,878	$	21,594,001
Investments (non-U.S. Government securities)		158,934		1,294,100

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

18

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Notes to Consolidated Financial Statements — (Continued)
February 28, 2009

6.  Principal shareholders and related parties

As of February 28, 2009, 83.35% of the outstanding shares of the Fund were held by two shareholders. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
	Shares			Amount			Shares			Amount
Shares sold		15		$	388			117,663		$	3,431,990
Shares repurchased		(5,333	)		(131,245	)		(5,206,092	)		(145,526,957	)
Redemption fees		—			2,617			—			—
Net increase (decrease)		(5,318	)	$	(128,240	)		(5,088,429	)	$	(142,094,967	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income			Distributionsof Realized Gains		Value, end of period
GMO Short-Duration Collateral Fund	$	23,686,705	$	158,934	$	1,294,100	$	1,004,960	u	$	—	$	16,010,119
Totals	$	23,686,705	$	158,934	$	1,294,100	$	1,004,960		$	—	$	16,010,119

^u  The Fund received total distributions in the amount of $3,081,304, of which $2,076,344 was a return of capital.

19

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

20

GMO Alternative Asset Opportunity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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 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 Expense Ratio			Beginning Account Value		Ending Account Value		Net Expense Incurred*
1) Actual		0.61	%	$	1,000.00	$	717.50	$	2.60
2) Hypothetical		0.61	%	$	1,000.00	$	1,021.77	$	3.06

*  Expenses are calculated using the Fund's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

23

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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.

⁴  Each officer is elected to hold such office until his or her successor is duly 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 Office4and 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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of their office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

25

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Fixed Income team 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 -21.2% for the fiscal year ending on February 28, 2009, as compared to the +3.5% 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 (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 24.7%. Exposures to SDCF and WOOF were by far the largest negative contributors during the fiscal year, followed by negative contributions from developed interest-rate strategies and exposure to emerging country debt via ECDF.

More than 80% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds primarily invest in asset-backed securities. The 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 markets.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held indirectly in the Strategic Fixed Income Fund via holdings of SDCF and WOOF. Such ABS exposure contributed -18.80% to the Fund's performance. To increase flexibility, the Fund began holding more cash assets directly. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate strategies. Given the unhealthy market conditions for interest-rates, characterized by poor liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions starting in October.

The underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

A small exposure to emerging country debt also detracted value as spread widening on the asset class contributed negatively, as did negative contributions from both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 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 Barclays Capital 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		87.2	%
Short-Term Investments		16.5
Options Purchased		1.8
Loan Participations		0.1
Forward Currency Contracts		0.1
Loan Assignments		0.0
Futures		0.0
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.7	)
Swaps		(5.8	)
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 Strategic Fixed Income Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares / Principal Amount		Description	Value ($)
		DEBT OBLIGATIONS — 5.2%
		United States — 5.2%
		U.S. Government
	79,096,050	U.S. Treasury Inflation Indexed Bond, 0.88% , due 04/15/10 (a) (b)		78,033,157
	50,000,000	U.S. Treasury Note, 1.13% , due 01/15/12 (a)		49,675,800
		Total United States		127,708,957
		TOTAL DEBT OBLIGATIONS (COST $131,342,098)		127,708,957
		MUTUAL FUNDS — 86.3%
		United States — 86.3%
		Affiliated Issuers
	7,397,456	GMO Emerging Country Debt Fund, Class IV		43,275,117
	96,859,391	GMO Short-Duration Collateral Fund		1,656,295,579
	23,773,633	GMO World Opportunity Overlay Fund		436,246,172
		Total United States		2,135,816,868
		TOTAL MUTUAL FUNDS (COST $2,826,995,466)		2,135,816,868
		OPTIONS PURCHASED — 0.1%
		Options on Futures — 0.1%
USD	1,500,000	U.S. Treasury Bonds Futures 30 Yr. Call, Expires 03/27/09, Strike 129.00		1,476,563
USD	1,500,000	U.S. Treasury Bonds Futures 30 Yr. Call, Expires 03/27/09, Strike 135.00		281,250
				1,757,813
		TOTAL OPTIONS PURCHASED (COST $4,060,687)		1,757,813

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 28, 2009

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 13.3%
		Money Market Funds — 13.3%
	87,590,909	State Street Institutional Liquid Reserves Fund-Institutional Class		87,590,909
	242,250,003	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		242,250,003
		TOTAL SHORT-TERM INVESTMENTS (COST $329,840,912)		329,840,912
		TOTAL INVESTMENTS — 104.9% (Cost $3,292,239,163)		2,595,124,550
		Other Assets and Liabilities (net) — (4.9%)		(121,475,086	)
		TOTAL NET ASSETS — 100.0%	$	2,473,649,464

See accompanying notes to the financial statements.

3

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Sales
	248	U.S. Treasury Note 10 Yr. (CBT)	June 2009	$	29,767,750	$	253,069
	63	U.S. Treasury Note 2 Yr. (CBT)	June 2009		13,646,391		8,670
	66	U.S. Treasury Note 5 Yr. (CBT)	June 2009		7,694,672		18,880
				$	51,108,813	$	280,619

Written Options

A summary of open written option contracts for the Fund at February 28, 2009 is as follows:

Notional Amount		Expiration Date	Description	Premiums			Market Value
Call	$3,000,000	3/27/2009	USD U.S. Treasury Bonds Futures (30YR), Strike 132.00	$	(3,462,750	)	$	(1,406,250	)

Swap Agreements

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate			Variable Rate	Market Value
	668,000,000	USD	2/16/2020	Merrill Lynch	Receive		4.54	%	3 month LIBOR	$	50,465,727
	660,000,000	USD	3/5/2020	Citigroup	Receive		4.46	%	3 month LIBOR		45,000,945
	333,000,000	USD	3/4/2020	Morgan Stanley	Receive		4.53	%	3 month LIBOR		24,598,750
	192,000,000	USD	3/20/2020	Deutsche Bank AG	Receive		4.31	%	3 month LIBOR		10,456,636
	800,000,000	USD	3/20/2012	Deutsche Bank AG	(Pay)		3.62	%	3 month LIBOR		(18,024,508	)
	1,398,000,000	USD	3/4/2012	Morgan Stanley	(Pay)		3.92	%	3 month LIBOR		(40,561,709	)
	588,000,000	USD	3/20/2012	Deutsche Bank AG	(Pay)		2.23	%	3 month LIBOR		2,451,487
	151,000,000	USD	3/20/2020	Deutsche Bank AG	Receive		2.71	%	3 month LIBOR		(11,843,681	)
	2,766,000,000	USD	2/16/2012	Merrill Lynch	(Pay)		3.79	%	3 month LIBOR		(75,327,354	)
	333,000,000	USD	3/20/2020	Deutsche Bank AG	(Pay)		4.72	%	3 month LIBOR		(29,475,961	)
	660,000,000	USD	3/5/2020	Citigroup	(Pay)		4.94	%	3 month LIBOR		(71,217,248	)

See accompanying notes to the financial statements.

4

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Interest Rate Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay) #	Fixed Rate			Variable Rate	Market Value
	333,000,000	USD	3/4/2020	Morgan Stanley	(Pay)		5.00	%	3 month LIBOR	$	(37,619,628	)
	668,000,000	USD	2/18/2020	Merrill Lynch	(Pay)		5.10	%	3 month LIBOR		(81,948,516	)
	1,388,000,000	USD	3/20/2012	Deutsche Bank AG	Receive		3.54	%	3 month LIBOR		29,143,437
	1,398,000,000	USD	3/4/2012	Morgan Stanley	Receive		3.80	%	3 month LIBOR		37,341,399
	2,766,000,000	USD	2/16/2012	Merrill Lynch	Receive		3.90	%	3 month LIBOR		81,307,988
										$	(85,252,236	)
									Premiums to (Pay) Receive	$	2,250,000

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

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay			Receive	Market Value
	268,692,139	USD	04/15/2009	Barclays		1.03	%	Barclays U.S. Government
				Bank PLC				Inflation Linked 10 Yr
								Total Return Index	$	(15,270,516	)
	272,627,193	USD	04/14/2009	Barclays Bank PLC		1.03	%	Barclays U.S. Government Inflation Linked 10 Yr Total Return Index		(19,114,960	)
									$	(34,385,476	)
								Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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:

LIBOR - London Interbank Offered Rate

(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.

(b)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

Currency Abbreviations:

USD - United States Dollar

See accompanying notes to the financial statements.

5

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $465,243,697) (Note 2)	$	459,307,682
Investments in affiliated issuers, at value (cost $2,826,995,466) (Notes 2 and 8)		2,135,816,868
Dividends and interest receivable		393,604
Receivable for open swap contracts (Note 2)		280,766,369
Receivable for expenses reimbursed by Manager (Note 3)		74,499
Total assets		2,876,359,022
Liabilities:
Payable to affiliate for (Note 3):
Management fee		477,587
Shareholder service fee		115,183
Trustees and Chief Compliance Officer of GMO Trust fees		8,041
Payable for variation margin on open futures contracts (Note 2)		21,443
Payable for open swap contracts (Note 2)		400,404,081
Written options outstanding, at value (premiums $3,462,750) (Note 2)		1,406,250
Accrued expenses		276,973
Total liabilities		402,709,558
Net assets	$	2,473,649,464
Net assets consist of:
Paid-in capital	$	3,485,675,835
Distributions in excess of net investment income		(68,468,070	)
Accumulated net realized loss		(131,393,095	)
Net unrealized depreciation		(812,165,206	)
	$	2,473,649,464
Net assets attributable to:
Class III shares	$	227,452,665
Class VI shares	$	2,246,196,799
Shares outstanding:
Class III		13,094,367
Class VI		129,474,124
Net asset value per share:
Class III	$	17.37
Class VI	$	17.35

See accompanying notes to the financial statements.

6

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	125,592,034
Interest		11,124,464
Dividends		557,958
Total investment income		137,274,456
Expenses:
Management fee (Note 3)		9,947,921
Shareholder service fee – Class III (Note 3)		267,205
Shareholder service fee – Class VI (Note 3)		2,090,567
Custodian, fund accounting agent and transfer agent fees		489,274
Audit and tax fees		83,736
Legal fees		182,191
Trustees fees and related expenses (Note 3)		109,411
Registration fees		4,168
Miscellaneous		48,858
Total expenses		13,223,331
Fees and expenses reimbursed by Manager (Note 3)		(707,578	)
Expense reductions (Note 2)		(34	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(282,548	)
Shareholder service fee waived (Note 3)		(93,733	)
Net expenses		12,139,438
Net investment income (loss)		125,135,018
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(32,170,490	)
Investments in affiliated issuers		(257,532,415	)
Realized gains distributions from affiliated issuers (Note 8)		1,710,186
Closed futures contracts		(16,185,665	)
Closed swap contracts		15,090,043
Written options		(8,905,265	)
Foreign currency, forward contracts and foreign currency related transactions		5,211
Net realized gain (loss)		(297,988,395	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,477,014	)
Investments in affiliated issuers		(524,404,155	)
Open futures contracts		3,460,295
Open swap contracts		(158,821,421	)
Written options		2,056,500
Foreign currency, forward contracts and foreign currency related transactions		(3,400	)
Net unrealized gain (loss)		(683,189,195	)
Net realized and unrealized gain (loss)		(981,177,590	)
Net increase (decrease) in net assets resulting from operations	$	(856,042,572	)

See accompanying notes to the financial statements.

7

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	125,135,018		$	119,328,375
Net realized gain (loss)		(297,988,395	)		(36,796,389	)
Change in net unrealized appreciation (depreciation)		(683,189,195	)		(126,139,356	)
Net increase (decrease) in net assets from operations		(856,042,572	)		(43,607,370	)
Distributions to shareholders from:
Net investment income
Class III		(8,839,751	)		(5,772,752	)
Class VI		(159,237,634	)		(97,139,821	)
Total distributions from net investment income		(168,077,385	)		(102,912,573	)
Net realized gains
Class III		—			(344,272	)
Class VI		—			(5,909,472	)
Total distributions from net realized gains		—			(6,253,744	)
Net share transactions (Note 7):
Class III		(688,142	)		59,121,073
Class VI		(1,905,410,410	)		3,042,002,441
Increase (decrease) in net assets resulting from net share transactions		(1,906,098,552	)		3,101,123,514
Redemption fees (Notes 2 and 7):
Class III		190,982			—
Class VI		4,100,512			—
Increase in net assets resulting from redemption fees		4,291,494			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(1,901,807,058	)		3,101,123,514
Total increase (decrease) in net assets		(2,925,927,015	)		2,948,349,827
Net assets:
Beginning of period		5,399,576,479			2,451,226,652
End of period (including distributions in excess of net investment income of $68,468,070 and $28,882,220, respectively)	$	2,473,649,464		$	5,399,576,479

See accompanying notes to the financial statements.

8

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	23.60		$	25.22		$	25.06
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.71			0.78			0.96
Net realized and unrealized gain (loss)		(5.70	)		(1.37	)		0.34
Total from investment operations		(4.99	)		(0.59	)		1.30
Less distributions to shareholders:
From net investment income		(1.24	)		(0.97	)		(1.14	)
From net realized gains		—			(0.06	)		—
Total distributions		(1.24	)		(1.03	)		(1.14	)
Net asset value, end of period	$	17.37		$	23.60		$	25.22
Total Return(c)		(21.20	)%		(2.39	)%		5.23	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	227,453		$	277,879		$	226,917
Net expenses to average daily net assets(d)		0.40	%(e)		0.38	%(e)		0.39	%*
Net investment income to average daily net assets(b)		3.32	%		3.12	%		5.96	%*
Portfolio turnover rate		70	%		67	%		7	%**††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%		0.04	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.02			—			—

(a)  Period from July 13, 2006 (commencement of operations) through February 28, 2007.

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

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

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

(e)  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 through February 28, 2007.

See accompanying notes to the financial statements.

9

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	23.57		$	25.22		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.68			0.97			0.76
Net realized and unrealized gain (loss)		(5.64	)		(1.55	)		0.61
Total from investment operations		(4.96	)		(0.58	)		1.37
Less distributions to shareholders:
From net investment income		(1.26	)		(1.01	)		(1.15	)
From net realized gains		—			(0.06	)		—
Total distributions		(1.26	)		(1.07	)		(1.15	)
Net asset value, end of period	$	17.35		$	23.57		$	25.22
Total Return(c)		(21.09	)%		(2.35	)%		5.52	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,246,197		$	5,121,698		$	2,224,310
Net expenses to average daily net assets(d)		0.30	%(e)		0.29	%(e)		0.29	%*
Net investment income to average daily net assets(b)		3.14	%		3.87	%		4.01	%*
Portfolio turnover rate		70	%		67	%		7	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.03	%		0.04	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.02			—			—

(a)  Period from May 31, 2006 (commencement of operations) through February 28, 2007.

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

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

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

(e)  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 Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 seeking to exploit differences in global interest rates and 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, interest rate options, swaps on interest rates, 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 (also known as "junk bonds")), primarily through investment in shares of GMO Emerging Country Debt Fund ("ECDF").

Throughout the year ended February 28, 2009, 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.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

11

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities. The Fund took temporary defensive measures during the last fiscal year.

The Fund is not accepting subscriptions.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. The prices provided may differ from the value that would be realized if the securities were

12

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

sold, and the differences could be material. As of February 28, 2009, the total value of these securities represented 32.10% of net assets.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	92,950,917	$	280,619
Level 2 - Other Significant Observable Inputs		2,502,173,633		280,766,369
Level 3 - Significant Unobservable Inputs		—		—
Total	$	2,595,124,550	$	281,046,988

*  Other financial instruments include futures contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(401,810,331	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(401,810,331	)

**  Other financial instruments include swap agreements and written options.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

13

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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

14

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to 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 28, 2009, 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 year	$	—	$	—	$	—		$	—
Options written		—		—		(2,329,460,000	)		(20,270,085	)
Options exercised		—		—		2,306,600,000			5,905,300
Options expired		—		—		14,360,000			8,053,660
Options sold		—		—		5,500,000			2,848,375
Outstanding, end of year	$	—	$	—	$	(3,000,000	)	$	(3,462,750	)

15

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. Options contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund's Schedule of Investments.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Loan agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans 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, (i) 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 participation in the loan agreement and only upon receipt by the lender of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may be subject to the credit risk of both the borrower and the lender has sold the participation in the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. The Fund had no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as

16

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

17

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer

18

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, partnership interest tax allocations, losses on wash sale transactions, post-October capital and currency losses, redemption in-kind transactions, and amortization and accretion of debt securities.

19

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	3,356,517	$	159,813,728	$	(163,170,245	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	168,077,385	$	105,777,934
Net long-term capital gain		—		3,388,383
Total distributions	$	168,077,385	$	109,166,317

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

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $92,972,393 and post-October currency losses of $6,458,589.

As of February 28, 2009, 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:

2/28/2017	$	(137,475,668	)
Total	$	(137,475,668	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,255,159,433	$	2,056,500	$	(662,091,383	)	$	(660,034,883	)

For the period ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $193,969,130.

20

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.85% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily

21

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the

22

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded 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.

23

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2009, 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
	0.012	%		0.002	%		0.004	%		0.018	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $95,940 and $27,921, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	2,268,481,020	$	2,127,715,739
Investments (non-U.S. Government securities)		167,002,483		1,691,459,512

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 73.00% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust.

24

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and 99.8% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		6,706,775		$	123,683,482			14,637,641		$	354,355,271
Shares issued to shareholders in reinvestment of distributions		400,493			7,025,456			210,515			5,059,119
Shares repurchased		(5,789,615	)		(131,397,080	)		(12,069,867	)		(300,293,317	)
Redemption fees		—			190,982			—			—
Net increase (decrease)		1,317,653		$	(497,160	)		2,778,289		$	59,121,073
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		3,935,250		$	89,019,736			188,277,166		$	4,555,951,605
Shares issued to shareholders in reinvestment of distributions		9,080,584			159,234,461			4,301,787			103,049,293
Shares repurchased		(100,806,037	)		(2,153,664,607	)		(63,520,875	)		(1,616,998,457	)
Redemption fees		—			4,100,512			—			—
Net increase (decrease)		(87,790,203	)	$	(1,901,309,898	)		129,058,078		$	3,042,002,441

25

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	80,962,232	$	2,145,580	$	54,104,368	$	435,393	$	1,710,186	$	—
GMO Emerging Country Debt Fund, Class IV		—		58,863,729		10,897,241		4,722,079		—		43,275,117
GMO Short-Duration Collateral Fund		4,314,050,306		20,239,290		1,887,271,509		120,434,562		—		1,656,295,579	u
GMO World Opportunity Overlay Fund		821,340,094		25,000,000		206,791,804		—		—		436,246,172
Totals	$	5,216,352,632	$	106,248,599	$	2,159,064,922	$	125,592,034	$	1,710,186	$	2,135,816,868

^u  After the effect of return of capital distributions of $245,782,874 for the year ended February 28, 2009.

9.  Subsequent event

On March 19, 2009, the Trustees approved GMO's plan to maximize the amount of cash distributed to shareholders that represents receipts on its portfolio holdings (including shares of the underlying funds) and from dispositions of those holdings. The plan was adopted in light of the requirements of Section 562 (b) of the Code and calls for the Fund to cease operations within 2 years. For purposes of meeting that timetable, the Fund may distribute securities (including shares of the underlying funds) in-kind.

26

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The Trustees of the Trust approved a plan to cease operations of the Fund within 2 years (see Note 9).

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

27

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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		0.42	%	$	1,000.00	$	818.10	$	1.89
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.71	$	2.11
Class VI
1) Actual		0.33	%	$	1,000.00	$	818.40	$	1.49
2) Hypothetical		0.33	%	$	1,000.00	$	1,023.16	$	1.66

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

28

GMO Strategic Fixed Income Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $60,798,278 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

31

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

33

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Short-Duration Investment Fund returned -11.8% for the fiscal year ended February 28, 2009, as compared to +3.5% for the JPMorgan U.S. 3 Month Cash Index. The Fund underperformed the benchmark during the fiscal year by 15.3%.

The fiscal year's underperformance stemmed from price declines in the GMO Short Duration Collateral Fund (SDCF) in which the Fund invests a substantial portion of its total assets. SDCF invests primarily in asset-backed securities.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs. In addition to widening spreads, SDCF's portfolio suffered credit downgrades during the year: SDCF had 123 downgraded securities, representing 27.4% of its market value from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB.

With the extreme price volatility of asset-backed securities during the fiscal year, SDCF underperformed LIBOR by nearly 20%, directly contributing to the Fund's underperformance given its 64% exposure to SDCF during theperiod.

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 redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 Short-Duration Investment Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		85.2	%
Short-Term Investments		15.1
Forward Currency Contracts		0.0
Swaps		(0.5	)
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 Short-Duration Investment Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 23.0%
		U.S. Government Agency — 23.0%
	93,333	Agency for International Development Floater (Support of Botswana), 6 mo. U.S. Treasury Bill + .40%, 0.87%, due 10/01/12 (a)		90,082
	601,650	Agency for International Development Floater (Support of C.A.B.E.I), 6 mo. U.S. Treasury Bill + .40%, 0.87%, due 10/01/12 (a)		580,634
	503,960	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.07%, due 10/01/11 (a)		487,128
	32,947	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.82%, due 05/01/14 (a)		31,292
	243,929	Small Business Administration Pool #502320, Prime - 2.19%, 1.06%, due 08/25/18		241,098
		Total U.S. Government Agency		1,430,234
		TOTAL DEBT OBLIGATIONS (COST $1,475,483)		1,430,234
		MUTUAL FUNDS — 63.7%
		Affiliated Issuers — 63.7%
	231,576	GMO Short-Duration Collateral Fund		3,959,951
	9,192	GMO Special Purpose Holding Fund (a)(b)		6,710
		TOTAL MUTUAL FUNDS (COST $5,430,976)		3,966,661
		SHORT-TERM INVESTMENTS — 13.4%
		Money Market Funds — 13.4%
	228,467	State Street Institutional Liquid Reserves Fund-Institutional Class		228,467
	607,473	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		607,473
		TOTAL SHORT-TERM INVESTMENTS (COST $835,940)		835,940
		TOTAL INVESTMENTS — 100.1% (Cost $7,742,399)		6,232,835
		Other Assets and Liabilities (net) — (0.1%)		(4,734	)
		TOTAL NET ASSETS — 100.0%	$	6,228,101

See accompanying notes to the financial statements.

2

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

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

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $2,311,423) (Note 2)	$	2,266,174
Investments in affiliated issuers, at value (cost $5,430,976) (Notes 2 and 8)		3,966,661
Receivable for investments sold		5,808
Dividends and interest receivable		8,185
Receivable for expenses reimbursed by Manager (Note 3)		8,110
Total assets		6,254,938
Liabilities:
Payable to affiliate for (Note 3):
Management fee		238
Shareholder service fee		716
Trustees and Chief Compliance Officer of GMO Trust fees		6
Accrued expenses		25,877
Total liabilities		26,837
Net assets	$	6,228,101
Net assets consist of:
Paid-in capital	$	10,424,371
Accumulated undistributed net investment income		749
Accumulated net realized loss		(2,687,455	)
Net unrealized depreciation		(1,509,564	)
	$	6,228,101
Net assets attributable to:
Class III shares	$	6,228,101
Shares outstanding:
Class III		870,808
Net asset value per share:
Class III	$	7.15

See accompanying notes to the financial statements.

4

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	246,431
Interest		31,414
Dividends		1,164
Total investment income		279,009
Expenses:
Management fee (Note 3)		3,479
Shareholder service fee – Class III (Note 3)		10,438
Custodian, fund accounting agent and transfer agent fees		2,191
Audit and tax fees		44,618
Legal fees		185
Trustees fees and related expenses (Note 3)		195
Registration fees		5,501
Miscellaneous		2,483
Total expenses		69,090
Fees and expenses reimbursed by Manager (Note 3)		(54,979	)
Net expenses		14,111
Net investment income (loss)		264,898
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(30	)
Realized gains distributions from affiliated issuers (Note 8)		20,816
Net realized gain (loss)		20,786
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(41,666	)
Investments in affiliated issuers		(1,092,568	)
Net unrealized gain (loss)		(1,134,234	)
Net realized and unrealized gain (loss)		(1,113,448	)
Net increase (decrease) in net assets resulting from operations	$	(848,550	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	264,898		$	531,638
Net realized gain (loss)		20,786			234,625
Change in net unrealized appreciation (depreciation)		(1,134,234	)		(393,401	)
Net increase (decrease) in net assets from operations		(848,550	)		372,862
Distributions to shareholders from:
Net investment income
Class III		(264,963	)		(529,051	)
Net share transactions (Note 7):
Class III		(34,132	)		(23,783,143	)
Redemption fees (Notes 2 and 7):
Class III		352			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(33,780	)		(23,783,143	)
Total increase (decrease) in net assets		(1,147,293	)		(23,939,332	)
Net assets:
Beginning of period		7,375,394			31,314,726
End of period (including accumulated undistributed net investment income of $749 and $1,079, respectively)	$	6,228,101		$	7,375,394

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	8.45		$	8.93		$	8.82		$	8.77		$	8.75
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.30			0.32			0.47			0.27			0.23
Net realized and unrealized gain (loss)		(1.29	)		(0.28	)		0.11			0.07			(0.01	)
Total from investment operations		(0.99	)		0.04			0.58			0.34			0.22
Less distributions to shareholders:
From net investment income		(0.31	)		(0.52	)		(0.47	)		(0.29	)		(0.20	)
Total distributions		(0.31	)		(0.52	)		(0.47	)		(0.29	)		(0.20	)
Net asset value, end of period	$	7.15		$	8.45		$	8.93		$	8.82		$	8.77
Total Return(b)		(11.78	)%		0.40	%		6.62	%		3.83	%		2.49	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	6,228		$	7,375		$	31,315		$	29,454		$	29,607
Net expenses to average daily net assets(c)		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net investment income to average daily net assets(a)		3.81	%		3.59	%		5.21	%		3.01	%		2.57	%
Portfolio turnover rate		4	%		5	%		12	%		17	%		101	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.79	%		0.60	%		0.14	%		0.13	%		0.10	%
Redemption fees consisted of the following per share amounts:	$	0.00	(d)		—			—			—			—

(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 redemption fees which are borne by the shareholder.

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

(d)  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 Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 to the extent consistent with the preservation of capital and liquidity. 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 adjustable rate fixed income securities, in particular asset-backed securities, issued by a wide range of private and government issuers. In addition, the Fund invests 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.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

2.  Significant accounting policies

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

8

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 28.30% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $20,816 through SPHF in connection with settlement agreements related to that litigation.

9

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued debt securities using a specified spread above the LIBOR rate. The Fund also considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		5,036,989		—
Level 3 - Significant Unobservable Inputs		1,195,846		—
Total	$	6,232,835	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying funds' summary of valuation inputs, please refer to the respective fund's portfolio valuation note.

10

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	11,582		$	—
Accrued discounts/premiums		(39	)		—
Realized gain (loss)		242			—
Realized gain distributions received		15,965			—
Realized gain distributions paid		(20,816	)		—
Change in unrealized appreciation/depreciation		(36,868	)		—
Net purchases (sales)		(306,741	)		—
Net transfers in and/or out of Level 3		1,532,521			—
Balance as of February 28, 2009	$	1,195,846		$	—

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. The Fund had no indexed securities outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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

11

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

borrower. If a loan is collateralized by cash, the Fund typically invests the cash collateral for its own account. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(265	)	$	1,647,187	$	(1,646,922	)

12

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	264,963	$	529,051
Total distributions	$	264,963	$	529,051

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 4,142

As of February 28, 2009, 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	$	(470,429	)
2/28/2013		(708	)
2/28/2014		(1,377,141	)
2/29/2016		(226,383	)
Total	$	(2,074,661	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	8,358,586	$	6,710	$	(2,132,461	)	$	(2,125,751	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or

13

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.77% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause

14

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.05% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.05% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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).

15

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2009, 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
	0.004	%		0.000	%		0.000	%		0.004	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $164 and $0, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $237,101 and $367,547, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 55.22% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

16

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 13.64% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 82.51% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		4		$	32			55,544		$	469,351
Shares issued to shareholders in reinvestment of distributions		23,717			175,909			60,822			528,993
Shares repurchased		(25,867	)		(210,073	)		(2,751,782	)		(24,781,487	)
Redemption fees		—			352			—			—
Net increase (decrease)		(2,146	)	$	(33,780	)		(2,635,416	)	$	(23,783,143	)

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	5,324,037	$	237,101	$	—	$	246,431	$	—	$	3,959,951	u
GMO Special Purpose Holding Fund		11,582		—		—		—		20,816		6,710
Totals	$	5,335,619	$	237,101	$	—	$	246,431	$	20,816	$	3,966,661

^u  After the effect of return of capital distributions of $513,491.

17

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

18

GMO Short-Duration Investment Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs including 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, 2008 through February 28, 2009.

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		0.21	%	$	1,000.00	$	888.30	$	0.98
2) Hypothetical		0.21	%	$	1,000.00	$	1,023.75	$	1.05

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

19

GMO Short-Duration Investment Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $105,108 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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

22

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

23

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

24

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -44.3% for the fiscal year ended February 28, 2009, as compared to -44.2% for the Russell 2500 Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the Russell 2500 Growth Index. Stock selections within Consumer Discretionary, Financials, and Information Technology added to relative returns while stock selections within Health Care, Energy, and Consumer Staples detracted. Individual names adding to relative returns included overweight positions in Ross Stores, Edwards Lifesciences, and Strayer Education. Individual names detracting from relative returns included overweight positions in Walter Industries, Massey Energy, and Energy Conversion Devices.

Sector selection detracted from returns relative to the Russell 2500 Growth Index. Sector weightings positively impacting relative performance included overweight positions in Consumer Discretionary and Industrials and an underweight in Financials. Sector weightings negatively impacting relative performance included an overweight in Energy and underweight positions in Health Care and Telecommunication Services.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		99.0	%
Short-Term Investments		2.6
Futures		(0.3	)
Other		(1.3	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Consumer Discretionary		22.6	%
Health Care		20.3
Information Technology		18.0
Industrials		16.8
Energy		8.1
Financials		5.1
Consumer Staples		4.6
Materials		4.0
Telecommunication Services		0.3
Utilities		0.2
		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 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 99.0%
		Consumer Discretionary — 22.4%
	500	1-800-FLOWERS.COM, Inc. *		665
	1,600	Advance Auto Parts, Inc.		61,200
	1,500	Aeropostale, Inc. *		34,785
	200	Arbitron, Inc.		2,588
	2,300	Big Lots, Inc. *		35,673
	100	Brink's Home Security Holdings, Inc. *		2,097
	900	Buckle, Inc.		21,357
	200	Buffalo Wild Wings, Inc. *		6,174
	400	CEC Entertainment, Inc. *		9,340
	2,200	Corinthian Colleges, Inc. *		43,340
	2,500	Dollar Tree, Inc. *		97,050
	1,200	DreamWorks Animation SKG, Inc.-Class A *		23,148
	800	Exide Technologies *		2,608
	400	Family Dollar Stores, Inc.		10,976
	1,200	Finish Line (The), Inc.-Class A		4,980
	100	Fuel Systems Solutions, Inc. *		1,981
	100	Gymboree Corp. (The) *		2,572
	1,100	Hasbro, Inc.		25,179
	200	Hibbett Sports, Inc. *		2,804
	500	Hillenbrand, Inc.		8,385
	600	ITT Educational Services, Inc. *		68,100
	100	Jack in the Box, Inc. *		1,944
	200	John Wiley and Sons, Inc.-Class A		6,278
	100	Jos. A. Bank Clothiers, Inc. *		2,260
	1,300	Marvel Entertainment, Inc. *		33,618
	200	Matthews International Corp.-Class A		6,948
	400	New York & Co., Inc. *		872
	400	NutriSystem, Inc.		5,160
	700	Panera Bread Co.-Class A *		30,828
	200	Papa John's International, Inc. *		4,430
	600	PetSmart, Inc.		12,024
	200	PF Chang's China Bistro, Inc. *		3,940

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	100	Polaris Industries, Inc.		1,841
	200	Pre-Paid Legal Services, Inc. *		6,382
	400	Pulte Homes, Inc.		3,672
	4,600	Ross Stores, Inc.		135,792
	400	Strayer Education, Inc.		67,900
	700	True Religion Apparel, Inc. *		7,154
	300	Universal Electronics, Inc. *		4,671
	2,700	Urban Outfitters, Inc. *		44,928
	700	Warnaco Group (The), Inc. *		15,155
	500	Wolverine World Wide, Inc.		7,580
		Total Consumer Discretionary		868,379
		Consumer Staples — 4.5%
	400	Boston Beer Co., Inc.-Class A *		9,588
	900	Cal-Maine Foods, Inc.		20,052
	900	Central European Distribution Corp. *		6,003
	800	Church & Dwight Co., Inc.		39,136
	1,900	Darling International, Inc. *		8,227
	600	Dean Foods Co. *		12,270
	1,300	Flowers Foods, Inc.		29,003
	150	Inter Parfums, Inc.		819
	100	JM Smucker Co. (The)		3,712
	200	Lancaster Colony Corp.		7,776
	400	McCormick & Co., Inc. (Non Voting)		12,540
	400	National Beverage Corp. *		3,272
	400	NBTY, Inc. *		5,948
	400	Nu Skin Enterprises, Inc.-Class A		3,760
	200	Pantry, Inc. *		3,092
	100	Sanderson Farms, Inc.		3,453
	100	USANA Health Sciences, Inc. *		2,003
	200	WD-40 Co.		4,922
		Total Consumer Staples		175,576

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 28, 2009

Shares		Description	Value ($)
		Energy — 8.0%
	500	Alpha Natural Resources, Inc. *		9,200
	800	Arena Resources, Inc. *		17,136
	200	Berry Petroleum Co.		1,330
	600	BPZ Resources, Inc. *		2,064
	300	CARBO Ceramics, Inc.		10,428
	1,700	Comstock Resources, Inc. *		51,731
	400	Concho Resources Inc. *		7,980
	200	Contango Oil & Gas Co. *		7,284
	100	Dawson Geophysical Co. *		1,221
	400	Encore Acquisition Co. *		8,032
	200	Foundation Coal Holdings, Inc.		3,216
	1,000	Frontline Ltd.		20,290
	200	Golar LNG Ltd.		874
	1,100	International Coal Group, Inc. *		1,793
	900	James River Coal Co. *		9,891
	200	Knightsbridge Tankers Ltd.		2,634
	100	Lufkin Industries, Inc.		3,285
	400	Mariner Energy, Inc. *		3,700
	1,000	McMoRan Exploration Co. *		4,590
	400	Oil States International, Inc. *		5,328
	600	Patriot Coal Corp. *		2,190
	2,000	Patterson-UTI Energy, Inc.		17,180
	1,900	Petrohawk Energy Corp. *		32,338
	100	Petroleum Development Corp. *		1,210
	500	Petroquest Energy, Inc. *		1,620
	100	PHI, Inc. *		872
	600	RPC, Inc.		3,498
	200	St. Mary Land & Exploration Co.		2,716
	300	Superior Energy Services, Inc. *		3,957
	100	T-3 Energy Services, Inc. *		1,101
	100	Tidewater, Inc.		3,532
	1,000	Unit Corp. *		21,370
	200	USEC, Inc. *		1,006
	1,600	W&T Offshore, Inc.		12,880

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	1,200	Walter Industries, Inc.		21,804
	500	Whiting Petroleum Corp. *		11,650
		Total Energy		310,931
		Financials — 5.1%
	700	Brown & Brown, Inc.		11,809
	600	Capitol Federal Financial		22,218
	400	Cash America International, Inc.		5,760
	200	Cohen & Steers, Inc.		1,798
	100	Digital Realty Trust, Inc. REIT		2,989
	1,500	Eaton Vance Corp.		25,950
	1,200	EZCORP, Inc.-Class A *		12,336
	1,200	Federated Investors Inc.-Class B		22,632
	300	First Cash Financial Services, Inc. *		4,098
	100	First Financial Bankshares, Inc.		4,302
	100	GAMCO Investors, Inc.-Class A		2,900
	100	Greenhill & Co., Inc.		6,460
	200	Health Care REIT, Inc.		6,154
	100	Home Properties, Inc. REIT		2,654
	200	Inland Real Estate Corp. REIT		1,560
	200	Interactive Brokers Group, Inc.-Class A *		2,810
	500	Knight Capital Group, Inc.-Class A *		8,795
	200	Nationwide Health Properties, Inc. REIT		4,052
	200	Omega Healthcare Investors, Inc. REIT		2,626
	400	optionsXpress Holdings, Inc.		3,948
	600	Oritani Financial Corp. *		6,486
	1,000	SEI Investments Co.		11,840
	200	SVB Financial Group *		3,270
	400	Waddell and Reed Financial, Inc.		5,648
	200	Westamerica Bancorporation		7,974
	400	World Acceptance Corp. *		5,864
		Total Financials		196,933

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 28, 2009

Shares		Description	Value ($)
		Health Care — 20.1%
	200	Abaxis, Inc. *		3,128
	500	Abiomed, Inc. *		3,405
	100	Abraxis Bioscience, Inc. *		5,854
	300	Acorda Therapeutics, Inc. *		6,600
	200	Albany Molecular Research, Inc. *		1,734
	700	Allos Therapeutics *		3,948
	500	Almost Family, Inc. *		10,145
	100	Amedisys, Inc. *		3,271
	500	American Medical Systems Holdings, Inc. *		5,175
	100	AMN Healthcare Services, Inc. *		651
	400	Auxilium Pharmaceuticals, Inc. *		10,988
	100	Beckman Coulter, Inc.		4,484
	100	Bio-Rad Laboratories, Inc. *		5,570
	400	Bruker Corp. *		1,684
	200	CardioNet, Inc. *		5,000
	300	Catalyst Health Solutions, Inc. *		6,324
	200	Centene Corp. *		3,396
	600	Cephalon, Inc. *		39,354
	100	Chemed Corp.		3,981
	400	CorVel Corp. *		7,544
	300	Cougar Biotechnology, Inc. *		7,509
	700	CryoLife, Inc. *		3,535
	100	Cubist Pharmaceuticals, Inc. *		1,421
	700	Cyberonics, Inc. *		9,415
	100	Dionex Corp. *		4,679
	1,400	Edwards Lifesciences Corp. *		77,854
	200	Emergency Medical Services, LP *		6,124
	1,800	Emergent Biosolutions, Inc. *		34,758
	100	Ensign Group, Inc. (The)		1,323
	900	eResearchTechnology, Inc. *		4,365
	200	Exactech, Inc. *		2,756
	400	Gentiva Health Services, Inc. *		6,932
	300	Haemonetics Corp. *		16,014
	300	Healthways, Inc. *		2,733

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	100	Hill-Rom Holdings, Inc.		982
	100	Immucor, Inc. *		2,244
	200	ISIS Pharmaceuticals, Inc. *		2,572
	100	Kendle International, Inc. *		1,870
	200	Kensey Nash Corp. *		3,812
	100	Landauer, Inc.		5,001
	700	LHC Group, Inc. *		13,951
	700	Lincare Holdings, Inc. *		14,749
	1,200	Luminex Corp. *		19,920
	200	Martek Biosciences Corp.		3,746
	800	Medicines Co. *		9,816
	100	Medivation, Inc. *		1,667
	1,200	Merit Medical Systems, Inc. *		13,368
	800	Momenta Pharmaceuticals, Inc. *		7,680
	700	Myriad Genetics, Inc. *		55,195
	400	Natus Medical, Inc. *		3,132
	300	Noven Pharmaceuticals, Inc. *		2,439
	700	NPS Pharmaceuticals, Inc. *		3,185
	600	Omnicare, Inc.		15,558
	700	Owens & Minor, Inc.		23,597
	600	PAREXEL International Corp. *		5,502
	100	PDL BioPharma, Inc.		587
	700	PerkinElmer, Inc.		9,016
	1,200	Perrigo Co.		24,108
	200	Pharmaceutical Product Development, Inc.		4,798
	400	Rigel Pharmaceuticals, Inc. *		2,096
	1,000	Savient Pharmaceuticals, Inc. *		4,320
	1,000	Sequenom, Inc. *		14,630
	1,800	Steris Corp.		41,508
	800	Techne Corp.		39,080
	6,000	Tenet Healthcare Corp. *		6,660
	1,800	Thoratec Corp. *		41,112
	2,300	Valeant Pharmaceuticals International *		40,020
	200	Varian, Inc. *		4,526

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	100	Vertex Pharmaceuticals, Inc. *		3,023
	500	Volcano Corp. *		7,480
	200	Watson Pharmaceuticals, Inc. *		5,654
	200	WellCare Health Plans, Inc. *		1,806
	100	Young Innovations, Inc.		1,600
	400	Zoll Medical Corp. *		5,500
		Total Health Care		779,164
		Industrials — 16.6%
	100	Acuity Brands, Inc.		2,292
	100	Aerovironment, Inc. *		3,122
	600	American Ecology Corp.		9,420
	200	Applied Industrial Technologies, Inc.		3,224
	100	Applied Signal Technology, Inc.		1,912
	200	Argon ST, Inc. *		3,402
	100	Axsys Technologies, Inc. *		3,321
	100	AZZ, Inc. *		2,024
	100	Badger Meter, Inc.		2,510
	1,100	Beacon Roofing Supply, Inc. *		12,067
	700	Brink's Co. (The)		16,709
	300	CBIZ, Inc. *		2,058
	100	Chart Industries, Inc. *		642
	100	CIRCOR International, Inc.		2,223
	700	Clarcor, Inc.		18,452
	400	Clean Harbors, Inc. *		19,432
	200	Colfax Corp. *		1,454
	200	Copart, Inc. *		5,404
	300	Delta Air Lines, Inc. *		1,509
	700	Donaldson Co., Inc.		17,087
	200	Dun & Bradstreet Corp.		14,794
	200	Dynamic Materials Corp.		1,864
	400	EMCOR Group, Inc. *		6,164
	600	Energy Conversion Devices, Inc. *		13,158
	200	ESCO Technologies, Inc. *		6,502

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	200	Exponent, Inc. *		4,494
	200	Forward Air Corp.		3,328
	100	GATX Corp.		1,827
	600	Genesee & Wyoming, Inc.-Class A *		12,534
	600	Gorman-Rupp Co.		10,614
	600	Graco, Inc.		10,188
	200	GrafTech International Ltd. *		1,130
	100	Hawaiian Holdings, Inc. *		317
	600	Healthcare Services Group, Inc.		9,222
	400	Heartland Express, Inc.		4,948
	200	Herman Miller, Inc.		2,016
	400	HUB Group Inc.-Class A *		7,184
	100	Idex Corp.		1,932
	700	II-VI, Inc. *		12,572
	2,900	JB Hunt Transport Services, Inc.		59,102
	800	Kansas City Southern *		14,152
	600	Knight Transportation, Inc.		7,776
	600	Knoll, Inc.		3,960
	800	Landstar System, Inc.		25,320
	200	Lincoln Electric Holdings, Inc.		6,146
	300	Lindsay Corp.		7,275
	700	MasTec, Inc. *		6,622
	700	MSC Industrial Direct Co., Inc.-Class A		21,413
	500	Navigant Consulting, Inc. *		6,485
	500	Nordson Corp.		12,450
	700	Old Dominion Freight Line, Inc. *		15,253
	600	Pacer International, Inc.		1,758
	300	Pall Corp.		7,131
	1,100	Polypore International, Inc. *		5,335
	300	Quanex Building Products Corp.		2,103
	600	Raven Industries, Inc.		10,908
	700	Resources Connection, Inc. *		9,625
	200	Robbins & Myers, Inc.		3,226
	500	Robert Half International, Inc.		7,685

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	500	Ryder System, Inc.		11,430
	200	Sauer-Danfoss, Inc.		1,170
	300	Stanley, Inc. *		9,303
	200	Sun Hydraulics Corp.		2,652
	200	Team, Inc. *		2,624
	500	Teledyne Technologies, Inc. *		11,455
	500	Tetra Tech, Inc. *		11,200
	200	Textainer Group Holdings Ltd.		1,182
	300	Titan Machinery, Inc. *		2,769
	300	Valmont Industries, Inc.		13,068
	1,300	Wabtec Corp.		34,788
	300	Waste Connections, Inc. *		7,152
	200	Watsco, Inc.		6,866
	500	Watson Wyatt Worldwide, Inc.		24,555
	1,000	Woodward Governor Co.		17,220
		Total Industrials		644,211
		Information Technology — 17.8%
	300	ACI Worldwide, Inc. *		5,358
	300	ADTRAN, Inc.		4,332
	400	Alliance Data Systems Corp. *		11,840
	1,472	Ansys, Inc. *		29,690
	300	Blackbaud, Inc.		3,072
	100	CACI International, Inc.-Class A *		4,277
	200	Cass Information Systems, Inc.		5,162
	200	Cogent, Inc. *		2,080
	3,800	Compuware Corp. *		22,458
	800	CSG Systems International, Inc. *		10,816
	500	Digital River, Inc. *		11,960
	1,300	Earthlink, Inc. *		8,190
	1,700	F5 Networks, Inc. *		34,000
	300	Faro Technologies, Inc. *		3,567
	3,800	FLIR Systems, Inc. *		77,558
	400	Forrester Research, Inc. *		7,336

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	100	Gartner, Inc. *		1,011
	1,400	Global Payments, Inc.		42,952
	900	Hewitt Associates Inc.-Class A *		26,550
	200	Hittite Microwave Corp. *		5,516
	1,200	Integral Systems, Inc. *		10,956
	800	InterDigital, Inc. *		23,504
	500	IXYS Corp.		4,215
	200	j2 Global Communications, Inc. *		3,746
	900	Jabil Circuit, Inc.		3,726
	800	Mantech International Corp.-Class A *		41,736
	1,400	Micrel, Inc.		9,310
	600	Microsemi Corp. *		6,066
	200	Multi-Fineline Electronix, Inc. *		2,854
	200	National Instruments Corp.		3,446
	100	NCI, Inc. *		2,720
	300	Net 1 UEPS Technologies, Inc. *		4,341
	100	Netlogic Microsystems, Inc. *		2,371
	100	Opnet Technologies, Inc. *		916
	1,700	Parametric Technology Corp. *		13,838
	600	Pegasystems, Inc.		8,598
	200	Pericom Semiconductor Corp. *		1,074
	200	Plexus Corp. *		2,570
	1,700	PMC-Sierra, Inc. *		8,687
	300	Polycom, Inc. *		3,990
	200	Power Integrations, Inc.		3,670
	300	Progress Software Corp. *		4,782
	300	Quality Systems, Inc.		11,613
	400	Radiant Systems, Inc. *		1,124
	500	Renaissance Learning, Inc.		3,555
	500	Rofin-Sinar Technologies, Inc. *		7,325
	300	SAIC, Inc. *		5,673
	200	Scansource, Inc. *		3,174
	700	Semtech Corp. *		8,225
	2,600	Silicon Image, Inc. *		6,032

See accompanying notes to the financial statements.

11

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	300	Silicon Laboratories, Inc. *		6,570
	1,900	Skyworks Solutions, Inc. *		12,350
	300	Sohu.com, Inc. *		14,820
	800	Solera Holdings, Inc. *		16,632
	400	STEC, Inc. *		2,256
	600	Stratasys, Inc. *		5,460
	1,700	Sybase, Inc. *		46,206
	200	Synaptics, Inc. *		4,150
	800	Syntel, Inc.		16,272
	1,400	TeleCommunication Systems, Inc. *		11,550
	200	TNS, Inc. *		1,338
	600	Tyler Technologies, Inc. *		8,166
	800	Volterra Semiconductor Corp. *		6,480
	700	Websense, Inc. *		7,812
		Total Information Technology		691,624
		Materials — 4.0%
	300	Airgas, Inc.		9,237
	100	AptarGroup, Inc.		2,806
	300	Balchem Corp.-Class B		6,225
	100	Ball Corp.		4,029
	400	Calgon Carbon Corp. *		5,860
	1,000	Crown Holdings, Inc. *		21,080
	600	FMC Corp.		24,258
	300	Greif, Inc.-Class A		9,225
	200	Headwaters, Inc. *		396
	300	Innophos Holdings, Inc.		3,186
	100	Koppers Holdings, Inc.		1,336
	800	NewMarket Corp.		27,656
	100	Quaker Chemical Corp.		563
	200	Rock-Tenn Co.-Class A		5,522
	100	Schnitzer Steel Industries, Inc.-Class A		2,864
	300	ShengdaTech, Inc. *		1,038
	100	Silgan Holdings, Inc.		4,906

See accompanying notes to the financial statements.

12

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Materials — continued
	800	Terra Industries, Inc.		20,632
	200	Valhi, Inc.		2,498
		Total Materials		153,317
		Telecommunication Services — 0.3%
	700	Frontier Communications Corp.		5,040
	300	Premiere Global Services, Inc. *		2,508
	300	Syniverse Holdings, Inc. *		4,539
		Total Telecommunication Services		12,087
		Utilities — 0.2%
	600	CenterPoint Energy, Inc.		6,192
	100	Energen Corp.		2,680
		Total Utilities		8,872
		TOTAL COMMON STOCKS (COST $6,045,104)		3,841,094
		SHORT-TERM INVESTMENTS — 2.6%
		Money Market Funds — 2.6%
	101,885	State Street Institutional Treasury Money Market Fund-Institutional Class		101,885
		TOTAL SHORT-TERM INVESTMENTS (COST $101,885)		101,885
		TOTAL INVESTMENTS — 101.6% (Cost $6,146,989)		3,942,979
		Other Assets and Liabilities (net) — (1.6%)		(60,614	)
		TOTAL NET ASSETS — 100.0%	$	3,882,365

See accompanying notes to the financial statements.

13

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	2	Russell 2000 Mini	March 2009	$	77,700	$	(11,554	)

As of February 28, 2009, 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.

See accompanying notes to the financial statements.

14

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $6,146,989) (Note 2)	$	3,942,979
Receivable for investments sold		57,245
Dividends and interest receivable		2,600
Receivable for collateral on open futures contracts (Note 2)		11,000
Receivable for expenses reimbursed by Manager (Note 3)		16,558
Total assets		4,030,382
Liabilities:
Payable for investments purchased		72,096
Payable to affiliate for (Note 3):
Management fee		1,012
Shareholder service fee		489
Trustees and Chief Compliance Officer of GMO Trust fees		15
Payable for variation margin on open futures contracts (Note 2)		1,079
Accrued expenses		73,326
Total liabilities		148,017
Net assets	$	3,882,365
Net assets consist of:
Paid-in capital	$	8,842,451
Accumulated undistributed net investment income		126
Accumulated net realized loss		(2,744,648	)
Net unrealized depreciation		(2,215,564	)
	$	3,882,365
Net assets attributable to:
Class III shares	$	3,882,365
Shares outstanding:
Class III		515,176
Net asset value per share:
Class III	$	7.54

See accompanying notes to the financial statements.

15

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends	$	53,514
Interest		101
Total investment income		53,615
Expenses:
Management fee (Note 3)		20,454
Shareholder service fee – Class III (Note 3)		9,897
Custodian, fund accounting agent and transfer agent fees		52,413
Audit and tax fees		59,001
Legal fees		106
Trustees fees and related expenses (Note 3)		93
Registration fees		276
Miscellaneous		2,984
Total expenses		145,224
Fees and expenses reimbursed by Manager (Note 3)		(114,766	)
Net expenses		30,458
Net investment income (loss)		23,157
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(1,394,724	)
Closed futures contracts		19,951
Net realized gain (loss)		(1,374,773	)
Change in net unrealized appreciation (depreciation) on:
Investments		(1,700,305	)
Open futures contracts		(11,554	)
Net unrealized gain (loss)		(1,711,859	)
Net realized and unrealized gain (loss)		(3,086,632	)
Net increase (decrease) in net assets resulting from operations	$	(3,063,475	)

See accompanying notes to the financial statements.

16

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	23,157		$	59,683
Net realized gain (loss)		(1,374,773	)		1,071,606
Change in net unrealized appreciation (depreciation)		(1,711,859	)		(2,475,643	)
Net increase (decrease) in net assets from operations		(3,063,475	)		(1,344,354	)
Distributions to shareholders from:
Net investment income
Class III		(22,611	)		(57,832	)
Net realized gains
Class III		—			(3,159,111	)
Return of capital
Class III		—			(44,360	)
		(22,611	)		(3,261,303	)
Net share transactions (Note 7):
Class III		(1,236,081	)		(12,589,446	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		6,384			79,121
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(1,229,697	)		(12,510,325	)
Total increase (decrease) in net assets		(4,315,783	)		(17,115,982	)
Net assets:
Beginning of period		8,198,148			25,314,130
End of period (including accumulated undistributed net investment income of $126 and $0, respectively)	$	3,882,365		$	8,198,148

See accompanying notes to the financial statements.

17

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	13.59		$	18.93		$	19.67		$	21.96		$	21.78
Income (loss) from investment operations:
Net investment income (loss)†		0.04			0.06			0.07			0.06			0.03
Net realized and unrealized gain (loss)		(6.05	)		(1.79	)		0.79			2.93			1.96
Total from investment operations		(6.01	)		(1.73	)		0.86			2.99			1.99
Less distributions to shareholders:
From net investment income		(0.04	)		(0.06	)		(0.09	)		(0.07	)		(0.01	)
From net realized gains		—			(3.49	)		(1.51	)		(5.21	)		(1.80	)
Return of capital		—			(0.06	)		—			—			—
Total distributions		(0.04	)		(3.61	)		(1.60	)		(5.28	)		(1.81	)
Net asset value, end of period	$	7.54		$	13.59		$	18.93		$	19.67		$	21.96
Total Return(a)		(44.27	)%		(11.74	)%		4.86	%		14.63	%		10.50	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,882		$	8,198		$	25,314		$	29,804		$	38,801
Net expenses to average daily net assets		0.46	%		0.46	%		0.46	%		0.48	%		0.48	%
Net investment income to average daily net assets		0.35	%		0.30	%		0.38	%		0.30	%		0.16	%
Portfolio turnover rate		127	%		118	%		109	%		87	%		110	%
Fees and expenses reimbursed by the Manager to average daily net assets:		1.74	%		0.48	%		0.60	%		0.35	%		0.26	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.07		$	0.03		$	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.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

18

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 U.S. companies that issue stocks included in the Russell 2500 Index, and in companies with similar market capitalizations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on

19

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	3,841,094	$	—
Level 2 - Other Significant Observable Inputs		101,885		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	3,942,979	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(11,554	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(11,554	)

*  Other financial instruments include futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures

20

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

clearing broker 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other

21

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing

22

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

23

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss			Paid-in Capital
$	(420	)	$	(26	)	$	446

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	22,611	$	1,413,260
Net long-term capital gain		—		1,803,683
Total distributions	$	22,611	$	3,216,943
Tax return of capital		—		44,360
Total distributions	$	22,611	$	3,261,303

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 126

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $830,507.

As of February 28, 2009, 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:

2/28/2017	$	(1,886,733	)
Total	$	(1,886,733	)

24

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	6,185,951	$	30,818	$	(2,273,790	)	$	(2,242,972	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

25

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Purchases and redemptions of Fund shares

As of February 28, 2009, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.31% of the Fund's average daily net assets. Excluded Expenses include 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

26

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $93 and $1, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $8,282,074 and $9,258,901, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 73.57% of the outstanding shares of the Fund were held by five shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and 97.01% of the Fund's shares were held by accounts for which the Manager had investment discretion.

27

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		1,626		$	15,144			626		$	10,677
Shares issued to shareholders in reinvestment of distributions		1,557			15,161			191,266			3,213,436
Shares repurchased		(91,318	)		(1,266,386	)		(925,656	)		(15,813,559	)
Purchase premiums		—			64			—			53
Redemption fees		—			6,320			—			79,068
Net increase (decrease)		(88,135	)	$	(1,229,697	)		(733,764	)	$	(12,510,325	)

28

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 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

29

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.46	%	$	1,000.00	$	530.80	$	1.75
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

30

GMO U.S. Small/Mid Cap Growth Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

33

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

34

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

35

GMO International Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Core Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -48.6% for the fiscal year ended February 28, 2009, as compared to -50.2% 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 slight positive impact on relative performance. This was the result of the overweight in Germany and holding small cash balances in a falling market.

Sector weightings had a strong positive impact on performance relative to the index. During the period, the Fund's underweight to Financials and overweight to Health Care contributed significantly.

Currency allocation also had a strong positive impact on relative performance as the Fund's underweights in the British pound and Australian dollar and overweights in the Japanese yen and Swiss franc added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI EAFE Index returned almost 9% more in local currency terms than in U.S. dollars.

Stock selection had mixed results with the Fund's Financials and Industrials particularly weak. Holdings in British financials Royal Bank of Scotland and HBOS and Dutch financial ING Groep were among the most significant detractors. On the positive side were holdings in European pharmaceuticals GlaxoSmithKline, Sanofi-Aventis, and Novartis, all of which outperformed strongly.

Among GMO's international quantitative stock selection disciplines, stocks ranked highly by intrinsic value (with its boost of high quality) outperformed strongly. Those selected by quality-adjusted value outperformed slightly, while those with strong momentum underperformed somewhat.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.7	%
Short-Term Investments		3.2
Preferred Stocks		0.2
Rights and Warrants		0.0
Forward Currency Contracts		(0.2	)
Futures		(0.6	)
Other		2.7
		100.0	%
Country Summary	% of Equity Investments
Japan		28.4	%
United Kingdom		21.9
France		12.3
Switzerland		10.2
Germany		6.3
Australia		2.8
Italy		2.5
Hong Kong		2.4
Canada		2.3
Netherlands		2.3
Finland		1.7
Sweden		1.6
Singapore		1.4
Spain		1.2
Denmark		0.7
Belgium		0.6
Norway		0.6
Ireland		0.5
Greece		0.2
Austria		0.1
		100.0	%

1

GMO International Core Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Health Care		17.1	%
Financials		13.2
Energy		12.8
Consumer Discretionary		11.6
Consumer Staples		11.4
Materials		8.0
Industrials		7.4
Telecommunication Services		7.1
Utilities		6.3
Information Technology		5.1
		100.0	%

2

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 94.7%
		Australia — 2.7%
	1,089,814	Australia and New Zealand Banking Group Ltd		9,128,312
	225,992	BHP Billiton Ltd		4,069,346
	1,328,717	BlueScope Steel Ltd		1,861,749
	224,165	CSL Ltd		5,184,132
	1,530,765	Foster's Group Ltd		5,359,191
	2,434,000	Incitec Pivot Ltd		3,315,800
	1,918,780	Mirvac Group Ltd		1,017,889
	583,865	Origin Energy Ltd		5,040,184
	1,037,449	Santos Ltd		10,199,526
	2,771,258	Stockland (REIT)		4,746,696
	714,351	TABCORP Holdings Ltd		2,894,689
	3,367,924	Telstra Corp Ltd		7,590,215
	650,743	Woodside Petroleum Ltd		14,810,500
	495,796	Woolworths Ltd		8,238,485
		Total Australia		83,456,714
		Austria — 0.1%
	71,879	OMV AG		1,872,492
		Belgium — 0.6%
	102,100	Belgacom SA		3,323,263
	44,625	Colruyt SA		10,116,700
	892,761	Dexia		1,859,770
	1,316,586	Fortis		2,169,332
		Total Belgium		17,469,065
		Canada — 2.2%
	164,200	Agrium Inc		5,700,923
	424,300	Bank of Montreal		9,435,189
	146,800	Canadian Natural Resources		4,719,478
	141,900	Magna International Inc Class A		3,640,635
	464,400	National Bank of Canada		13,827,599

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 28, 2009

Shares		Description	Value ($)
		Canada — continued
	100,900	Petro-Canada		2,227,065
	179,000	Potash Corp of Saskatchewan Inc		15,024,068
	340,700	Royal Bank of Canada		8,280,494
	275,300	Sun Life Financial Inc		4,308,460
		Total Canada		67,163,911
		Denmark — 0.7%
	205,248	Novo-Nordisk A/S Class B		9,994,229
	247,288	Vestas Wind Systems A/S *		10,767,875
		Total Denmark		20,762,104
		Finland — 1.6%
	270,714	Fortum Oyj		4,649,436
	230,357	KCI Konecranes Oyj		3,730,690
	347,981	Neste Oil Oyj		4,334,636
	1,675,632	Nokia Oyj		15,701,209
	453,372	Outokumpu Oyj		4,586,489
	213,591	Rautaruukki Oyj		3,544,266
	683,523	Sampo Oyj Class A		8,989,794
	415,098	Tietoenator Oyj		5,176,154
		Total Finland		50,712,674
		France — 11.7%
	133,484	Air Liquide SA		9,740,655
	195,826	Alstom		9,188,888
	1,012,948	ArcelorMittal		19,414,903
	694,247	BNP Paribas		22,483,315
	208,822	Cap Gemini SA		5,984,552
	110,509	Casino Guichard-Perrachon SA		6,827,385
	84,390	Cie de Saint-Gobain		1,925,117
	177,294	Essilor International SA		6,118,786
	1,249,621	France Telecom SA		27,926,243
	778,752	GDF Suez		24,592,816

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 28, 2009

Shares		Description	Value ($)
		France — continued
	237,562	Gemalto NV *		5,978,510
	134,758	Hermes International		11,379,445
	105,742	L'Oreal SA		6,802,096
	104,796	Nexans SA		4,021,352
	260,769	Peugeot SA		4,437,343
	191,589	Renault SA		2,751,083
	1,462,899	Sanofi-Aventis		75,188,796
	381,995	Societe Generale		11,840,939
	878,696	STMicroelectronics NV		3,861,455
	88,898	Technip SA		2,877,344
	1,641,392	Total SA		77,115,136
	319,981	UbiSoft Entertainment SA *		4,762,887
	91,287	Unibail-Rodamco (REIT)		11,460,108
	108,072	Vallourec SA		8,411,733
		Total France		365,090,887
		Germany — 5.8%
	95,423	Adidas AG		2,743,245
	40,376	Allianz SE (Registered)		2,710,340
	172,335	BASF AG		4,780,511
	237,224	Bayerische Motoren Werke AG		5,867,873
	187,476	Bilfinger & Berger AG		6,427,074
	118,732	Demag Cranes AG		2,311,770
	2,606,581	Deutsche Telekom AG (Registered)		31,520,898
	313,639	E.ON AG		8,065,200
	233,694	GEA Group AG		2,548,832
	385,105	Hannover Rueckversicherungs AG (Registered)		13,729,146
	434,374	K&S AG		19,335,558
	267,499	Kloeckner & Co AG		2,988,376
	20,847	Linde AG		1,339,675
	33,953	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		4,137,420
	226,283	Norddeutsche Affinerie AG		5,625,440
	54,968	Q-Cells AG *		898,123

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 28, 2009

Shares		Description	Value ($)
		Germany — continued
	84,624	RWE AG		5,382,395
	110,721	Salzgitter AG		6,838,363
	1,123,350	SAP AG		36,087,235
	425,891	SGL Carbon SE *		9,399,363
	352,263	Suedzucker AG		6,239,278
	128,391	ThyssenKrupp AG		2,267,061
		Total Germany		181,243,176
		Greece — 0.2%
	417,152	National Bank of Greece SA		5,099,435
		Hong Kong — 2.3%
	3,887,221	CLP Holdings Ltd		28,736,439
	1,045,300	Hang Seng Bank Ltd		11,563,139
	3,336,000	Hong Kong Electric Holdings Ltd		20,568,153
	952,000	Sun Hung Kai Properties Ltd		7,383,894
	2,113,000	Yue Yuen Industrial Holdings		3,919,373
		Total Hong Kong		72,170,998
		Ireland — 0.4%
	437,030	CRH Plc		8,975,415
	324,709	DCC Plc		4,411,239
		Total Ireland		13,386,654
		Italy — 2.3%
	1,243,442	Bulgari SPA		5,028,159
	722,440	Enel SPA		3,590,681
	2,694,539	ENI SPA		53,781,874
	349,132	Prysmian SPA		2,867,197
	2,739,416	Telecom Italia SPA		3,329,812
	3,164,161	UniCredit SPA		4,007,755
		Total Italy		72,605,478

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 28, 2009

Shares		Description	Value ($)
		Japan — 26.9%
	933,500	Aiful Corp		963,560
	1,066,300	Alps Electric Co Ltd		2,947,095
	484,200	Asahi Breweries Ltd		6,062,881
	447,400	Astellas Pharma Inc		14,846,280
	304,700	Bridgestone Corp		4,149,939
	287,700	Canon Inc		7,260,706
	166,700	Chubu Electric Power Co Inc		4,109,971
	1,680,600	Chuo Mitsui Trust Holdings Inc		5,094,423
	5,319	CyberAgent Inc		2,418,057
	682,550	Daiei Inc *		2,123,537
	741,000	Daiichi Chuo Kisen Kaisha		1,506,999
	469,648	Daiichi Sankyo Co Ltd		7,545,338
	2,860,000	Daikyo Inc		1,262,640
	402,000	Daiwabo Co Ltd		900,510
	1,481	DeNa Co Ltd		4,355,171
	151,800	Don Quijote Co Ltd		1,790,968
	242,100	Eisai Co Ltd		7,417,176
	368,800	FamilyMart Co Ltd		12,441,223
	351,000	Fast Retailing Co Ltd		35,257,964
	3,317,000	Fuji Heavy Industries Ltd		10,569,122
	1,964,000	GS Yuasa Corp		8,067,125
	112,400	Hikari Tsushin Inc		1,811,087
	3,908,000	Hitachi Ltd		9,731,370
	2,159,100	Honda Motor Co Ltd		51,630,117
	1,942	INPEX Corp		13,138,160
	758,000	Iseki & Co Ltd *		1,721,714
	733	Japan Real Estate Investment Corp		5,456,923
	962,000	Japan Steel Works Ltd (The)		8,641,686
	219,300	JFE Holdings Inc		4,745,194
	538,000	JGC Corp		6,131,618
	1,572,000	Kajima Corp		3,286,096
	1,058	Kakaku.com Inc		3,120,408
	862,000	Kao Corp		16,381,604
	2,344,000	Kawasaki Kisen Kaisha Ltd		7,368,991

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	5,671	Kenedix Inc *		392,053
	13,946	KK daVinci Holdings *		349,595
	484,600	Konami Corp		6,840,419
	204,900	Kyushu Electric Power Co Inc		4,852,595
	241,300	Lawson Inc		10,448,729
	2,240,000	Marubeni Corp		6,954,149
	830,000	Matsui Securities Co Ltd		4,745,010
	4,810,000	Mazda Motor Corp		6,076,953
	942,000	Meiji Dairies Corp		3,560,532
	1,314,300	Mitsubishi Corp		16,351,837
	4,474,000	Mitsubishi Heavy Industries Ltd		12,526,934
	2,035,000	Mitsubishi UFJ Financial Group Inc		9,193,365
	150,120	Mitsubishi UFJ Lease & Finance Co Ltd		2,612,456
	899,000	Mitsui OSK Lines Ltd		4,556,747
	9,794,500	Mizuho Financial Group Inc		18,460,578
	419,000	Nikon Corp		3,928,031
	33,000	Nintendo Co Ltd		9,421,484
	802	Nippon Building Fund Inc		6,486,415
	955,000	Nippon Denko Co Ltd		2,616,932
	2,668,000	Nippon Light Metal		1,831,296
	781,000	Nippon Meat Packers Inc		7,560,211
	3,332,000	Nippon Mining Holdings Inc		11,572,506
	2,965,000	Nippon Oil Corp		14,130,684
	170,700	Nippon Paper Group Inc		3,783,947
	1,559,000	Nippon Sheet Glass		3,082,138
	745,800	Nippon Telegraph & Telephone Corp		31,890,004
	1,040,500	Nippon Yakin Koguo Co Ltd		2,003,328
	1,830,000	Nippon Yusen KK		7,549,045
	6,328,900	Nissan Motor Co		19,320,515
	18,209	NTT Docomo Inc		28,366,350
	1,195,000	Obayashi Corp		5,024,265
	1,933,000	OJI Paper Co Ltd		7,149,472
	179,000	Ono Pharmaceutical Co Ltd		8,286,193
	263,040	ORIX Corp		5,343,422

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	5,698,000	Osaka Gas Co Ltd		20,373,204
	1,207,000	Pacific Metals Co Ltd		4,623,328
	946,500	Panasonic Corp		10,958,777
	76,730	Point Inc		3,138,487
	907,800	Resona Holdings Inc		15,565,155
	516,000	Ricoh Company Ltd		5,828,588
	70,300	Rohm Co Ltd		3,357,707
	107,400	Ryohin Keikaku Co Ltd		3,779,080
	219,400	Sankyo Co Ltd		9,846,546
	6,414,000	Sanyo Electric Co Ltd *		9,003,115
	418,000	Seiko Epson Corp		4,782,142
	1,712,700	Seven & I Holdings Co Ltd		37,956,579
	602,000	Shin-Etsu Chemical Co Ltd		26,802,012
	7,348,300	Sojitz Corp		8,257,947
	763,600	SUMCO Corp		9,461,232
	2,330,000	Taisei Corp		4,125,130
	312,000	Taisho Pharmaceutical Co Ltd		5,600,582
	422,400	Takeda Pharmaceutical Co Ltd		17,060,663
	802,130	Takefuji Corp		2,648,268
	955,000	Tokai Carbon Co Ltd		2,995,100
	320,800	Tokio Marine Holdings Inc		7,285,673
	839,600	Tokyo Electric Power Co Inc (The)		23,701,944
	3,217,000	Tokyo Gas Co Ltd		12,887,125
	764,700	Tokyo Steel Manufacturing Co		7,518,141
	358,000	TonenGeneral Sekiyu KK		3,382,744
	85,000	Toyo Suisan Kaisha Ltd		2,011,660
	247,600	Toyota Motor Corp		7,930,540
	1,004,000	UNY Co Ltd		7,342,880
	19,030	USS Co Ltd		767,700
		Total Japan		840,515,892
		Netherlands — 2.2%
	2,910,504	Aegon NV		10,358,720
	456,639	Heineken NV		12,192,589

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 28, 2009

Shares		Description	Value ($)
		Netherlands — continued
	2,561,556	ING Groep NV		11,578,974
	248,831	Koninklijke Ahold NV		2,761,056
	463,184	Koninklijke DSM NV		10,585,364
	206,531	OCE NV		522,403
	385,969	Reed Elsevier NV		4,288,430
	448,420	TomTom NV *		1,587,038
	449,420	Unilever NV		8,611,463
	96,005	Wereldhave NV		6,449,212
		Total Netherlands		68,935,249
		Norway — 0.6%
	349,800	DnB NOR ASA		1,258,299
	640,700	StatoilHydro ASA		10,637,332
	568,500	Tandberg ASA		7,261,127
		Total Norway		19,156,758
		Singapore — 1.3%
	418,200	MobileOne Ltd		419,808
	2,968,000	Oversea-Chinese Banking Corp Ltd		8,479,342
	2,770,000	Singapore Exchange Ltd		7,985,260
	9,990,000	Singapore Telecommunications		15,722,591
	1,259,000	United Overseas Bank Ltd		8,022,541
		Total Singapore		40,629,542
		Spain — 1.1%
	473,490	Banco Santander SA		2,892,506
	988,129	Iberdrola SA		6,425,853
	167,473	Inditex SA		6,282,326
	1,308,309	Mapfre SA		2,659,745
	628,639	Repsol YPF SA		9,601,739
	369,162	Telefonica SA		6,794,077
		Total Spain		34,656,246

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 28, 2009

Shares		Description	Value ($)
		Sweden — 1.5%
	882,150	Boliden AB		2,427,188
	614,620	Electrolux AB Series B		4,181,687
	509,628	Hennes & Mauritz AB Class B		18,904,235
	868,906	Investor AB Class B		9,807,826
	439,871	Nordea Bank AB		2,193,143
	287,881	SKF AB Class B		2,399,731
	531,566	Svenska Handelsbanken AB Class A		6,362,090
	817,433	Swedbank AB		2,113,796
		Total Sweden		48,389,696
		Switzerland — 9.7%
	435,425	ABB Ltd *		5,256,142
	133,618	Actelion Ltd (Registered) *		6,319,000
	158,692	Baloise Holding Ltd		8,986,415
	274,232	Compagnie Financiere Richemont SA Class A		3,621,733
	2,485,765	Nestle SA (Registered)		81,260,728
	3,324,358	Novartis AG (Registered)		121,283,583
	212,425	Roche Holding AG (Non Voting)		24,113,965
	49,565	Swatch Group AG		5,513,381
	114,373	Syngenta AG (Registered)		24,450,383
	91,269	Synthes Inc		10,591,339
	1,195,995	UBS AG (Registered) *		11,199,220
		Total Switzerland		302,595,889
		United Kingdom — 20.8%
	2,061,415	3i Group Plc		5,866,240
	1,316,987	AMEC Plc		10,173,045
	2,062,869	AstraZeneca Plc		65,417,291
	605,978	BAE Systems Plc		3,199,233
	5,624,333	Barclays Plc		7,378,665
	773,962	BBA Aviation Plc		769,066
	121,383	Berkeley Group Holdings Plc (Unit Shares) *		1,500,781
	4,290,547	BG Group Plc		61,330,721
	467,257	BHP Billiton Plc		7,282,120

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	1,508,410	BP Plc		9,609,723
	1,032,375	British American Tobacco Plc		26,387,876
	799,016	Burberry Group Plc		2,915,385
	1,012,231	Cadbury Plc		7,706,656
	922,925	Capita Group Plc		8,709,082
	1,015,724	Centrica Plc		3,906,177
	3,328,028	Compass Group Plc		14,621,482
	1,187,588	Diageo Plc		13,694,376
	1,242,683	Drax Group Plc		9,180,480
	13,524,251	DSG International Plc		3,889,689
	904,518	FirstGroup Plc		3,454,944
	1,287,164	Game Group Plc		2,675,975
	7,824,033	GlaxoSmithKline Plc		118,665,543
	1,966,803	Home Retail Group Plc		5,928,686
	1,563,809	HSBC Holdings Plc		10,876,514
	272,340	Imperial Tobacco Group Plc		6,520,347
	1,813,596	Kesa Electricals Plc		2,727,979
	1,635,207	Kingfisher Plc		2,930,417
	1,721,764	Ladbrokes Plc		4,251,174
	13,667,932	Lloyds Banking Group Plc		11,219,724
	570,490	London Stock Exchange		3,501,822
	783,454	Michael Page International Plc		2,401,106
	589,229	Next Plc		9,771,148
	2,479,706	Northern Foods Plc		1,648,950
	2,879,960	Old Mutual Plc		1,692,471
	238,180	Provident Financial Plc		2,772,394
	347,624	Reckitt Benckiser Group Plc		13,302,014
	445,935	Rio Tinto Plc		11,383,448
	14,797,653	Royal Bank of Scotland Group Plc		4,819,433
	567,226	Royal Dutch Shell Group Class A (Amsterdam)		12,400,533
	1,399,139	Royal Dutch Shell Plc A Shares (London)		30,717,120
	714,403	Royal Dutch Shell Plc B Shares (London)		14,995,915
	290,705	Scottish & Southern Energy Plc		4,737,176
	498,897	Signet Jewelers Ltd		3,800,441

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	636,019	Smith & Nephew Plc		4,507,098
	258,995	Spectris Plc		1,585,851
	2,795,756	Stagecoach Group Plc		4,598,362
	1,943,781	Tesco Plc		9,218,306
	1,802,618	Tomkins Plc		2,895,981
	753,808	Travis Perkins Plc		3,492,890
	1,999,628	Trinity Mirror Plc		878,839
	403,096	Unilever Plc		7,786,897
	30,886,294	Vodafone Group Plc		54,727,156
	585,628	WH Smith Plc		2,807,668
	2,673,076	Wolseley Plc		6,750,815
		Total United Kingdom		649,983,225
		TOTAL COMMON STOCKS (COST $5,385,837,101)		2,955,896,085
		PREFERRED STOCKS — 0.2%
		Germany — 0.2%
	151,008	Volkswagen AG 5.36%		6,766,556
		TOTAL PREFERRED STOCKS (COST $13,630,996)		6,766,556
		RIGHTS AND WARRANTS — 0.0%
		France — 0.0%
	102,702	Cie de Saint-Gobain Warrants, Expires 03/06/09 *		151,033
		TOTAL RIGHTS AND WARRANTS (COST $590,732)		151,033

See accompanying notes to the financial statements.

13

GMO International Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.2%
	25,428	Bank of Tokyo-Mitsubishi Time Deposit, 0.08%, due 03/02/09		25,428
	25,000,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		25,000,000
	46,723	Brown Brothers Harriman Time Deposit, 0.02%-2.45%, due 03/02/09		46,723
	4,470,041	Citibank Time Deposit, 0.05%-2.29%, due 03/02/09		4,470,041
	235,272	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/02/09		235,272
	25,000,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		25,000,000
	72,376	JPMorgan Chase Time Deposit, 0.01%, due 03/02/09		72,376
	17,400,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		17,400,000
	25,637,197	Societe Generale Time Deposit, 0.25%-0.33%, due 03/02/09		25,637,197
		TOTAL SHORT-TERM INVESTMENTS (COST $97,887,037)		97,887,037
		TOTAL INVESTMENTS — 98.1% (Cost $5,497,945,866)		3,060,700,711
		Other Assets and Liabilities (net) — 1.9%		59,991,422
		TOTAL NET ASSETS — 100.0%	$	3,120,692,133

See accompanying notes to the financial statements.

14

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	CAD		5,859,000	$	4,605,725	$	(98,750	)
4/24/09	CAD		6,247,000		4,910,729		(65,652	)
4/24/09	CHF		31,165,656		26,670,716		151,944
4/24/09	CHF		31,165,656		26,670,716		107,644
4/24/09	CHF		32,110,070		27,478,919		78,092
4/24/09	EUR		22,557,782		28,590,244		107,593
4/24/09	EUR		22,557,782		28,590,244		253,609
4/24/09	GBP		12,799,462		18,321,816		(222,365	)
4/24/09	HKD		92,032,935		11,872,470		(1,215	)
4/24/09	JPY		2,291,142,592		23,501,773		(1,433,635	)
4/24/09	JPY		2,291,142,592		23,501,773		(1,422,269	)
4/24/09	NZD		38,355,000		19,141,280		(297,072	)
4/24/09	SEK		187,712,160		20,839,818		(693,844	)
4/24/09	SEK		187,712,160		20,839,818		(692,238	)
4/24/09	SEK		187,712,160		20,839,818		(667,321	)
4/24/09	SEK		187,712,160		20,839,818		(639,087	)
4/24/09	SEK		187,712,160		20,839,818		(648,806	)
4/24/09	SEK		187,712,160		20,839,818		(606,505	)
4/24/09	SEK		187,712,160		20,839,818		(433,333	)
				$	389,735,131	$	(7,223,210	)
Sales
4/24/09	AUD		25,115,797	$	16,001,291	$	(27,845	)
4/24/09	AUD		25,115,797		16,001,291		(47,737	)
4/24/09	CAD		21,452,390		16,863,595		105,346
4/24/09	CAD		21,452,390		16,863,595		97,229
4/24/09	CAD		21,452,390		16,863,595		79,065
4/24/09	CAD		21,452,390		16,863,595		94,079
4/24/09	DKK		55,964,277		9,505,860		(87,911	)
4/24/09	DKK		55,964,277		9,505,860		(90,288	)
4/24/09	GBP		40,149,287		57,471,777		(211,868	)

See accompanying notes to the financial statements.

15

GMO International Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
4/24/09	GBP		20,074,644	$	28,735,889	$	(113,923	)
4/24/09	GBP		20,074,644		28,735,889		(110,350	)
4/24/09	GBP		20,074,644		28,735,889		(116,352	)
4/24/09	NOK		58,746,992		8,341,939		24,164
4/24/09	NOK		58,746,992		8,341,939		(22,014	)
4/24/09	SGD		16,173,191		10,445,864		148,524
				$	289,277,868	$	(279,881	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	264	DAX	March 2009	$	31,810,892	$	(6,408,230	)
	61	MSCI Singapore	March 2009		1,494,157		(22,780	)
	451	S&P/MIB	March 2009		43,246,515		(13,928,146	)
	455	TOPIX	March 2009		34,918,343		(3,451,804	)
				$	111,469,907	$	(23,810,960	)
Sales
	103	FTSE 100	March 2009	$	5,561,266	$	741,018
	462	S&P Toronto 60	March 2009		35,501,588		3,173,533
				$	41,062,854	$	3,914,551

As of February 28, 2009, 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 Core Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

See accompanying notes to the financial statements.

17

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $5,497,945,866) (Note 2)	$	3,060,700,711
Receivable for investments sold		677,338
Receivable for Fund shares sold		37,936,037
Dividends and interest receivable		10,662,694
Foreign taxes receivable		1,412,245
Unrealized appreciation on open forward currency contracts (Note 2)		1,247,289
Receivable for collateral on open futures contracts (Note 2)		22,654,710
Receivable for expenses reimbursed by Manager (Note 3)		75,964
Total assets		3,135,366,988
Liabilities:
Due to custodian		6,062
Payable for investments purchased		449,367
Payable for Fund shares repurchased		1,036,593
Payable to affiliate for (Note 3):
Management fee		980,914
Shareholder service fee		204,779
Trustees and Chief Compliance Officer of GMO Trust fees		12,276
Payable for variation margin on open futures contracts (Note 2)		2,089,202
Unrealized depreciation on open forward currency contracts (Note 2)		8,750,380
Miscellaneous payable		417,299
Accrued expenses		727,983
Total liabilities		14,674,855
Net assets	$	3,120,692,133

See accompanying notes to the financial statements.

18

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	6,071,011,459
Accumulated undistributed net investment income		39,924,821
Accumulated net realized loss		(525,638,127	)
Net unrealized depreciation		(2,464,606,020	)
	$	3,120,692,133
Net assets attributable to:
Class III shares	$	855,689,646
Class IV shares	$	1,166,164,690
Class VI shares	$	1,098,837,797
Shares outstanding:
Class III		47,144,700
Class IV		64,296,997
Class VI		60,616,111
Net asset value per share:
Class III	$	18.15
Class IV	$	18.14
Class VI	$	18.13

See accompanying notes to the financial statements.

19

GMO International Core Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $15,680,741)	$	159,953,249
Securities lending income		3,190,580
Interest		2,583,156
Total investment income		165,726,985
Expenses:
Management fee (Note 3)		17,737,003
Shareholder service fee – Class III (Note 3)		1,261,152
Shareholder service fee – Class IV (Note 3)		727,244
Shareholder service fee – Class VI (Note 3)		1,660,348
Custodian and fund accounting agent fees		1,948,916
Transfer agent fees		49,945
Audit and tax fees		102,533
Legal fees		111,095
Trustees fees and related expenses (Note 3)		69,308
Registration fees		22,060
Miscellaneous		76,230
Total expenses		23,765,834
Fees and expenses reimbursed by Manager (Note 3)		(2,276,350	)
Expense reductions (Note 2)		(26,942	)
Net expenses		21,462,542
Net investment income (loss)		144,264,443
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(433,292,357	)
Closed futures contracts		(99,183,590	)
Foreign currency, forward contracts and foreign currency related transactions		36,480,784
Net realized gain (loss)		(495,995,163	)
Change in net unrealized appreciation (depreciation) on:
Investments		(2,397,648,991	)
Open futures contracts		3,521,749
Foreign currency, forward contracts and foreign currency related transactions		(19,687,169	)
Net unrealized gain (loss)		(2,413,814,411	)
Net realized and unrealized gain (loss)		(2,909,809,574	)
Net increase (decrease) in net assets resulting from operations	$	(2,765,545,131	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	144,264,443		$	130,597,450
Net realized gain (loss)		(495,995,163	)		262,829,020
Change in net unrealized appreciation (depreciation)		(2,413,814,411	)		(538,336,524	)
Net increase (decrease) in net assets from operations		(2,765,545,131	)		(144,910,054	)
Distributions to shareholders from:
Net investment income
Class III		(33,600,867	)		(15,752,992	)
Class IV		(33,761,743	)		(13,850,618	)
Class VI		(125,844,027	)		(70,382,406	)
Total distributions from net investment income		(193,206,637	)		(99,986,016	)
Net realized gains
Class III		(7,902,343	)		(44,597,287	)
Class IV		(7,358,071	)		(40,295,188	)
Class VI		(28,358,623	)		(183,168,178	)
Total distributions from net realized gains		(43,619,037	)		(268,060,653	)
		(236,825,674	)		(368,046,669	)
Net share transactions (Note 7):
Class III		495,120,468			81,033,866
Class IV		741,372,190			308,789,561
Class VI		(545,537,754	)		2,587,884,351
Increase (decrease) in net assets resulting from net share transactions		690,954,904			2,977,707,778
Total increase (decrease) in net assets		(2,311,415,901	)		2,464,751,055
Net assets:
Beginning of period		5,432,108,034			2,967,356,979
End of period (including accumulated undistributed net investment income of $39,924,821 and $60,260,648, respectively)	$	3,120,692,133		$	5,432,108,034

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	37.25		$	39.38		$	35.23		$	30.81		$	26.75
Income (loss) from investment operations:
Net investment income (loss)†		0.92			1.01			0.86			0.72			0.55
Net realized and unrealized gain (loss)		(18.54	)		(0.51	)		6.06			4.79			4.54
Total from investment operations		(17.62	)		0.50			6.92			5.51			5.09
Less distributions to shareholders:
From net investment income		(1.19	)		(0.68	)		(0.77	)		(0.16	)		(0.54	)
From net realized gains		(0.29	)		(1.95	)		(2.00	)		(0.93	)		(0.49	)
Total distributions		(1.48	)		(2.63	)		(2.77	)		(1.09	)		(1.03	)
Net asset value, end of period	$	18.15		$	37.25		$	39.38		$	35.23		$	30.81
Total Return(a)		(48.61	)%		0.69	%		20.04	%		18.26	%		19.20	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	855,690		$	917,685		$	877,816		$	820,336		$	321,463
Net expenses to average daily net assets		0.53	%(b)		0.53	%(b)		0.53	%		0.54	%		0.55	%
Net investment income to average daily net assets		3.08	%		2.44	%		2.29	%		2.26	%		1.98	%
Portfolio turnover rate		41	%		43	%		47	%		43	%		45	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		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.

(b)  The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the 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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	37.23		$	39.36		$	35.21		$	30.80		$	26.75
Income (loss) from investment operations:
Net investment income (loss)†		0.94			1.04			0.85			0.65			0.56
Net realized and unrealized gain (loss)		(18.53	)		(0.52	)		6.09			4.87			4.54
Total from investment operations		(17.59	)		0.52			6.94			5.52			5.10
Less distributions to shareholders:
From net investment income		(1.21	)		(0.70	)		(0.79	)		(0.18	)		(0.56	)
From net realized gains		(0.29	)		(1.95	)		(2.00	)		(0.93	)		(0.49	)
Total distributions		(1.50	)		(2.65	)		(2.79	)		(1.11	)		(1.05	)
Net asset value, end of period	$	18.14		$	37.23		$	39.36		$	35.21		$	30.80
Total Return(a)		(48.56	)%		0.75	%		20.14	%		18.31	%		19.24	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,166,165		$	947,063		$	711,712		$	1,183,535		$	255,580
Net expenses to average daily net assets		0.47	%(b)		0.47	%(b)		0.47	%		0.48	%		0.49	%
Net investment income to average daily net assets		3.18	%		2.51	%		2.27	%		1.98	%		2.01	%
Portfolio turnover rate		41	%		43	%		47	%		43	%		45	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		0.11	%		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.

(b)  The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	37.22		$	39.35		$	36.09
Income (loss) from investment operations:
Net investment income (loss)†		0.92			0.98			0.74
Net realized and unrealized gain (loss)		(18.50	)		(0.45	)		5.33
Total from investment operations		(17.58	)		0.53			6.07
Less distributions to shareholders:
From net investment income		(1.22	)		(0.71	)		(0.81	)
From net realized gains		(0.29	)		(1.95	)		(2.00	)
Total distributions		(1.51	)		(2.66	)		(2.81	)
Net asset value, end of period	$	18.13		$	37.22		$	39.35
Total Return(b)		(48.56	)%		0.78	%		17.24	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,098,838		$	3,567,360		$	1,377,829
Net expenses to average daily net assets		0.44	%(c)		0.44	%(c)		0.44	%*
Net investment income to average daily net assets		3.07	%		2.36	%		2.11	%*
Portfolio turnover rate		41	%		43	%		47	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%*

(a)  Period from March 28, 2006 (commencement of operations) through February 28, 2007.

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

(c)  The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

24

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 (Europe, Australasia, and Far East). The Fund typically makes equity investments in companies from developed countries, other than the U.S.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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

25

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

occur after that close but before the close of the NYSE. As a result, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 88.78% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	289,956,265	$	3,173,533
Level 2 - Other Significant Observable Inputs		2,770,744,446		1,988,307
Level 3 - Significant Unobservable Inputs		—		—
Total	$	3,060,700,711	$	5,161,840

*  Other financial instruments include forward currency contracts and futures contracts.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(32,561,340	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(32,561,340	)

**  Other financial instruments include forward currency contracts and futures contracts.

26

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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,

27

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from the proceeds on the closing transaction to determine the realized gain or loss. The risk associated

28

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

with purchasing put and call options is limited to the premium paid. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

29

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. As of February 28, 2009 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

30

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions, passive foreign investment company 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	28,606,367	$	(28,606,367	)	$	—

31

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	193,221,407	$	172,283,394
Net long-term capital gain		43,604,267		195,763,275
Total distributions	$	236,825,674	$	368,046,669

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including
any net short-term capital gain) $ 33,081,380

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $283,595,779.

As of February 28, 2009, 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:

2/28/2017	$	(215,235,940	)
Total	$	(215,235,940	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	5,524,475,074	$	9,084,889	$	(2,472,859,252	)	$	(2,463,774,363	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or

32

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and

33

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.38% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.09% for Class IV shares and 0.055% for Class VI shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.38% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fee paid by the Trust to the independent Trustees and CCO during the year ended February 28, 2009 was $54,686 and $33,947, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $2,357,605,587 and $1,848,090,031, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves future claims that may be made

34

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

against the Fund that have not yet occurred. Based on experience, management is of the view that the risk of loss in connection with its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 22.63% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 40.78% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		24,667,921		$	554,316,558			11,949,449		$	492,041,742
Shares issued to shareholders in reinvestment of distributions		1,343,947			36,964,534			1,414,279			58,116,527
Shares repurchased		(3,502,126	)		(96,160,624	)		(11,019,208	)		(469,124,403	)
Net increase (decrease)		22,509,742		$	495,120,468			2,344,520		$	81,033,866
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		56,498,768		$	1,087,585,834			15,988,725		$	658,843,076
Shares issued to shareholders in reinvestment of distributions		1,320,611			35,699,368			1,206,587			49,719,301
Shares repurchased		(18,958,207	)		(381,913,012	)		(9,841,902	)		(399,772,816	)
Net increase (decrease)		38,861,172		$	741,372,190			7,353,410		$	308,789,561

35

GMO International Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		22,188,760		$	566,965,336			74,361,787		$	3,110,181,310
Shares issued to shareholders in reinvestment of distributions		5,699,175			154,153,325			6,180,798			253,296,700
Shares repurchased		(63,112,155	)		(1,266,656,415	)		(19,719,605	)		(775,593,659	)
Net increase (decrease)		(35,224,220	)	$	(545,537,754	)		60,822,980		$	2,587,884,351

36

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

37

GMO International Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

38

GMO International Core Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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	$	557.00	$	2.05
2) Hypothetical		0.53	%	$	1,000.00	$	1,022.17	$	2.66
Class IV
1) Actual		0.48	%	$	1,000.00	$	557.30	$	1.85
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41
Class VI
1) Actual		0.44	%	$	1,000.00	$	557.40	$	1.70
2) Hypothetical		0.44	%	$	1,000.00	$	1,022.61	$	2.21

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

39

GMO International Core Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $43,604,267 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $15,659,311 and recognized foreign source income of $175,612,560.

For taxable, non-corporate shareholders, 70.65% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

42

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

43

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

44

GMO International Growth Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Growth Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -43.5% for the fiscal year ended February 28, 2009, as compared to -50.2% for the MSCI EAFE Index and -49.1% for the MSCI EAFE Growth Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in international equity securities throughout the period.

Relative to the EAFE Growth Index, stock selection made a strong positive contribution, particularly within Health Care and Energy. Among the most significant contributors were holdings in French oil company Total, British pharmaceutical GlaxoSmithKline, and British energy company BG Group, all of which outperformed. Overweight positions in French steel maker ArcelorMittal, Swedish energy company Vostok Gas SDR, and Finnish cell phone maker Nokia detracted from returns.

Among GMO's international quantitative stock selection disciplines, stocks selected for their high quality characteristics outperformed very strongly. Those stocks ranked highly by intrinsic value (with its boost of high quality) outperformed significantly, while those with strong momentum underperformed.

Country allocation had a positive impact on relative performance. This was mainly from underweights in Italy and Japan and holding small cash balances in a falling market.

Currency allocation also had a strong positive impact on relative performance as the Fund's underweights in the British pound and Australian dollar and overweight in the Japanese yen added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI EAFE Index returned almost 9% more in local currency terms than in U.S. dollars.

Sector weightings had a strong positive impact on performance relative to the index. During the period, the Fund's underweight to Financials and overweight to Health Care contributed significantly.

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.

*   Effective January 1, 2009, the benchmark for the International Growth Equity Fund was changed from the S&P EPAC Large Mid Cap Growth Index to the MSCI EAFE Growth Index. This change was applicable retroactively as well as going forward.

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

GMO International Growth Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.3	%
Short-Term Investments		4.5
Futures		(0.3	)
Forward Currency Contracts		(0.7	)
Other		2.2
		100.0	%
Country Summary	% of Equity Investments
United Kingdom		24.5	%
Japan		21.7
Switzerland		16.2
France		8.3
Germany		5.3
Australia		4.7
Canada		4.5
Spain		3.4
Denmark		2.6
Hong Kong		2.4
Netherlands		1.9
Finland		1.1
Singapore		1.0
Sweden		0.9
Norway		0.6
Greece		0.5
Belgium		0.2
Austria		0.1
Ireland		0.1
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		25.0	%
Consumer Staples		18.0
Energy		10.4
Materials		10.4
Consumer Discretionary		8.4
Industrials		7.6
Information Technology		7.1
Telecommunication Services		5.8
Utilities		5.2
Financials		2.1
		100.0	%

1

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 94.3%
		Australia — 4.4%
	187,432	Australian Stock Exchange Ltd		3,123,583
	424,392	BHP Billiton Ltd		7,641,854
	772,562	Brambles Ltd		2,257,351
	289,777	CSL Ltd		6,701,502
	1,011,812	Foster's Group Ltd		3,542,342
	1,100,514	Harvey Norman Holdings Ltd		1,327,927
	2,201,219	Incitec Pivot Ltd		2,998,686
	1,369,807	Origin Energy Ltd		11,824,787
	398,318	QBE Insurance Group Ltd		4,784,037
	172,798	Rio Tinto Ltd		5,084,282
	1,403,836	Telstra Corp Ltd		3,163,794
	717,755	Woodside Petroleum Ltd		16,335,650
	1,137,492	Woolworths Ltd		18,901,345
		Total Australia		87,687,140
		Austria — 0.1%
	82,392	Oesterreichische Elektrizitaetswirtschafts AG Class A		2,534,247
		Belgium — 0.2%
	18,049	Colruyt SA		4,091,794
		Canada — 4.2%
	180,300	Agrium Inc		6,259,905
	461,300	Canadian National Railway Co		14,815,845
	163,700	Canadian Natural Resources		5,262,797
	85,800	Canadian Pacific Railway Ltd		2,427,920
	175,300	Enbridge Inc		5,249,906
	106,300	EnCana Corp		4,194,513
	98,500	Husky Energy Inc		2,105,958
	76,100	IGM Financial Inc		1,672,501
	332,400	Potash Corp of Saskatchewan Inc		27,899,443

See accompanying notes to the financial statements.

2

GMO International Growth Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Canada — continued
	150,700	Research In Motion Ltd *		6,022,314
	228,200	Shoppers Drug Mart Corp		7,761,527
		Total Canada		83,672,629
		Denmark — 2.5%
	291	AP Moller-Maersk A/S Class A		1,369,278
	222,900	H Lundbeck A/S		4,733,020
	605,002	Novo-Nordisk A/S Class B		29,459,621
	314,075	Vestas Wind Systems A/S *		13,676,039
		Total Denmark		49,237,958
		Finland — 1.0%
	164,805	Alma Media Corp		1,124,741
	96,409	Amer Sports Oyj Class A		672,908
	233,762	Fortum Oyj		4,014,796
	162,031	Kone Oyj Class B		3,339,552
	692,373	Nokia Oyj		6,487,757
	335,092	Nokian Renkaat Oyj		3,947,064
		Total Finland		19,586,818
		France — 7.8%
	113,649	Air Liquide SA		8,293,246
	1,111,424	ArcelorMittal		21,302,366
	54,092	Dassault Systemes SA		1,874,591
	68,842	Electricite de France		2,667,901
	197,657	Essilor International SA		6,821,555
	181,508	Groupe Danone		8,613,702
	63,085	Hermes International		5,327,122
	148,636	L'Oreal SA		9,561,350
	28,972	Neopost SA		2,102,412
	681,207	Sanofi-Aventis		35,012,078
	967,145	Total SA		45,437,969
	63,664	Vallourec SA		4,955,257
	129,236	Veolia Environnement		2,775,579
		Total France		154,745,128

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 28, 2009

Shares		Description	Value ($)
		Germany — 5.0%
	154,460	Adidas AG		4,440,456
	311,062	Aixtron AG		1,240,740
	106,132	Beiersdorf AG		4,395,832
	1,345,154	Deutsche Telekom AG (Registered)		16,266,697
	165,589	Fresenius Medical Care AG & Co		6,732,771
	338,788	K&S AG		15,080,680
	79,836	Norddeutsche Affinerie AG		1,984,739
	10,739	Puma AG Rudolf Dassler Sport		1,605,135
	1,343,048	SAP AG		43,144,958
	211,127	SGL Carbon SE *		4,659,547
		Total Germany		99,551,555
		Greece — 0.4%
	105,198	Coca Cola Hellenic Bottling Co SA		1,273,820
	168,560	National Bank of Greece SA		2,060,546
	208,439	OPAP SA		5,358,749
		Total Greece		8,693,115
		Hong Kong — 2.3%
	1,721,500	CLP Holdings Ltd		12,726,258
	1,009,200	Esprit Holdings Ltd		5,434,969
	472,400	Hang Seng Bank Ltd		5,225,702
	3,579,400	Hong Kong & China Gas		5,397,912
	92,800	Hong Kong Aircraft Engineering Co Ltd		829,317
	1,618,000	Hong Kong Electric Holdings Ltd		9,975,801
	1,480,000	Li & Fung Ltd		3,207,136
	4,242,000	PCCW Ltd		1,964,713
		Total Hong Kong		44,761,808
		Ireland — 0.1%
	124,498	CRH Plc		2,556,852

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 28, 2009

Shares		Description	Value ($)
		Japan — 20.5%
	316,400	Astellas Pharma Inc		10,499,247
	681,650	Canon Inc		17,202,850
	1,028	Central Japan Railway Co		6,245,236
	351,600	Daiichi Sankyo Co Ltd		5,648,786
	291,800	Daikin Industries Ltd		6,352,422
	77,300	East Japan Railway Co		4,629,318
	236,700	Eisai Co Ltd		7,251,738
	126,900	Fanuc Ltd		8,264,475
	183,000	Fast Retailing Co Ltd		18,382,357
	44,300	Hirose Electric Co Ltd		3,803,680
	117,200	Hisamitsu Pharmaceutical Co Inc		3,539,492
	621,000	Honda Motor Co Ltd		14,849,846
	455,400	Hoya Corp		8,252,973
	1,163	INPEX Corp		7,868,012
	85,300	Ito En Ltd		1,087,677
	411,000	Japan Steel Works Ltd (The)		3,692,030
	1,730	Japan Tobacco Inc		4,126,483
	403,000	JGC Corp		4,593,015
	689,000	Kao Corp		13,093,881
	52,300	Keyence Corp		9,871,051
	138,500	Lawson Inc		5,997,302
	1,153,000	Marubeni Corp		3,579,524
	1,297,500	Mitsubishi Corp		16,142,820
	2,333,000	Mitsubishi Heavy Industries Ltd		6,532,261
	1,298,900	Mizuho Financial Group Inc		2,448,154
	71,300	Murata Manufacturing Co Ltd		2,707,055
	398,000	Nikon Corp		3,731,161
	40,200	Nintendo Co Ltd		11,477,081
	401,000	Nippon Denko Co Ltd		1,098,837
	921,000	Nippon Yusen KK		3,799,273
	93,900	Nissha Printing Co Ltd		2,329,920
	144,000	Nomura Research Institute		2,267,722
	7,233	NTT Docomo Inc		11,267,714

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	1,361,000	OJI Paper Co Ltd		5,033,849
	178,000	Olympus Corp		2,348,179
	36,100	Ono Pharmaceutical Co Ltd		1,671,126
	1,472,000	Panasonic Corp		17,043,126
	10,994	Rakuten Inc		5,657,186
	38,000	Rohm Co Ltd		1,814,977
	104,300	Sankyo Co Ltd		4,680,924
	64,100	Secom Co		2,199,833
	876,600	Seven & I Holdings Co Ltd		19,427,066
	27,200	Shimamura Co Ltd		1,403,888
	387,700	Shin-Etsu Chemical Co Ltd		17,261,030
	434,000	Shionogi & Co Ltd		7,047,728
	225,000	Shiseido Co Ltd		3,313,510
	2,717,000	Sumitomo Metal Industries Ltd		5,089,703
	668,700	Takeda Pharmaceutical Co Ltd		27,008,677
	270,400	Terumo Corp		8,286,719
	141,900	Tokio Marine Holdings Inc		3,222,684
	748,100	Tokyo Electric Power Co Inc (The)		21,118,895
	110,900	Toyoda Gosei Co Ltd		1,499,634
	90,800	Toyota Motor Corp		2,908,292
	77,900	Unicharm Corp		5,089,238
	24,923	Yahoo Japan Corp		7,129,267
	84,900	Yamada Denki Co Ltd		3,080,147
		Total Japan		405,969,071
		Netherlands — 1.8%
	235,511	Heineken NV		6,288,312
	185,009	Koninklijke DSM NV		4,228,099
	678,086	Koninklijke KPN NV		8,675,350
	220,429	Reed Elsevier NV		2,449,146
	706,501	Unilever NV		13,537,464
		Total Netherlands		35,178,371

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 28, 2009

Shares		Description	Value ($)
		Norway — 0.6%
	529,650	StatoilHydro ASA		8,793,605
	146,980	Yara International ASA		3,110,396
		Total Norway		11,904,001
		Singapore — 0.9%
	1,471,000	Keppel Land Ltd		1,216,337
	1,606,000	Singapore Press Holdings Ltd		2,808,256
	2,318,000	Singapore Technologies Engineering Ltd		3,424,096
	6,682,500	Singapore Telecommunications		10,517,139
		Total Singapore		17,965,828
		Spain — 3.3%
	327,418	Iberdrola SA		2,129,216
	203,199	Inditex SA		7,622,496
	1,053,264	Mapfre SA		2,141,248
	104,344	Red Electrica de Espana		4,184,797
	2,204,850	Telefonica SA		40,578,177
	344,018	Union Fenosa SA		7,753,193
		Total Spain		64,409,127
		Sweden — 0.9%
	468,703	Hennes & Mauritz AB Class B		17,386,155
		Switzerland — 15.2%
	245,367	Compagnie Financiere Richemont SA Class A		3,240,518
	26,545	Geberit AG (Registered)		2,377,741
	54,298	Lonza Group AG (Registered)		5,209,062
	2,619,618	Nestle SA (Registered)		85,636,440
	2,621,683	Novartis AG (Registered)		95,647,673
	513,370	Roche Holding AG (Non Voting)		58,276,502
	5,392	SGS SA (Registered)		4,865,177
	19,477	Swatch Group AG		2,166,531
	11,174	Swisscom AG (Registered)		3,346,989

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 28, 2009

Shares		Description	Value ($)
		Switzerland — continued
	111,686	Syngenta AG (Registered)		23,875,963
	152,849	Synthes Inc		17,737,409
		Total Switzerland		302,380,005
		United Kingdom — 23.1%
	137,201	Anglo American Plc		1,935,316
	1,039,359	AstraZeneca Plc		32,959,946
	474,980	Autonomy Corp Plc *		8,186,024
	4,831,996	BG Group Plc		69,070,401
	366,707	BHP Billiton Plc		5,715,065
	1,043,329	British American Tobacco Plc		26,667,864
	578,429	Burberry Group Plc		2,110,525
	455,439	Cadbury Plc		3,467,501
	1,064,945	Capita Group Plc		10,049,238
	2,570,529	Centrica Plc		9,885,502
	1,436,721	Cobham Plc		3,943,521
	2,520,964	Diageo Plc		29,069,870
	629,647	Drax Group Plc		4,651,598
	6,416,651	GlaxoSmithKline Plc		97,320,062
	1,008,988	HSBC Holdings Plc		7,017,655
	424,438	Imperial Tobacco Group Plc		10,161,867
	1,353,738	Man Group Plc		3,292,681
	255,079	Next Plc		4,229,959
	565,177	Petrofac Ltd		3,774,971
	1,105,550	Reckitt Benckiser Group Plc		42,304,449
	1,159,107	Reed Elsevier Plc		8,659,130
	693,365	Rio Tinto Plc		17,699,630
	326,187	Royal Dutch Shell Plc A Shares (London)		7,161,208
	409,857	Scottish & Southern Energy Plc		6,678,814
	492,089	Smith & Nephew Plc		3,487,149
	311,560	Standard Chartered Plc		2,936,211
	1,040,647	Tesco Plc		4,935,228
	783,416	Tullow Oil Plc		8,135,639
	261,232	Unilever Plc		5,046,408

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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		United Kingdom — continued
	7,238,224	Vodafone Group Plc		12,825,346
	471,008	Xstrata Plc		4,640,229
		Total United Kingdom		458,019,007
		TOTAL COMMON STOCKS (COST $2,929,986,355)		1,870,330,609
		SHORT-TERM INVESTMENTS — 4.5%
	10,800,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		10,800,000
	58,337	Brown Brothers Harriman Time Deposit, 0.01% - 2.45%, due 03/02/09		58,337
	3,348,095	Citibank Time Deposit, 0.05% - 0.08%, due 03/02/09		3,348,095
	74,146	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/02/09		74,146
	25,000,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		25,000,000
	25,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		25,000,000
	25,130,625	Societe Generale Time Deposit, 0.25% - 0.33%, due 03/02/09		25,130,625
		TOTAL SHORT-TERM INVESTMENTS (COST $89,411,203)		89,411,203
		TOTAL INVESTMENTS — 98.8% (Cost $3,019,397,558)		1,959,741,812
		Other Assets and Liabilities (net) — 1.2%		24,732,583
		TOTAL NET ASSETS — 100.0%	$	1,984,474,395

See accompanying notes to the financial statements.

9

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	CHF		53,863,444	$	46,094,862	$	(422,552	)
4/24/09	CHF		4,874,940		4,171,840		(9,069	)
4/24/09	EUR		13,060,238		16,552,842		102,558
4/24/09	GBP		17,217,159		24,645,537		(299,114	)
4/24/09	JPY		5,209,544,269		53,437,760		(3,046,510	)
4/24/09	JPY		3,348,992,744		34,352,846		(2,083,507	)
4/24/09	JPY		3,348,992,744		34,352,846		(2,078,949	)
4/24/09	JPY		3,348,992,744		34,352,846		(2,067,816	)
4/24/09	JPY		3,348,992,744		34,352,846		(2,095,562	)
4/24/09	NZD		16,225,269		8,097,312		(97,665	)
4/24/09	SEK		140,075,846		15,551,231		(476,904	)
4/24/09	SEK		140,075,846		15,551,231		(484,157	)
4/24/09	SEK		140,075,846		15,551,231		(452,590	)
4/24/09	SEK		140,075,846		15,551,231		(517,765	)
4/24/09	SEK		140,075,846		15,551,231		(516,567	)
4/24/09	SEK		140,075,846		15,551,231		(497,973	)
4/24/09	SEK		140,075,846		15,551,231		(323,365	)
4/24/09	SGD		93,026,088		60,083,246		(854,293	)
				$	459,353,400	$	(16,221,800	)
Sales
4/24/09	AUD		36,890,883	$	23,503,206	$	(106,639	)
4/24/09	AUD		35,805,857		22,811,935		(49,078	)
4/24/09	AUD		35,805,857		22,811,935		(94,695	)
4/24/09	CAD		22,194,247		17,446,764		124,487
4/24/09	CAD		22,194,247		17,446,764		116,422
4/24/09	CAD		22,194,247		17,446,764		100,592
4/24/09	CAD		22,194,247		17,446,764		81,800
4/24/09	CHF		24,088,310		20,614,117		(83,199	)
4/24/09	EUR		14,149,814		17,933,795		217,445
4/24/09	GBP		18,135,087		25,959,507		(181,931	)

See accompanying notes to the financial statements.

10

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
4/24/09	GBP		18,135,087	$	25,959,507	$	(166,698	)
4/24/09	GBP		18,135,087		25,959,507		(99,689	)
4/24/09	GBP		36,270,173		51,919,012		(191,398	)
4/24/09	HKD		125,056,500		16,132,590		3,108
4/24/09	HKD		125,056,500		16,132,590		1,651
4/24/09	JPY		1,691,692,857		17,352,819		1,537,591
4/24/09	NOK		54,700,258		7,767,312		22,500
4/24/09	SGD		71,963,888		46,479,692		1,319,376
				$	411,124,580	$	2,551,645

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	139	CAC 40	March 2009	$	4,696,207	$	(364,804	)
	849	FTSE 100	March 2009		45,839,953		(6,337,480	)
				$	50,536,160	$	(6,702,284	)
Sales
	31	Hang Seng	March 2009	$	2,505,192	$	35,674

As of February 28, 2009, 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.

11

GMO International Growth Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

*  Non-income producing security.

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.

12

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $3,019,397,558) (Note 2)	$	1,959,741,812
Foreign currency, at value (cost $8,591) (Note 2)		8,548
Receivable for Fund shares sold		24,556,799
Dividends and interest receivable		6,735,598
Foreign taxes receivable		1,064,852
Unrealized appreciation on open forward currency contracts (Note 2)		3,627,530
Receivable for collateral on open futures contracts (Note 2)		8,977,155
Receivable for expenses reimbursed by Manager (Note 3)		11,592
Total assets		2,004,723,886
Liabilities:
Payable for Fund shares repurchased		7,820
Payable to affiliate for (Note 3):
Management fee		804,586
Shareholder service fee		169,563
Trustees and Chief Compliance Officer of GMO Trust fees		7,625
Payable for variation margin on open futures contracts (Note 2)		1,419,262
Unrealized depreciation on open forward currency contracts (Note 2)		17,297,685
Miscellaneous payable		27,242
Accrued expenses		515,708
Total liabilities		20,249,491
Net assets	$	1,984,474,395
Net assets consist of:
Paid-in capital	$	3,487,831,610
Accumulated undistributed net investment income		75,464,465
Accumulated net realized loss		(498,753,989	)
Net unrealized depreciation		(1,080,067,691	)
	$	1,984,474,395
Net assets attributable to:
Class III shares	$	564,066,993
Class IV shares	$	1,420,407,402
Shares outstanding:
Class III		39,015,984
Class IV		98,212,905
Net asset value per share:
Class III	$	14.46
Class IV	$	14.46

See accompanying notes to the financial statements.

13

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $7,842,572)	$	87,637,220
Securities lending income		1,966,624
Interest		1,625,008
Total investment income		91,228,852
Expenses:
Management fee (Note 3)		15,090,970
Shareholder service fee – Class III (Note 3)		1,205,037
Shareholder service fee – Class IV (Note 3)		1,950,314
Custodian and fund accounting agent fees		1,433,154
Transfer agent fees		44,359
Audit and tax fees		87,184
Legal fees		74,954
Trustees fees and related expenses (Note 3)		38,424
Registration fees		5,385
Miscellaneous		48,734
Total expenses		19,978,515
Fees and expenses reimbursed by Manager (Note 3)		(1,671,830	)
Expense reductions (Note 2)		(11,901	)
Net expenses		18,294,784
Net investment income (loss)		72,934,068
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(448,028,290	)
Closed futures contracts		(48,869,386	)
Foreign currency, forward contracts and foreign currency related transactions		64,658,857
Net realized gain (loss)		(432,238,819	)
Change in net unrealized appreciation (depreciation) on:
Investments		(1,202,509,614	)
Open futures contracts		11,872,928
Foreign currency, forward contracts and foreign currency related transactions		(26,375,332	)
Net unrealized gain (loss)		(1,217,012,018	)
Net realized and unrealized gain (loss)		(1,649,250,837	)
Net increase (decrease) in net assets resulting from operations	$	(1,576,316,769	)

See accompanying notes to the financial statements.

14

GMO International Growth Equity Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	72,934,068		$	88,762,173
Net realized gain (loss)		(432,238,819	)		588,918,771
Change in net unrealized appreciation (depreciation)		(1,217,012,018	)		(429,914,938	)
Net increase (decrease) in net assets from operations		(1,576,316,769	)		247,766,006
Distributions to shareholders from:
Net investment income
Class III		(30,802,113	)		(12,574,532	)
Class IV		(84,945,522	)		(33,113,153	)
Total distributions from net investment income		(115,747,635	)		(45,687,685	)
Net realized gains
Class III		(33,779,254	)		(165,474,422	)
Class IV		(88,650,878	)		(436,843,880	)
Total distributions from net realized gains		(122,430,132	)		(602,318,302	)
		(238,177,767	)		(648,005,987	)
Net share transactions (Note 7):
Class III		40,576,827			195,928,030
Class IV		223,699,073			(76,118,558	)
Increase (decrease) in net assets resulting from net share transactions		264,275,900			119,809,472
Total increase (decrease) in net assets		(1,550,218,636	)		(280,430,509	)
Net assets:
Beginning of period		3,534,693,031			3,815,123,540
End of period (including accumulated undistributed net investment income of $75,464,465 and $55,413,766, respectively)	$	1,984,474,395		$	3,534,693,031

See accompanying notes to the financial statements.

15

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	27.68		$	31.37		$	29.90		$	27.22		$	23.67
Income (loss) from investment operations:
Net investment income (loss)†		0.54			0.69			0.77			0.53			0.40
Net realized and unrealized gain (loss)		(11.93	)		1.28			4.80			3.57			3.94
Total from investment operations		(11.39	)		1.97			5.57			4.10			4.34
Less distributions to shareholders:
From net investment income		(0.88	)		(0.40	)		(0.49	)		(0.10	)		(0.33	)
From net realized gains		(0.95	)		(5.26	)		(3.61	)		(1.32	)		(0.46	)
Total distributions		(1.83	)		(5.66	)		(4.10	)		(1.42	)		(0.79	)
Net asset value, end of period	$	14.46		$	27.68		$	31.37		$	29.90		$	27.22
Total Return(a)		(43.54	)%		5.04	%		19.21	%		15.54	%		18.66	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	564,067		$	1,018,040		$	950,332		$	3,119,919		$	1,653,053
Net expenses to average daily net assets		0.66	%(b)		0.67	%(b)		0.67	%		0.68	%		0.69	%
Net investment income to average daily net assets		2.43	%		2.13	%		2.46	%		1.89	%		1.64	%
Portfolio turnover rate		63	%		92	%		74	%		57	%		52	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.06	%		0.05	%		0.05	%		0.08	%		0.09	%

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

16

GMO International Growth Equity Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	27.70		$	31.38		$	29.92
Income (loss) from investment operations:
Net investment income (loss)†		0.55			0.73			0.20
Net realized and unrealized gain (loss)		(11.95	)		1.26			4.48
Total from investment operations		(11.40	)		1.99			4.68
Less distributions to shareholders:
From net investment income		(0.89	)		(0.41	)		(0.50	)
From net realized gains		(0.95	)		(5.26	)		(2.72	)
Total distributions		(1.84	)		(5.67	)		(3.22	)
Net asset value, end of period	$	14.46		$	27.70		$	31.38
Total Return(b)		(43.53	)%		5.11	%		15.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,420,407		$	2,516,653		$	2,864,791
Net expenses to average daily net assets		0.60	%(c)		0.61	%(c)		0.61	%*
Net investment income to average daily net assets		2.47	%		2.24	%		1.01	%*
Portfolio turnover rate		63	%		92	%		74	%††
Fees and expenses reimbursed by the Manager to average daily net assets:		0.06	%		0.05	%		0.05	%*

(a)  Period from July 12, 2006 (commencement of operations) through February 28, 2007.

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

(c)  The net expense ratio does not include the effect of expense reductions, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

17

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, 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 EAFE Growth Index. The Fund typically makes equity investments in companies from developed countries, other than the U.S. Effective January 1, 2009, the Fund changed its benchmark from the S&P EPAC Large Mid Cap Growth Index (formerly S&P/Citigroup Primary Market Index ("PMI") Europe, Pacific Asia Composite ("EPAC") Growth Index) to the MSCI EAFE Growth Index to better reflect a more appropriate, comparative, broad-based market index for the Fund.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 persons acting at their direction pursuant to procedures approved by the Trustees. By its nature, a fair value price is a good faith estimate

18

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 85.05% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	271,972,023	$	—
Level 2 - Other Significant Observable Inputs		1,687,769,789		3,663,204
Level 3 - Significant Unobservable Inputs		—		—
Total	$	1,959,741,812	$	3,663,204

*  Other financial instruments include forward currency contracts and futures contracts.

19

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(23,999,969	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(23,999,969	)

**  Other financial instruments include forward currency contracts and futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

20

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

21

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

22

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the loan. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment

23

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. As of February 28, 2009 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

24

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistirbuted Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	62,864,266	$	(62,864,266	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	115,766,584	$	263,403,378
Net long-term capital gain		122,411,183		384,602,609
Total distributions	$	238,177,767	$	648,005,987

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 62,379,214

As of February 28, 2009, 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:

2/28/2017	$	(208,609,786	)
Total	$	(208,609,786	)

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $268,162,473.

25

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,041,352,048	$	12,052,432	$	(1,093,662,668	)	$	(1,081,610,236	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund

26

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

Effective June 30, 2008, GMO receives a management fee for investment management services provided to the Fund that is paid monthly at the annual rate of 0.50% of average daily net assets. For the period from March 1, 2008 through June 29, 2008, the management fee rate was 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.50% of the Fund's average daily net assets. Excluded Expenses include 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).

27

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fee paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $34,728 and $21,403, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $1,967,093,529 and $1,790,847,389, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 39.66% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 95.99% of the Fund's shares were held by accounts for which the Manager had investment discretion.

28

GMO International Growth Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		11,893,535		$	239,774,534			6,367,909		$	201,027,055
Shares issued to shareholders in reinvestment of distributions		2,513,470			58,342,144			5,685,508			173,931,678
Shares repurchased		(12,169,228	)		(257,539,851	)		(5,568,633	)		(179,030,703	)
Net increase (decrease)		2,237,777		$	40,576,827			6,484,784		$	195,928,030
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		46,074,272		$	942,225,145			20,701,601		$	636,413,259
Shares issued to shareholders in reinvestment of distributions		7,579,903			172,936,531			15,300,242			469,510,148
Shares repurchased		(46,297,143	)		(891,462,603	)		(36,433,738	)		(1,182,041,965	)
Net increase (decrease)		7,357,032		$	223,699,073			(431,895	)	$	(76,118,558	)

29

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

30

GMO International Growth Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.65	%	$	1,000.00	$	613.00	$	2.60
2) Hypothetical		0.65	%	$	1,000.00	$	1,021.57	$	3.26
Class IV
1) Actual		0.59	%	$	1,000.00	$	613.00	$	2.36
2) Hypothetical		0.59	%	$	1,000.00	$	1,021.87	$	2.96

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

31

GMO International Growth Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $122,411,183 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $7,811,420 and recognized foreign source income of $95,448,640.

For taxable, non-corporate shareholders, 57.92% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

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/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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

34

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

35

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

36

GMO International Small Companies Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Small Companies Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO International Small Companies Fund returned -51.5% for the fiscal year ended February 28, 2009, as compared to -52.0% for the MSCI EAFE Small Cap Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in international equity securities throughout the period.

Stock selection was weak overall, especially within Financials. Swiss chemical company Ciba Holding, Japanese consumer staples company Fuji Oil, and Japanese industrial GS Yuasa were among the most significant contributors to relative performance. Japanese real estate developer KK daVinci Holdings and British media companies Trinity Mirror and Yell Group were among the greatest detractors.

Among GMO's international quantitative stock selection disciplines, stocks ranked highly by intrinsic value (with its boost of high quality) outperformed. Those selected by quality-adjusted value underperformed, while those with strong momentum were essentially in line with the market.

Country allocation had a strong positive impact. This was mainly from the Fund's underweight in Australia, overweight in Japan, and holding small cash balances in a falling market.

Currency allocation also had a positive impact on relative performance as the Fund's underweights in the British pound and Australian dollar and overweights in the Japanese yen and Swiss franc added value. The U.S. dollar strengthened relative to most foreign currencies, which detracted from returns for U.S. investors. The MSCI EAFE Index returned almost 9% more in local currency terms than in U.S. dollars.

Sector weightings had a small negative impact on performance relative to the index. During the period, the Fund's overweights to Materials and Energy 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 .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.

*  Effective June 1, 2008, the benchmark for the International Small Companies Fund was changed from the S&P Developed ex-U.S. Small Cap Index to the MSCI EAFE Small Cap Index (MSCI Standard Index Series, net of withholding tax).

**  The MSCI EAFE Small Cap + Index represents the S&P Developed ex-U.S. Small Cap Index prior to 5/30/2008 and the MSCI EAFE Small Cap Index (MSCI Standard Index Series, net of withholding tax) thereafter.

GMO International Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		94.9	%
Short-Term Investments		2.2
Preferred Stocks		0.3
Rights and Warrants		0.0
Forward Currency Contracts		(0.3	)
Futures		(0.5	)
Other		3.4
		100.0	%
Country Summary	% of Equity Investments
Japan		40.4	%
United Kingdom		19.5
Germany		6.4
Canada		4.9
Sweden		3.8
France		3.6
Netherlands		3.5
Switzerland		3.2
Singapore		2.5
Belgium		2.1
Australia		1.9
Italy		1.7
Ireland		1.3
Finland		1.2
Hong Kong		1.0
Norway		0.8
Greece		0.7
Austria		0.6
New Zealand		0.4
Denmark		0.3
Portugal		0.2
		100.0	%

1

GMO International Small Companies Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Industrials		21.1	%
Consumer Discretionary		19.8
Financials		12.1
Information Technology		11.1
Materials		10.6
Consumer Staples		9.9
Health Care		8.9
Energy		4.2
Utilities		2.0
Telecommunication Services		0.3
		100.0	%

2

GMO International Small Companies Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 94.9%
		Australia — 1.8%
	116,358	Ansell Ltd		609,438
	481,125	Centennial Coal Co Ltd		526,706
	31,614	Cochlear Ltd		1,069,654
	1,388,756	Commonwealth Property Office Fund		842,128
	939,440	CSR Ltd		591,474
	464,953	Downer Edi Ltd		1,084,989
	302,067	Iluka Resources Ltd *		818,637
	2,079,135	Macquarie DDR Trust		48,128
	333,680	Octaviar Ltd *		211,238
	1,555,183	PaperlinX Ltd		676,532
	1,073,824	Tishman Speyer Office Fund		50,401
	164,194	West Australian Newspapers Holdings Ltd		471,401
		Total Australia		7,000,726
		Austria — 0.5%
	20,001	Flughafen Wien AG		542,779
	14,796	Mayr-Melnhof Karton AG (Bearer)		954,514
	43,411	Meinl Airports International AG *		258,837
	29,308	RHI AG *		360,309
		Total Austria		2,116,439
		Belgium — 2.0%
	30,618	Bekaert NV		1,486,648
	9,192	Cofinimmo SA		990,563
	93,429	Euronav SA		1,169,569
	14,703	EVS Broadcast Equipment SA		456,092
	29,258	GIMV NV		1,158,037
	32,592	Omega Pharma SA		865,676
	49,621	Tessenderlo Chemie		1,455,310
		Total Belgium		7,581,895

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 28, 2009

Shares		Description	Value ($)
		Canada — 4.7%
	117,775	Ace Aviation Holdings Inc Class A *		592,485
	133,000	Advantage Energy Income Fund		305,266
	87,475	Baytex Trust		803,791
	105,300	Biovail Corp		1,119,050
	165,600	CGI Group Inc *		1,210,564
	154,375	Daylight Resources Trust		789,955
	53,300	Dorel Industries Inc Class B		828,701
	198,000	Fairborne Energy Ltd *		437,337
	87,600	Gerdau Ameristeel Corp		354,614
	390,200	Hudbay Minerals Inc *		1,717,592
	92,100	Kingsway Financial Services Inc		162,887
	50,200	Laurentian Bank of Canada		1,258,354
	55,000	Linamar Corp		144,396
	103,400	Methanex Corp		759,936
	51,775	Open Text Corp *		1,646,609
	30,671	Quebecor Inc Class B		454,930
	255,300	RONA Inc *		2,363,963
	77,700	Russel Metals Inc		701,145
	76,550	Torstar Corp Class B		307,476
	123,625	Transcontinental Inc		723,948
	187,500	Trinidad Drilling Ltd		380,247
	147,800	TriStar Oil & Gas Ltd *		1,126,914
		Total Canada		18,190,160
		Denmark — 0.3%
	28,088	Genmab A/S *		1,073,280
		Finland — 1.1%
	111,675	Amer Sports Oyj Class A		779,461
	45,400	Orion Oyj		703,574
	128,771	Pohjola Bank Plc		910,605
	93,233	Tietoenator Oyj		1,162,589
	147,506	YIT Oyj		884,252
		Total Finland		4,440,481

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 28, 2009

Shares		Description	Value ($)
		France — 3.5%
	29,901	Alten *		405,362
	8,407	bioMerieux		635,255
	5,255	Bollore		504,768
	13,663	Ciments Francais		941,291
	12,221	Fonciere des Regions		612,958
	107,711	Gemalto NV *		2,710,666
	59,040	Groupe Steria SCA		655,900
	45,772	IMS International Metal Service		529,437
	185,539	Maurel et Prom		1,893,568
	20,538	Nexans SA		788,108
	78,259	Rallye SA		1,152,923
	7,903	Societe BIC SA		385,180
	441,818	Thomson *		373,204
	8,233	Vilmorin & Cie		794,114
	9,490	Wendel Investissement		236,380
	24,706	Zodiac SA		744,529
		Total France		13,363,643
		Germany — 5.9%
	58,263	Aixtron AG		232,395
	182,761	Arques Industries AG *		251,644
	18,981	Bechtle AG		292,808
	15,035	Biotest AG		645,701
	65,664	Demag Cranes AG		1,278,510
	27,695	Fielmann AG		1,618,327
	69,377	Gildemeister AG		403,096
	64,706	Hannover Rueckversicherungs AG (Registered)		2,306,795
	186,254	Heidelberger Druckmaschinen AG		769,597
	48,543	IKB Deutsche Industriebank AG *		48,365
	113,205	Kloeckner & Co AG		1,264,674
	18,481	MTU Aero Engines Holding AG		474,143
	164,605	Norddeutsche Affinerie AG		4,092,113
	3,017	Puma AG Rudolf Dassler Sport		450,944
	95,478	Qiagen NV *		1,540,517

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 28, 2009

Shares		Description	Value ($)
		Germany — continued
	71,053	Rhoen-Klinikum AG		1,331,696
	72,159	SGL Carbon SE *		1,592,540
	44,560	Stada Arzneimittel AG		752,572
	174,636	Suedzucker AG		3,093,151
	3,966	Vossloh AG		368,727
		Total Germany		22,808,315
		Greece — 0.7%
	184,559	Ellaktor SA		896,053
	125,925	Hellenic Exchanges SA		637,129
	232,337	Intralot SA		1,016,063
	190,551	Technical Olympic SA *		43,145
		Total Greece		2,592,390
		Hong Kong — 0.9%
	77,000	Asia Satellite Telecommunications Holdings Ltd		80,505
	268,800	Dah Sing Financial Services		682,557
	1,640,800	HKR International Ltd		324,066
	1,225,000	Pacific Basin Shipping Ltd		558,317
	745,000	Sun Hung Kai & Co Ltd		450,425
	392,000	VTech Holdings Ltd		1,521,664
		Total Hong Kong		3,617,534
		Ireland — 1.2%
	222,309	DCC Plc		3,020,114
	962,077	Fyffes Plc		212,955
	757,766	Grafton Group Plc *		1,279,404
	766,672	Total Produce Ltd		180,685
		Total Ireland		4,693,158
		Italy — 1.7%
	160,536	Benetton Group SPA		1,001,764
	1,400,808	Beni Stabili SPA		1,058,243
	177,554	Bulgari SPA		717,983

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 28, 2009

Shares		Description	Value ($)
		Italy — continued
	196,338	Cementir SPA		449,402
	57,177	ERG SPA		680,297
	12,957	Italmobiliare SPA		329,228
	20,642	Italmobiliare SPA-RNC		376,950
	475,635	Milano Assicurazioni SPA		985,521
	142,781	Pirelli & Co Real Estate SPA		411,238
	63,066	Trevi Finanziaria SPA		365,756
		Total Italy		6,376,382
		Japan — 38.4%
	20,100	ABC-Mart Inc		440,001
	77,900	Aderans Co Ltd		534,449
	700,250	Aiful Corp		722,799
	144,000	Air Water Inc		1,218,031
	212,100	Alps Electric Co Ltd		586,213
	295,800	AOC Holdings Inc		1,597,091
	5,447	Asset Managers Holdings Co Ltd *		324,404
	72,300	Autobacs Seven Co Ltd		1,843,180
	101,500	Avex Group Holding Inc		911,749
	620,000	Central Glass Co Ltd		1,609,738
	52,900	Chiba Kogyo Bank Ltd *		522,806
	104,900	Circle K Sunkus Co Ltd		1,612,312
	216,000	COMSYS Holdings Corp		1,546,407
	196,400	Culture Convenience Club Co Ltd		1,355,135
	2,151	CyberAgent Inc		977,860
	520,600	Daiei Inc *		1,619,681
	41,200	Daiichikosho Co Ltd		385,671
	2,216,000	Daikyo Inc		978,326
	189,000	Daio Paper Corp		1,466,293
	478,000	Daiwabo Co Ltd		1,070,756
	122,900	DCM Japan Holdings Co Ltd		559,003
	376	DeNa Co Ltd		1,105,702
	140,800	Don Quijote Co Ltd		1,661,188
	325,300	Edion Corp		808,497

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	82,600	Foster Electric Co Ltd		443,722
	289,500	Fuji Oil Co Ltd		3,639,437
	45,900	Fuji Soft Inc		673,021
	277,000	Fujikura Ltd		601,336
	413,100	Futaba Industrial Co Ltd		1,174,437
	278,100	GMO internet Inc		1,061,869
	781,000	Godo Steel		1,828,340
	107,090	Goldcrest Co Ltd		1,903,075
	357	Gourmet Navigator Inc		714,280
	362,000	GS Yuasa Corp		1,486,914
	52,080	Gulliver International Co Ltd		674,322
	74,200	H.I.S. Co Ltd		1,060,225
	955,000	Hanwa Co Ltd		2,572,701
	51,300	Hisamitsu Pharmaceutical Co Inc		1,549,283
	171,800	Hitachi Capital Corp		1,475,435
	17,900	Hogy Medical Co Ltd		992,861
	188,000	Hokuetsu Paper Mills Ltd		685,359
	79,200	Hokuto Corp		1,545,948
	135,400	Hosiden Corp		1,419,586
	135,000	Hyakujushi Bank Ltd (The)		635,221
	307,000	Iseki & Co Ltd *		697,317
	570,000	Iwatani International Corp		1,196,307
	283,000	J-Oil Mills Inc		757,016
	257,000	JACCS Co Ltd *		434,457
	255,000	JFE Shoji Holdings Inc		661,401
	495,800	Joint Corp		386,327
	68,700	K's Holdings Corp		821,049
	75,500	Kaga Electronics Co Ltd		702,415
	784	Kakaku.com Inc		2,312,287
	125,000	Kaken Pharmaceutical Co Ltd		1,183,707
	150,000	Kamigumi Co Ltd		961,094
	355,000	Kayaba Industry Co		468,217
	4,234	Kenedix Inc *		292,709
	10,438	KK daVinci Holdings *		261,658

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	30,200	Kobayashi Pharmaceutical Co Ltd		996,084
	135,400	Kohnan Shoji Co Ltd		1,256,674
	97,200	Kojima Co Ltd		202,025
	47,500	KOSE Corp		984,337
	347,000	Kurabo Industries Ltd		467,430
	245,000	Kyokuyo Co Ltd		444,566
	213,000	Kyowa Exeo Corp		1,741,602
	122,000	Kyudenko Corp		846,458
	13,300	Mars Engineering Corp		418,704
	1,735,525	Maruha Group Inc		2,055,995
	156,000	Meiji Dairies Corp		589,642
	135,100	Miraca Holdings Inc		2,806,761
	110,900	MISUMI Group Inc		1,239,774
	305,000	Mitsubishi Steel Manufacturing Co Ltd		557,073
	776,000	Mizuho Investors Securities		593,719
	185,000	Nagase & Co		1,459,378
	415,000	Nakayama Steel Works Ltd		779,419
	883	Net One Systems Co Ltd		1,240,435
	425,000	Nichias Corp		867,371
	345,000	Nichirei Corp		1,139,119
	75,400	Nihon Kohden Corp		950,787
	47,000	Nihon Nohyaku Co Ltd		320,997
	137,600	Nihon Unisys Ltd		967,020
	203,000	Nippon Corp		1,624,842
	222,000	Nippon Denko Co Ltd		608,334
	32,000	Nippon Densetsu Kogyo Co Ltd		309,484
	323,000	Nippon Flour Mills Co Ltd		1,453,427
	1,027,000	Nippon Light Metal		704,925
	126,000	Nippon Shokubai Co Ltd		776,944
	285,000	Nippon Soda Co Ltd		810,190
	158,000	Nippon Synthetic Chemical Industry Co Ltd		336,504
	205,600	Nippon System Development Co Ltd		1,231,626
	752,500	Nippon Yakin Koguo Co Ltd		1,448,827
	106,000	Nipro Corp		1,619,879

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	130,100	Nishimatsuya Chain Co Ltd		957,567
	367,000	Nissan Shatai Co Ltd		2,100,052
	49,800	Nissha Printing Co Ltd		1,235,676
	331,000	Nisshin Oillio Group Ltd (The)		1,596,990
	196,400	Nissin Kogyo Co Ltd		1,796,145
	40,900	Okinawa Electric Power Co		2,497,639
	568,000	Pacific Metals Co Ltd		2,175,684
	156,200	Park24 Co Ltd		1,061,887
	46,000	Pigeon Corp		888,810
	46,000	PLENUS Co Ltd		643,424
	76,820	Point Inc		3,142,168
	127,400	Q.P. Corp		1,411,953
	205,000	Rengo Co Ltd		1,120,983
	42,800	Rinnai Corp		1,477,742
	303,400	Round One Corp		1,760,207
	372,000	Ryobi Ltd		560,993
	53,700	Ryohin Keikaku Co Ltd		1,889,540
	53,600	Ryosan Co		1,171,383
	129,500	Saizeriya Co Ltd		1,275,557
	554,000	Sanken Electric Co Ltd		1,352,009
	158,000	Sanki Engineering		797,472
	441,000	Sankyo-Tateyama Holdings Inc		272,967
	15,000	Sawai Pharmaceuticals Co Ltd		732,323
	185,000	Seino Holdings Co Ltd		863,485
	38,100	Shima Seiki Manufacturing Ltd		687,688
	76,500	Shimachu Co Ltd		1,178,500
	293,700	Showa Corp		858,988
	48,400	Sugi Pharmacy Co Ltd		1,017,767
	798,000	Sumitomo Light Metal Industry		646,610
	45,900	Sundrug Co Ltd		763,033
	211,000	Taihei Kogyo Co Ltd		471,795
	180,000	Takara Holdings Inc		729,769
	402,000	TOA Corp *		491,688
	117,800	Tokyo Steel Manufacturing Co		1,158,150

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	513,000	Topy Industries Ltd		752,755
	132,000	Toshiba Plant Systems & Services Corp		1,248,413
	427,000	Toyo Engineering Corp		1,156,764
	51,000	Toyo Suisan Kaisha Ltd		1,206,996
	577,000	Toyo Tire & Rubber Co Ltd		664,659
	65,800	Tsumura & Co		1,824,992
	52,000	Uchida Yoko Co Ltd		148,148
	31,700	Unicharm Petcare Corp		974,056
	389,000	Uniden Corp		565,356
	53,700	Union Tool Co		1,001,904
	1,249	Works Applications Co Ltd		502,953
	79,700	Xebio Co Ltd		1,197,556
		Total Japan		148,612,173
		Netherlands — 3.4%
	256,175	Aalberts Industries NV		1,282,403
	72,175	ASM International NV *		467,271
	40,191	Boskalis Westminster		764,450
	106,867	CSM		1,157,100
	192,607	Koninklijke BAM Groep NV		1,405,999
	32,540	Koninklijke Vopak NV		1,075,913
	245,613	OCE NV		621,257
	102,721	OPG Groep NV		861,253
	32,032	Smit International NV		1,368,578
	102,599	USG People NV		844,075
	38,272	Vastned NV		1,686,090
	22,048	Wereldhave NV		1,481,092
		Total Netherlands		13,015,481
		New Zealand — 0.4%
	980,016	Fisher & Paykel Healthcare Corp Ltd		1,631,408

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 28, 2009

Shares		Description	Value ($)
		Norway — 0.8%
	42,960	Frontline Ltd		890,409
	157,276	Tandberg ASA		2,008,797
		Total Norway		2,899,206
		Portugal — 0.1%
	140,175	Redes Energeticas Nacionais SA		556,613
		Singapore — 2.4%
	454,000	Kim Eng Holdings Ltd		340,496
	623,000	KS Energy Services Ltd		285,910
	956,000	MobileOne Ltd		959,675
	746,100	Pacific Century Region Developments Ltd		66,283
	1,659,000	Raffles Education Corp Ltd		438,398
	474,000	Singapore Airport Terminal Services Ltd		367,869
	1,063,000	Singapore Petroleum Co		1,821,059
	2,389,000	Singapore Post Ltd		1,183,271
	1,896,000	SMRT Corp Ltd		1,945,062
	584,000	United Overseas Land		625,524
	341,000	Venture Corp Ltd		1,071,768
	388,000	Wheelock Properties Ltd		227,222
		Total Singapore		9,332,537
		Sweden — 3.6%
	88,725	Axfood AB		1,698,990
	1,011,722	Boliden AB		2,783,698
	63,100	D Carnegie AB (a)		3,153
	189,732	Elekta AB Class B		2,078,596
	229,906	Fabege AB		817,670
	42,255	Getinge AB Class B		487,533
	496,233	Kungsleden AB		2,141,891
	222,520	NCC Class B		1,189,590
	45,642	Oriflame Cosmetics SA SDR		1,089,289
	56,900	Ratos AB Series B		691,749
	177,224	Trelleborg AB Class B		522,359

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 28, 2009

Shares		Description	Value ($)
		Sweden — continued
	81,342	Vostok Gas Ltd (a)*		1,987
	1,698,305	West Siberian Resources Ltd SDR *		400,531
		Total Sweden		13,907,036
		Switzerland — 3.0%
	30,349	Actelion Ltd (Registered) *		1,435,250
	11,014	Bucher Industries AG		694,163
	98,722	Ciba Holding AG *		4,160,358
	156,389	Clariant AG (Registered) *		583,018
	7,774	Galenica AG		2,181,045
	28	Lindt & Spruengli AG (Registered)		520,420
	35,652	PSP Swiss Property AG (Registered) *		1,423,410
	13,461	Swiss Prime Site AG (Registered) *		504,269
	3,237	Verwaltungs & Private Bank AG		206,596
		Total Switzerland		11,708,529
		United Kingdom — 18.5%
	514,448	Aggreko Plc		2,611,350
	738,148	Amlin Plc		3,598,703
	1,328,724	ARM Holdings Plc		1,812,227
	136,899	Arriva Plc		844,811
	259,459	Autonomy Corp Plc *		4,471,636
	147,909	Aveva Group Plc		1,004,039
	741,691	BBA Aviation Plc		736,999
	516,378	Brit Insurance Holdings Plc		1,393,110
	420,190	Brixton Plc		231,294
	536,649	Chloride Group Plc		997,441
	229,182	Close Brothers Group Plc		1,608,725
	135,775	Croda International Plc		944,801
	361,891	Dairy Crest Group Plc		1,263,553
	89,861	Dana Petroleum Plc (Ordinary Shares) *		1,282,604
	114,841	De La Rue Plc		1,687,615
	1,919,434	Debenhams Plc		1,033,196

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	2,699,447	Dimension Data Holdings Plc		1,367,657
	449,134	Drax Group Plc		3,318,035
	6,858,822	DSG International Plc		1,972,655
	831,313	Electrocomponents Plc		1,443,125
	807,718	Game Group Plc		1,679,221
	59,299	Go-Ahead Group Plc		772,980
	287,705	Greene King Plc		1,722,476
	446,625	Hiscox Ltd		1,777,564
	1,855,627	HMV Group Plc		3,381,479
	111,397	Intermediate Capital Group Plc		412,819
	306,674	Jardine Lloyd Thompson Group Plc		1,990,363
	1,929,537	Johnston Press Plc		192,258
	1,481,265	Kesa Electricals Plc		2,228,092
	108,357	Ladbrokes Plc		267,542
	198,350	Lancashire Holdings Ltd *		1,358,199
	189,364	LG Group Holdings Plc		721,597
	163,607	Luminar Group Holdings Plc		233,541
	525,626	Melrose Plc		494,985
	87,640	Micro Focus International Plc		355,720
	593,092	Misys Plc		909,864
	1,608,289	Northern Foods Plc		1,069,477
	127,850	Pennon Group Plc		788,603
	207,717	Petrofac Ltd		1,387,399
	92,959	Provident Financial Plc		1,082,034
	1,175,965	Punch Taverns Plc		636,199
	203,944	PV Crystalox Solar Plc		247,441
	60,051	Rotork Plc		611,652
	243,582	Savills Plc		1,007,743
	321,904	Signet Jewelers Ltd		2,452,164
	250,009	Smith News Plc		206,981
	240,241	SSL International Plc		1,653,576
	636,816	Tomkins Plc		1,023,071
	490,068	Travis Perkins Plc		2,270,808

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	1,770,189	Trinity Mirror Plc		778,000
	245,489	Weir Group Plc (The)		1,208,117
	676,711	William Hill Plc		2,273,435
	7,203,639	Woolworths Group Plc (a)		125,815
	2,432,394	Yell Group Plc		716,988
		Total United Kingdom		71,661,779
		TOTAL COMMON STOCKS (COST $663,552,103)		367,179,165
		PREFERRED STOCKS — 0.3%
		Germany — 0.3%
	14,778	Draegerwerk AG 2.12%		320,436
	50,396	Hugo Boss AG 15.32%		612,509
		Total Germany		932,945
		TOTAL PREFERRED STOCKS (COST $2,358,643)		932,945
		RIGHTS AND WARRANTS — 0.0%
		Singapore — 0.0%
	61,000	Tat Hong Holdings Ltd Warrants, Expires 08/02/13 *		1,183
		TOTAL RIGHTS AND WARRANTS (COST $0)		1,183

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 28, 2009

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.2%
	33,106	Bank of Tokyo-Mitsubishi Time Deposit, 0.08%, due 03/02/09		33,106
	600,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		600,000
	2,500,000	Branch Banking & Trust Time Deposit, 0.13%, due 03/02/09		2,500,000
	74,287	Brown Brothers Harriman Time Deposit, 0.02%-9.25%, due 03/02/09		74,287
	85,984	Citibank Time Deposit, 0.07%-2.29%, due 03/02/09		85,984
	54,184	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/02/09		54,184
	28,939	JPMorgan Chase Time Deposit, 0.01%, due 03/02/09		28,939
	2,500,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		2,500,000
	2,755,547	Societe Generale Time Deposit, 0.25%-0.33%, due 03/02/09		2,755,547
		TOTAL SHORT-TERM INVESTMENTS (COST $8,632,047)		8,632,047
		TOTAL INVESTMENTS — 97.4% (Cost $674,542,793)		376,745,340
		Other Assets and Liabilities (net) — 2.6%		10,070,627
		TOTAL NET ASSETS — 100.0%	$	386,815,967

See accompanying notes to the financial statements.

16

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	CHF		9,074,574	$	7,765,772	$	44,242
4/24/09	CHF		9,074,574		7,765,771		31,342
4/24/09	CHF		9,074,574		7,765,772		11,847
4/24/09	CHF		9,074,574		7,765,772		22,069
4/24/09	EUR		3,449,861		4,372,432		(53,015	)
4/24/09	JPY		396,218,688		4,064,279		(249,949	)
4/24/09	JPY		396,218,688		4,064,279		(247,508	)
4/24/09	NZD		2,101,774		1,048,902		(17,705	)
4/24/09	SEK		55,091,026		6,116,210		(273,283	)
4/24/09	SEK		63,188,502		7,015,192		(145,871	)
4/24/09	SGD		11,040,750		7,130,947		(101,391	)
				$	64,875,328	$	(979,222	)
Sales
4/24/09	AUD		10,061,402	$	6,410,125	$	(13,790	)
4/24/09	CAD		7,488,575		5,886,724		39,281
4/24/09	CAD		7,268,323		5,713,585		31,875
4/24/09	CAD		7,268,323		5,713,585		32,942
4/24/09	EUR		8,632,418		10,940,922		(67,787	)
4/24/09	GBP		3,246,580		4,647,323		(18,424	)
4/24/09	GBP		3,246,580		4,647,323		(18,817	)
4/24/09	HKD		29,026,186		3,744,448		932
4/24/09	NOK		15,289,249		2,171,038		(2,196	)
4/24/09	SGD		6,473,773		4,181,250		118,689
				$	54,056,323	$	102,705

See accompanying notes to the financial statements.

17

GMO International Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	5	Amsterdam Exchanges	March 2009	$	278,081	$	214
	172	CAC 40	March 2009		5,817,065		(417,318	)
	34	DAX	March 2009		4,105,533		(729,544	)
	21	FTSE 100	March 2009		1,144,672		(507	)
	2	Hang Seng	March 2009		162,680		(1,441	)
	1	IBEX 35	March 2009		96,577		347
	6	MSCI Singapore	March 2009		148,939		973
	43	OMXS30 IND	March 2009		305,544		582
	53	S&P/MIB	March 2009		5,084,302		(1,514,741	)
	100	TOPIX Index	March 2009		7,721,829		(461,300	)
				$	24,865,222	$	(3,122,735	)
Sales
	48	SPI 200	March 2009	$	2,505,860	$	195,305
	127	S&P Toronto 60	March 2009		9,759,095		828,268
				$	12,264,955	$	1,023,573

As of February 28, 2009, 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 Small Companies Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

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).

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.

19

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $674,542,793) (Note 2)	$	376,745,340
Foreign currency, at value (cost $77) (Note 2)		64
Receivable for Fund shares sold		6,600,942
Dividends and interest receivable		446,532
Foreign taxes receivable		86,136
Unrealized appreciation on open forward currency contracts (Note 2)		333,219
Receivable for collateral on open futures contracts (Note 2)		4,583,321
Receivable for expenses reimbursed by Manager (Note 3)		17,556
Miscellaneous receivable		38,403
Total assets		388,851,513
Liabilities:
Payable to affiliate for (Note 3):
Management fee		191,708
Shareholder service fee		47,927
Trustees and Chief Compliance Officer of GMO Trust fees		1,463
Payable for variation margin on open futures contracts (Note 2)		304,340
Unrealized depreciation on open forward currency contracts (Note 2)		1,209,736
Miscellaneous payable		37,741
Accrued expenses		242,631
Total liabilities		2,035,546
Net assets	$	386,815,967
Net assets consist of:
Paid-in capital	$	746,889,791
Accumulated undistributed net investment income		8,428,133
Distributions in excess of net realized gain		(67,703,418	)
Net unrealized depreciation		(300,798,539	)
	$	386,815,967
Net assets attributable to:
Class III shares	$	386,815,967
Shares outstanding:
Class III		92,051,975
Net asset value per share:
Class III	$	4.20

See accompanying notes to the financial statements.

20

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $1,756,208)	$	19,261,830
Securities lending income		519,576
Interest		297,246
Total investment income		20,078,652
Expenses:
Management fee (Note 3)		3,305,724
Shareholder service fee – Class III (Note 3)		826,431
Custodian and fund accounting agent fees		563,476
Transfer agent fees		27,231
Audit and tax fees		82,766
Legal fees		14,106
Trustees fees and related expenses (Note 3)		7,205
Registration fees		1,104
Miscellaneous		11,220
Total expenses		4,839,263
Fees and expenses reimbursed by Manager (Note 3)		(686,093	)
Expense reductions (Note 2)		(17,523	)
Net expenses		4,135,647
Net investment income (loss)		15,943,005
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(55,872,293	)
Closed futures contracts		(9,549,031	)
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $158) (Note 2)		7,857,721
Net realized gain (loss)		(57,563,603	)
Change in net unrealized appreciation (depreciation) on:
Investments		(308,749,859	)
Open futures contracts		243,018
Foreign currency, forward contracts and foreign currency related transactions		(3,025,137	)
Net unrealized gain (loss)		(311,531,978	)
Net realized and unrealized gain (loss)		(369,095,581	)
Net increase (decrease) in net assets resulting from operations	$	(353,152,576	)

See accompanying notes to the financial statements.

21

GMO International Small Companies Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	15,943,005		$	15,669,967
Net realized gain (loss)		(57,563,603	)		176,668,989
Change in net unrealized appreciation (depreciation)		(311,531,978	)		(202,960,184	)
Net increase (decrease) in net assets from operations		(353,152,576	)		(10,621,228	)
Distributions to shareholders from:
Net investment income
Class III		(11,541,650	)		(31,841,900	)
Net realized gains
Class III		(26,984,042	)		(142,937,240	)
		(38,525,692	)		(174,779,140	)
Net share transactions (Note 7):
Class III		97,920,776			5,871,549
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		1,037,841			2,593,773
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		98,958,617			8,465,322
Total increase (decrease) in net assets		(292,719,651	)		(176,935,046	)
Net assets:
Beginning of period		679,535,618			856,470,664
End of period (including accumulated undistributed net investment income of $8,428,133 and distributions in excess of net investment income of $5,790,555, respectively)	$	386,815,967		$	679,535,618

See accompanying notes to the financial statements.

22

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	9.29		$	12.22		$	14.93		$	17.84		$	17.09
Income (loss) from investment operations:
Net investment income (loss)†		0.20			0.24			0.25			0.34			0.30
Net realized and unrealized gain (loss)		(4.78	)		(0.34	)		2.68			3.44			3.56
Total from investment operations		(4.58	)		(0.10	)		2.93			3.78			3.86
Less distributions to shareholders:
From net investment income		(0.13	)		(0.51	)		(0.33	)		(0.44	)		(0.54	)
From net realized gains		(0.38	)		(2.32	)		(5.31	)		(6.25	)		(2.57	)
Total distributions		(0.51	)		(2.83	)		(5.64	)		(6.69	)		(3.11	)
Net asset value, end of period	$	4.20		$	9.29		$	12.22		$	14.93		$	17.84
Total Return(a)		(51.47	)%		(2.04	)%		23.35	%		25.77	%		24.45	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	386,816		$	679,536		$	856,471		$	986,602		$	1,517,223
Net expenses to average daily net assets		0.75	%(b)		0.76	%(b)		0.75	%		0.75	%		0.75	%
Net investment income to average daily net assets		2.89	%		1.98	%		1.79	%		2.01	%		1.75	%
Portfolio turnover rate		64	%		72	%		48	%		49	%		53	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.12	%		0.13	%		0.09	%		0.11	%		0.11	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.04		$	0.03		$	0.07		$	0.08

(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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

23

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, 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 (Europe, Australasia, and Far East) Small Cap Index. 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. Effective June 1, 2008, the Fund changed its benchmark from the S&P/Citigroup EMI World ex-U.S. Index to the MSCI EAFE Small Cap Index because the Manager believes the MSCI EAFE Small Cap Index is a more appropriate comparative, broad-based market index for the Fund.

The Fund currently limits subscriptions due to capacity considerations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 persons acting at their direction

24

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 89.35% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered certain bankrupt securities to be worthless. The Fund also valued another certain security at the last traded price prior to the company filing for bankruptcy protection.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	30,982,565	$	828,268
Level 2 - Other Significant Observable Inputs		345,631,820		530,640
Level 3 - Significant Unobservable Inputs		130,955		—
Total	$	376,745,340	$	1,358,908

*  Other financial instruments include forward currency contracts and futures contracts.

25

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(4,334,587	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(4,334,587	)

**  Other financial instruments include forward currency contracts and futures contracts.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	4,903,629		$	—
Realized gain (loss)		(5,308,435	)		—
Change in unrealized appreciation/depreciation		(3,367,432	)		—
Net purchases (sales)		(831,338	)		—
Net transfers in and/or out of Level 3		4,734,531			—
Balance as of February 28, 2009	$	130,955		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

26

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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.

27

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a

28

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the

29

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. As of February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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

30

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

market. The CPMF tax has been included in the net realized gain (loss) on investments throughout the period. For the year ended February 28, 2009, the Fund incurred $158 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, losses on wash sale transactions, passive foreign investment company 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Distributions in Excess of Net Realized Gain			Paid-in Capital
$	9,817,333	$	(9,817,333	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	11,546,276	$	74,973,732
Net long-term capital gain		26,979,416		99,805,408
Total distributions	$	38,525,692	$	174,779,140

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

31

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 7,957,418

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital and currency losses of $48,125,769.

As of February 28, 2009, 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:

2/28/2017	$	(16,328,991	)
Total	$	(16,328,991	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	678,102,612	$	5,405,620	$	(306,762,892	)	$	(301,357,272	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or loss. Income is not recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at

32

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the fair market value of the asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 28, 2009, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

33

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.60% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $6,411 and $4,049, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $425,677,266 and $340,893,012, respectively.

34

GMO International Small Companies Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 47.71% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.11% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 20.93% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		27,018,472		$	144,232,120			14,345,120		$	167,353,499
Shares issued to shareholders in reinvestment of distributions		5,410,297			37,797,241			16,860,674			173,069,697
Shares repurchased		(13,514,910	)		(84,108,585	)		(28,165,322	)		(334,551,647	)
Purchase premiums		—			671,626			—			803,005
Redemption fees		—			366,215			—			1,790,768
Net increase (decrease)		18,913,859		$	98,958,617			3,040,472		$	8,465,322

35

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

36

GMO International Small Companies Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008, through February 28, 2009.

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		0.75	%	$	1,000.00	$	546.90	$	2.88
2)Hypothetical		0.75	%	$	1,000.00	$	1,021.08	$	3.76

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

37

GMO International Small Companies Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $26,979,416 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $1,754,550 and recognized foreign source income of $21,018,038.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $469,477 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

40

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

41

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

42

GMO Foreign Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Foreign Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The Class III shares of the GMO Foreign Fund returned -47.4% for the fiscal year ended February 28, 2009, as compared to -50.2% for the MSCI EAFE Index. Consistent with the Fund's investment objectives and policies, the Fund was invested substantially in international equity securities throughout the period.

Stock selection added 2.1% to returns for the fiscal year. Holdings outperformed in the United Kingdom, Japan, and France. Stock selection was negative in the emerging markets.

Country selection was ahead of the MSCI EAFE Index by 0.7%. The largest positive contribution to country selection came from an underweight position in Australia, which added 0.3%.

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 II, IV and M will vary due to different fees.

GMO Foreign Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.8	%
Short-Term Investments		2.9
Preferred Stocks		0.1
Rights and Warrants		0.0
Other		0.2
		100.0	%
Country Summary	% of Equity Investments
Japan		28.9	%
United Kingdom		24.8
France		8.7
Germany		7.9
Italy		5.1
Switzerland		4.6
Hong Kong		3.4
Netherlands		3.1
Finland		2.8
Spain		2.6
Australia		2.0
Norway		1.6
Singapore		1.3
Belgium		0.8
South Korea		0.5
Taiwan		0.5
Austria		0.3
Brazil		0.3
Greece		0.3
India		0.1
Indonesia		0.1
Ireland		0.1
Malaysia		0.1
Sweden		0.1
Canada		0.0
New Zealand		0.0
Philippines		0.0
		100.0	%

1

GMO Foreign Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		15.2	%
Consumer Staples		13.3
Energy		11.5
Telecommunication Services		10.9
Health Care		10.7
Industrials		10.6
Consumer Discretionary		9.5
Utilities		9.1
Information Technology		5.3
Materials		3.9
		100.0	%

2

GMO Foreign Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 96.8%
		Australia — 1.9%
	478,260	Aristocrat Leisure Ltd		1,117,448
	808,900	Australia and New Zealand Banking Group Ltd		6,775,369
	1,168,594	Brambles Ltd		3,414,518
	915,506	Coca Cola Amatil Ltd		5,224,701
	118,000	Commonwealth Bank of Australia		2,225,065
	711,402	Consolidated Media Holdings Ltd		899,986
	1,771,424	Crown Ltd		5,833,822
	159,400	CSL Ltd		3,686,350
	2,098,200	Fairfax Media Ltd (a)		1,006,270
	618,758	Foster's Group Ltd		2,166,265
	515,800	Goodman Group		82,952
	1,977,896	Insurance Australia Group Ltd		4,287,556
	410,500	Insurance Australia Group Ltd (Placement Shares)		887,230
	607,863	Lend Lease Corp Ltd		2,055,668
	1,170,600	Metcash Ltd		3,109,660
	236,665	National Australia Bank Ltd		2,658,358
	350,585	QBE Insurance Group Ltd		4,210,735
	911,351	TABCORP Holdings Ltd		3,692,972
	1,731,560	Tatts Group Ltd		3,135,832
	1,187,829	Telstra Corp Ltd		2,676,984
	197,100	Westpac Banking Corp		2,101,896
		Total Australia		61,249,637
		Austria — 0.3%
	26,240	Flughafen Wien AG		712,090
	120,190	OMV AG		3,131,024
	344,850	Telekom Austria AG		4,487,733
	114,520	Wienerberger AG		922,244
		Total Austria		9,253,091

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 28, 2009

Shares		Description	Value ($)
		Belgium — 0.8%
	219,170	Belgacom SA		7,133,787
	365,873	Compagnie d'Entreprises CFE		9,091,500
	56,875	Groupe Bruxelles Lambert SA		3,636,839
	46,000	Solvay SA		2,603,260
	106,000	UCB SA		2,916,294
		Total Belgium		25,381,680
		Brazil — 0.3%
	867,300	Hypermarcas SA *		5,095,578
	210,200	Sul America SA		1,744,781
	132,973	Totvs SA		2,379,880
		Total Brazil		9,220,239
		Canada — 0.0%
	220,100	KAP Resources Ltd *(a)(b)		1,730
		Finland — 2.7%
	492,700	Fortum Oyj		8,461,983
	536,000	KCI Konecranes Oyj		8,680,655
	356,668	Neste Oil Oyj		4,442,846
	1,891,100	Nokia Oyj		17,720,213
	1,315,298	Nokian Renkaat Oyj		15,492,955
	310,500	Outokumpu Oyj		3,141,140
	425,600	Sampo Oyj Class A		5,597,553
	734,875	UPM-Kymmene Oyj		5,194,533
	481,800	Uponor Oyj		4,857,280
	127,800	Wartsila Oyj Class B		2,923,267
	1,459,359	YIT Oyj		8,748,394
		Total Finland		85,260,819
		France — 8.4%
	82,828	Accor SA		2,942,183
	211,742	ArcelorMittal		4,058,402
	596,612	AXA		5,438,267

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 28, 2009

Shares		Description	Value ($)
		France — continued
	373,361	BNP Paribas		12,091,364
	178,700	Carrefour SA		5,973,567
	56,414	Casino Guichard-Perrachon SA		3,485,328
	76,418	Compagnie Generale des Etablissements Michelin-Class B		2,464,212
	134,045	Essilor International SA		4,626,172
	1,371,011	France Telecom SA		30,639,039
	880,124	GDF Suez		27,794,122
	131,586	GDF Suez VVPR Strip *		167
	206,453	Groupe Danone		9,797,500
	120,055	L'Oreal SA		7,722,812
	60,601	Lafarge SA		2,596,550
	78,814	Neopost SA		5,719,297
	72,938	Pernod-Ricard SA		3,971,538
	69,767	Peugeot SA		1,187,181
	47,931	Renault SA		688,255
	612,247	Sanofi-Aventis		31,467,733
	158,651	Schneider Electric SA		9,470,639
	91,277	Societe BIC SA		4,448,694
	165,034	Societe Generale		5,115,663
	268,721	Suez Environnement SA *		3,911,006
	61,408	Technip SA		1,987,580
	102,496	Thales SA		4,114,073
	1,152,267	Total SA		54,135,287
	791,726	Vivendi Universal SA		18,823,188
	52,343	Wendel Investissement		1,303,779
		Total France		265,973,598
		Germany — 7.6%
	173,464	Adidas AG		4,986,788
	232,676	Allianz SE (Registered)		15,618,956
	73,541	Axel Springer AG		4,977,001
	252,800	BASF AG		7,012,580
	414,799	Bayer AG		19,953,760
	173,100	Bayerische Motoren Werke AG		4,281,728

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 28, 2009

Shares		Description	Value ($)
		Germany — continued
	377,901	Commerzbank AG		1,303,013
	403,281	Daimler AG (Registered)		9,135,491
	141,800	Deutsche Bank AG (Registered)		3,648,280
	107,900	Deutsche Boerse AG		4,935,761
	374,284	Deutsche Post AG (Registered)		3,580,519
	2,103,538	Deutsche Telekom AG (Registered)		25,437,693
	860,864	E.ON AG		22,137,044
	99,400	Fraport AG		3,009,639
	233,500	Fresenius Medical Care AG & Co		9,494,001
	254,818	Heidelberger Druckmaschinen AG		1,052,902
	1,011,400	Infineon Technologies AG *		613,534
	35,700	Linde AG		2,294,162
	104,846	MAN AG		4,220,243
	112,500	Merck KGaA		8,421,793
	161,774	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		19,713,338
	25,680	Puma AG Rudolf Dassler Sport		3,838,334
	312,500	RWE AG		19,876,141
	723,283	SAP AG		23,235,219
	355,937	Siemens AG (Registered)		17,980,300
		Total Germany		240,758,220
		Greece — 0.3%
	504,532	EFG Eurobank Ergasias		2,570,955
	227,542	OPAP SA		5,849,867
	240,000	Piraeus Bank SA		1,163,703
		Total Greece		9,584,525
		Hong Kong — 3.3%
	1,869,500	Cheung Kong Holdings Ltd		15,144,993
	1,422,000	CLP Holdings Ltd		10,512,193
	4,174,300	Great Eagle Holdings Ltd		5,145,446
	1,198,900	Hang Seng Bank Ltd		13,262,267
	10,159,755	Link REIT		19,283,261
	2,814,500	MTR Corp Ltd		6,246,210

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 28, 2009

Shares		Description	Value ($)
		Hong Kong — continued
	19,879,887	New World Development Co Ltd		17,743,669
	12,601,000	Shun Tak Holdings Ltd		3,999,368
	6,625,000	Wharf Holdings Ltd (The)		13,839,098
		Total Hong Kong		105,176,505
		India — 0.1%
	109,300	Infosys Technologies Sponsored ADR		2,645,060
		Indonesia — 0.1%
	8,056,000	Telekomunikasi Indonesia Tbk PT		4,239,786
		Ireland — 0.1%
	116,818	CRH Plc		2,399,126
	7,900	DCC Plc		107,323
	17,500	FBD Holdings Plc		168,542
		Total Ireland		2,674,991
		Italy — 5.0%
	721,700	Alleanza Assicurazioni SPA		3,573,188
	687,344	Assicurazioni Generali SPA		10,332,828
	157,800	Atlantia SPA		2,051,102
	2,071,948	Banca Monte dei Paschi di Siena SPA		2,558,418
	354,800	Banca Popolare di Milano Scarl		1,423,115
	301,054	Buzzi Unicem SPA		2,802,348
	4,097,735	Enel SPA		20,366,619
	2,111,321	ENI SPA		42,141,086
	948,010	Fiat SPA		4,239,970
	916,556	Finmeccanica SPA		11,680,061
	3,615,728	Intesa San Paolo		8,800,513
	1,086,223	Intesa Sanpaolo-Di RISP		1,807,803
	574,070	Italcementi SPA-Di RISP		3,005,356
	56,000	Lottomatica SPA		897,833
	492,300	Mediaset SPA		2,184,709
	305,400	Mediobanca SPA		2,473,170

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 28, 2009

Shares		Description	Value ($)
		Italy — continued
	2,242,600	Pirelli & Co SPA		481,329
	434,400	Snam Rete Gas SPA		2,152,452
	13,454,498	Telecom Italia SPA		16,354,194
	13,806,076	Telecom Italia SPA-Di RISP		13,130,490
	3,182,082	UniCredit SPA		4,030,454
		Total Italy		156,487,038
		Japan — 28.0%
	996,900	Asahi Breweries Ltd		12,482,622
	838,100	Astellas Pharma Inc		27,811,058
	760,700	Bridgestone Corp		10,360,547
	921,700	Canon Inc		23,261,010
	1,478,000	Chiba Bank Ltd		6,937,786
	3,457,000	Chuo Mitsui Trust Holdings Inc		10,479,246
	281,200	Circle K Sunkus Co Ltd		4,322,042
	780,600	Daiichi Sankyo Co Ltd		12,541,076
	240,300	Denso Corp		4,562,438
	792,900	East Japan Railway Co		47,484,949
	210,600	Electric Power Development Co Ltd		6,728,965
	4,567	Fuji Media Holdings Inc		5,201,900
	1,189,000	Hitachi Ltd		2,960,747
	355,100	Hokkaido Electric Power Co Inc		7,520,691
	1,510,400	Honda Motor Co Ltd		36,117,887
	184,800	Hoya Corp		3,349,032
	736,000	Itochu Corp		3,300,168
	811	Japan Real Estate Investment Corp		6,037,605
	6,658	Japan Tobacco Inc		15,880,997
	705,800	JSR Corp		8,284,205
	6,242	Jupiter Telecommunications Co Ltd		4,947,099
	1,889,000	Kansai Electric Power Co Inc		45,418,528
	1,115,000	Kao Corp		21,189,662
	4,105	KDDI Corp		21,504,774
	905,200	Kirin Holdings Co Ltd		8,737,118
	543,200	Konami Corp		7,667,593

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	473,700	Kyushu Electric Power Co Inc		11,218,518
	413,500	Lawson Inc		17,905,303
	209,400	Miraca Holdings Inc		4,350,376
	897,500	Mitsubishi Corp		11,166,228
	3,566,000	Mitsubishi Electric Corp		14,088,143
	3,448,800	Mitsubishi UFJ Financial Group Inc		15,580,381
	1,210,000	Mitsui OSK Lines Ltd		6,133,107
	821,000	Nichirei Corp		2,710,774
	116,800	Nihon Kohden Corp		1,472,837
	69,300	Nintendo Co Ltd		19,785,117
	761	Nippon Building Fund Inc		6,154,816
	2,180,000	Nippon Express Co Ltd		6,270,191
	1,625,000	Nippon Oil Corp		7,744,472
	360,700	Nippon Paper Group Inc		7,995,721
	2,681,000	Nippon Steel Corp		7,037,741
	303,000	Nissin Foods Holding Co Ltd		9,198,177
	974	Nomura Real Estate Office Fund (REIT)		4,916,692
	345,700	Nomura Research Institute		5,444,109
	6,548	NTT Data Corp		16,225,853
	43,017	NTT Docomo Inc		67,012,755
	629	ORIX JREIT Inc (REIT)		1,869,137
	2,461,000	Panasonic Corp		28,493,977
	643,000	Ricoh Company Ltd		7,263,144
	1,363,000	Sekisui Chemical Co Ltd		5,801,742
	941,400	Seven & I Holdings Co Ltd		20,863,154
	5,498	Seven Bank Ltd		15,086,190
	110,800	Shin-Etsu Chemical Co Ltd		4,932,995
	855,000	Shionogi & Co Ltd		13,884,348
	960,000	Shiseido Co Ltd		14,137,645
	665,000	Sompo Japan Insurance Inc		3,279,440
	3,212	Sony Financial Holdings Inc		8,262,015
	1,174,000	Sumitomo Chemical Co Ltd		3,528,886
	1,254,400	Sumitomo Electric Industries Ltd		9,747,435
	353,000	Sumitomo Mitsui Financial Group Inc		11,190,550

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 28, 2009

Shares		Description	Value ($)
		Japan — continued
	585,000	Takeda Pharmaceutical Co Ltd		23,628,048
	440,000	Tohoku Electric Power Co Inc		10,301,733
	2,224,000	Tokyo Gas Co Ltd		8,909,222
	376,000	Toyo Suisan Kaisha Ltd		8,898,637
	1,459,800	Toyota Motor Corp		46,756,877
	135,000	Unicharm Corp		8,819,603
	5,656	West Japan Railway Co		20,035,308
		Total Japan		883,191,142
		Malaysia — 0.1%
	3,046,600	IJM Corp Berhad		3,013,730
		Netherlands — 3.0%
	91,400	Akzo Nobel NV		3,193,836
	110,907	Hal Trust (Participating Units)		5,753,111
	396,000	Heineken NV		10,573,484
	1,628,022	ING Groep NV		7,359,131
	686,800	Koninklijke Ahold NV		7,620,807
	225,000	Koninklijke DSM NV		5,142,032
	1,325,300	Koninklijke KPN NV		16,955,728
	799,432	Koninklijke Philips Electronics NV		12,782,313
	305,518	Reed Elsevier NV		3,394,554
	891,745	Unilever NV		17,086,976
	206,400	Wolters Kluwer NV		3,259,517
		Total Netherlands		93,121,489
		New Zealand — 0.0%
	171,477	Air New Zealand		70,090
	538,152	Telecom Corp of New Zealand		652,271
		Total New Zealand		722,361
		Norway — 1.5%
	1,029,700	DnB NOR ASA		3,704,031
	3,224,500	DNO International ASA *		1,964,971

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 28, 2009

Shares		Description	Value ($)
		Norway — continued
	5,854,870	Prosafe ASA *		21,001,958
	4,871,020	Prosafe Production Public Ltd *		7,905,479
	1,130,000	Telenor ASA		5,811,038
	348,600	Yara International ASA		7,377,085
		Total Norway		47,764,562
		Philippines — 0.0%
	36,000,000	Alliance Global Group Inc *		1,089,740
		Singapore — 1.3%
	4,254,000	Ascendas Real Estate Investment Trust (REIT)		3,407,323
	2,521,430	DBS Group Holdings Ltd		12,593,058
	2,117,800	Keppel Corp Ltd		5,877,707
	8,599,000	People's Food Holdings Ltd		3,524,604
	1,161,300	Singapore Airlines Ltd		7,566,777
	4,594,000	Singapore Technologies Engineering Ltd		6,786,149
		Total Singapore		39,755,618
		South Korea — 0.4%
	73,800	KB Financial Group Inc *		1,414,927
	81,500	Samsung Card Co Ltd		1,400,012
	35,900	Samsung Electronics Co Ltd		11,041,694
		Total South Korea		13,856,633
		Spain — 2.5%
	28,040	ACS Actividades de Construccion y Servicios SA		1,107,343
	661,492	Banco Bilbao Vizcaya Argentaria SA		4,778,631
	1,469,932	Banco Santander SA		8,979,678
	119,000	Gas Natural SDG SA		2,133,253
	52,000	Grifols SA *		815,230
	4,170	Grupo Ferrovial SA		101,553
	1,770,612	Iberdrola SA		11,514,379
	40,900	Inditex SA		1,534,260
	522,000	Mapfre SA		1,061,207

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 28, 2009

Shares		Description	Value ($)
		Spain — continued
	89,750	Red Electrica de Espana		3,599,494
	329,729	Repsol YPF SA		5,036,232
	22,723	Tecnicas Reunidas SA		631,117
	1,639,361	Telefonica SA		30,170,888
	378,204	Union Fenosa SA		8,523,649
		Total Spain		79,986,914
		Sweden — 0.1%
	98,200	Elekta AB Class B		1,075,823
	441,704	Svenska Cellulosa AB Class B		2,858,848
		Total Sweden		3,934,671
		Switzerland — 4.5%
	48,500	Baloise Holding Ltd		2,746,459
	135,040	Bank Sarasin & Cie AG Class B (Registered)		2,849,386
	88,910	Energiedienst Holding AG (Registered) *		3,413,275
	4,940	Forbo Holdings AG (Registered) *		696,511
	31,030	Geberit AG (Registered)		2,779,480
	4,726	Jelmoli Holding AG (Registered)		1,818,495
	1,132,310	Nestle SA (Registered)		37,015,701
	987,890	Novartis AG (Registered)		36,041,497
	198,330	Roche Holding AG (Non Voting)		22,513,935
	100,660	Swiss Reinsurance Co (Registered)		1,239,241
	46,890	Swisscom AG (Registered)		14,045,135
	111,968	Zurich Financial Services AG		15,856,625
		Total Switzerland		141,015,740
		Taiwan — 0.5%
	4,630,022	Asustek Computer Inc		4,371,756
	4,916,314	Chinatrust Financial Holding Co Ltd		1,470,665
	236,700	Chunghwa Telecom Co Ltd ADR		3,633,345
	933,800	Hon Hai Precision Industry Co Ltd		1,834,305
	2,860,000	Taiwan Semiconductor Manufacturing Co Ltd		3,612,591
		Total Taiwan		14,922,662

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — 24.0%
	279,800	Amlin Plc		1,364,113
	478,843	Anglo American Plc		6,754,415
	760,345	Associated British Foods Plc		7,047,775
	1,000,900	AstraZeneca Plc		31,740,342
	2,326,504	Aviva Plc		9,558,555
	4,981,661	BAE Systems Plc		26,300,453
	3,295,606	Barclays Plc		4,323,566
	72,600	Berkeley Group Holdings Plc (Unit Shares) *		897,627
	2,714,846	BG Group Plc		38,807,048
	1,014,618	BHP Billiton Plc		15,812,646
	12,131,140	BP Plc		77,284,620
	529,100	British American Tobacco Plc		13,523,986
	741,976	British Sky Broadcasting Group Plc		4,945,982
	2,059,501	BT Group Plc		2,631,136
	776,265	Bunzl Plc		6,407,539
	116,920	Cadbury Plc		890,175
	289,700	Capita Group Plc		2,733,723
	2,470,857	Centrica Plc		9,502,192
	1,755,482	Cobham Plc		4,818,459
	1,718,200	Compass Group Plc		7,548,804
	1,105,310	Diageo Plc		12,745,608
	446,734	Experian Plc		2,640,231
	399,681	Filtrona Plc		654,406
	340,045	Fresnillo Plc		1,687,035
	4,004,999	GlaxoSmithKline Plc		60,743,018
	19,400	Go-Ahead Group Plc		252,885
	716,071	Group 4 Securicor Plc		1,892,897
	209,200	Hiscox Ltd		832,614
	418,661	Home Retail Group Plc		1,262,002
	5,313,530	HSBC Holdings Plc		36,956,357
	327,470	ICAP Plc		1,090,162
	1,205,677	Imperial Tobacco Group Plc		28,866,241
	1,175,900	International Power Plc		3,976,234
	941,611	J Sainsbury Plc		4,215,363

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	126,000	Jardine Lloyd Thompson Group Plc		817,760
	1,477,250	John Wood Group Plc		4,063,436
	205,270	Johnson Matthey Plc		2,850,427
	845,000	Lamprell Plc		999,577
	46,971	Lancashire Holdings Ltd *		321,633
	370,100	Land Securities Group Plc		2,890,198
	4,839,981	Legal & General Group Plc		2,761,173
	2,912,865	Lloyds Banking Group Plc		2,391,111
	39,930	Lonmin Plc		572,147
	937,100	Marks & Spencer Group Plc		3,465,498
	224,628	Misys Plc		344,602
	66,744	Mondi Ltd		157,735
	1,898,167	National Grid Plc		16,896,620
	381,432	Next Plc		6,325,263
	637,600	Pearson Plc		5,982,961
	174,110	Persimmon Plc		849,240
	1,222,517	Prudential Plc		4,872,432
	450,467	Reckitt Benckiser Group Plc		17,237,355
	805,103	Reed Elsevier Plc		6,014,537
	189,228	Rio Tinto Plc		4,830,451
	587,200	Rolls-Royce Group Plc *		2,402,032
	2,946,129	Royal Bank of Scotland Group Plc		959,522
	1,746,600	Royal Dutch Shell Plc A Shares (London)		38,345,384
	1,980,597	Royal Dutch Shell Plc B Shares (London)		41,574,385
	1,526,308	RSA Insurance Group Plc		2,984,140
	542,200	SABMiller Breweries Plc		7,850,003
	472,500	Sage Group Plc		1,144,859
	132,210	Schroders Plc		1,372,353
	487,960	Scottish & Southern Energy Plc		7,951,539
	333,458	Segro Plc		508,217
	612,668	Serco Group Plc		3,371,818
	420,175	Severn Trent (Ordinary Shares)		6,513,106
	602,900	Shire Plc		7,147,773
	521,192	Smith & Nephew Plc		3,693,385

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 28, 2009

Shares		Description	Value ($)
		United Kingdom — continued
	105,800	Smiths Group Plc		1,250,663
	290,400	Stagecoach Group Plc		477,640
	3,629,977	Tesco Plc		17,215,026
	165,564	Travis Perkins Plc		767,167
	902,023	Unilever Plc		17,425,031
	37,379,085	Vodafone Group Plc		66,231,676
	2,841,336	William Morrison Supermarkets Plc		10,436,793
	109,728	Wolseley Plc		277,116
	248,200	WPP Plc		1,287,691
	150,964	Xstrata Plc		1,487,252
		Total United Kingdom		758,026,936
		TOTAL COMMON STOCKS (COST $4,635,041,862)		3,058,309,117
		PREFERRED STOCKS — 0.1%
		Germany — 0.1%
	44,576	Volkswagen AG 5.36%		1,997,417
		Italy — 0.0%
	81,071	Exor SPA *		346,258
	174,933	Fiat SPA 19.49%		451,793
		Total Italy		798,051
		TOTAL PREFERRED STOCKS (COST $4,620,701)		2,795,468
		RIGHTS AND WARRANTS — 0.0%
		Malaysia — 0.0%
	304,660	IJM Land Berhad Warrants, Expires 09/11/13 *		14,791
		TOTAL RIGHTS AND WARRANTS (COST $8,700)		14,791

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 28, 2009

Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.9%
	6,654,486	Banco Santander Time Deposit, 0.53%, due 03/02/09		6,654,486
	7,200,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		7,200,000
	123	Brown Brothers Harriman Time Deposit, 0.02%-0.05%, due 03/02/09		123
	4,806,849	Citibank Time Deposit, 0.09%, due 03/02/09		4,806,849
	158,274	HSBC Bank (Hong Kong) Time Deposit, 0.01%, due 03/02/09		158,274
	357,856	JPMorgan Chase Time Deposit, 0.01%, due 03/02/09		357,856
	48,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		48,000,000
	79,905	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		79,905
	23,956,537	Societe Generale Time Deposit, 0.53%, due 03/02/09		23,956,537
		TOTAL SHORT-TERM INVESTMENTS (COST $91,214,030)		91,214,030
		TOTAL INVESTMENTS — 99.8% (Cost $4,730,885,293)		3,152,333,406
		Other Assets and Liabilities (net) — 0.2%		5,541,982
		TOTAL NET ASSETS — 100.0%	$	3,157,875,388

Notes to Schedule of Investments:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

*  Non-income producing security.

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

(b)  Bankrupt issuer.

See accompanying notes to the financial statements.

16

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $4,730,885,293) (Note 2)	$	3,152,333,406
Cash		5,506,690
Foreign currency, at value (cost $2,285,589) (Note 2)		2,144,838
Receivable for investments sold		24,075,303
Receivable for Fund shares sold		101,386
Dividends and interest receivable		10,699,994
Foreign taxes receivable		538,847
Receivable for expenses reimbursed by Manager (Note 3)		16,092
Miscellaneous receivable		2,255,329
Total assets		3,197,671,885
Liabilities:
Payable for investments purchased		24,809,307
Payable for Fund shares repurchased		10,036,590
Payable to affiliate for (Note 3):
Management fee		1,596,497
Shareholder service fee		372,665
Administration fee – Class M		628
Trustees and Chief Compliance Officer of GMO Trust fees		12,500
Payable for 12b-1 fee – Class M		1,729
Miscellaneous payable		2,009,576
Accrued expenses		957,005
Total liabilities		39,796,497
Net assets	$	3,157,875,388

See accompanying notes to the financial statements.

17

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	5,052,806,963
Accumulated undistributed net investment income		62,797,049
Distributions in excess of net realized gains		(378,546,733	)
Net unrealized depreciation		(1,579,181,891	)
	$	3,157,875,388
Net assets attributable to:
Class II shares	$	765,201,073
Class III shares	$	2,054,884,832
Class IV shares	$	334,003,041
Class M shares	$	3,786,442
Shares outstanding:
Class II		95,298,643
Class III		254,723,122
Class IV		41,399,835
Class M		469,340
Net asset value per share:
Class II	$	8.03
Class III	$	8.07
Class IV	$	8.07
Class M	$	8.07

See accompanying notes to the financial statements.

18

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $22,737,052)	$	255,538,361
Securities lending income		7,213,894
Interest		5,656,057
Total investment income		268,408,312
Expenses:
Management fee (Note 3)		37,348,751
Shareholder service fee – Class II (Note 3)		1,410,355
Shareholder service fee – Class III (Note 3)		4,612,067
Shareholder service fee – Class IV (Note 3)		2,252,871
12b-1 fee – Class M (Note 3)		14,551
Administration fee – Class M (Note 3)		11,641
Custodian and fund accounting agent fees		2,782,297
Transfer agent fees		69,227
Audit and tax fees		117,099
Legal fees		156,255
Trustees fees and related expenses (Note 3)		82,510
Registration fees		31,948
Miscellaneous		107,895
Total expenses		48,997,467
Fees and expenses reimbursed by Manager (Note 3)		(3,187,460	)
Expense reductions (Note 2)		(55,061	)
Net expenses		45,754,946
Net investment income (loss)		222,653,366
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(352,641,058	)
Foreign currency, forward contracts and foreign currency related transactions		(10,715,684	)
Net realized gain (loss)		(363,356,742	)
Change in net unrealized appreciation (depreciation) on:
Investments		(3,264,371,136	)
Foreign currency, forward contracts and foreign currency related transactions		(8,406,455	)
Net unrealized gain (loss)		(3,272,777,591	)
Net realized and unrealized gain (loss)		(3,636,134,333	)
Net increase (decrease) in net assets resulting from operations	$	(3,413,480,967	)

See accompanying notes to the financial statements.

19

GMO Foreign Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	222,653,366		$	198,735,620
Net realized gain (loss)		(363,356,742	)		936,210,706
Change in net unrealized appreciation (depreciation)		(3,272,777,591	)		(1,176,011,293	)
Net increase (decrease) in net assets from operations		(3,413,480,967	)		(41,064,967	)
Distributions to shareholders from:
Net investment income
Class II		(15,392,810	)		(21,412,395	)
Class III		(74,322,210	)		(104,621,491	)
Class IV		(49,698,946	)		(96,288,052	)
Class M		(136,270	)		(177,321	)
Total distributions from net investment income		(139,550,236	)		(222,499,259	)
Net realized gains
Class II		(30,952,457	)		(81,212,536	)
Class III		(153,074,862	)		(384,092,710	)
Class IV		(132,725,396	)		(323,497,643	)
Class M		(278,249	)		(736,740	)
Total distributions from net realized gains		(317,030,964	)		(789,539,629	)
		(456,581,200	)		(1,012,038,888	)
Net share transactions (Note 7):
Class II		328,041,113			(67,333,012	)
Class III		(98,648,505	)		(1,411,331	)
Class IV		(1,707,487,765	)		620,525,429
Class M		237,607			72,341
Increase (decrease) in net assets resulting from net share transactions		(1,477,857,550	)		551,853,427
Total increase (decrease) in net assets		(5,347,919,717	)		(501,250,428	)
Net assets:
Beginning of period		8,505,795,105			9,007,045,533
End of period (including accumulated undistributed net investment income of $62,797,049 and distributions in excess of net investment income of $21,928,667, respectively)	$	3,157,875,388		$	8,505,795,105

See accompanying notes to the financial statements.

20

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	16.52		$	18.56		$	16.70		$	15.13		$	13.29
Income (loss) from investment operations:
Net investment income (loss)†		0.45			0.40			0.38			0.28			0.26
Net realized and unrealized gain (loss)		(7.95	)		(0.36	)		3.06			2.46			2.28
Total from investment operations		(7.50	)		0.04			3.44			2.74			2.54
Less distributions to shareholders:
From net investment income		(0.33	)		(0.44	)		(0.43	)		(0.33	)		(0.34	)
From net realized gains		(0.66	)		(1.64	)		(1.15	)		(0.84	)		(0.36	)
Total distributions		(0.99	)		(2.08	)		(1.58	)		(1.17	)		(0.70	)
Net asset value, end of period	$	8.03		$	16.52		$	18.56		$	16.70		$	15.13
Total Return(a)		(47.49	)%		(0.78	)%		21.21	%		19.01	%		19.40	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	765,201		$	848,359		$	1,018,021		$	1,213,447		$	808,149
Net expenses to average daily net assets		0.82	%(b)		0.82	%(b)		0.82	%		0.82	%		0.82	%
Net investment income to average daily net assets		3.42	%		2.10	%		2.17	%		1.82	%		1.92	%
Portfolio turnover rate		39	%		29	%		23	%		25	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

21

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	16.59		$	18.64		$	16.76		$	15.18		$	13.34
Income (loss) from investment operations:
Net investment income (loss)†		0.47			0.41			0.38			0.30			0.26
Net realized and unrealized gain (loss)		(7.99	)		(0.36	)		3.09			2.45			2.30
Total from investment operations		(7.52	)		0.05			3.47			2.75			2.56
Less distributions to shareholders:
From net investment income		(0.34	)		(0.46	)		(0.44	)		(0.33	)		(0.36	)
From net realized gains		(0.66	)		(1.64	)		(1.15	)		(0.84	)		(0.36	)
Total distributions		(1.00	)		(2.10	)		(1.59	)		(1.17	)		(0.72	)
Net asset value, end of period	$	8.07		$	16.59		$	18.64		$	16.76		$	15.18
Total Return(a)		(47.42	)%		(0.75	)%		21.36	%		19.07	%		19.41	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,054,885		$	4,078,545		$	4,556,742		$	3,800,326		$	3,663,370
Net expenses to average daily net assets		0.75	%(b)		0.75	%(b)		0.75	%		0.75	%		0.75	%
Net investment income to average daily net assets		3.51	%		2.16	%		2.11	%		1.97	%		1.87	%
Portfolio turnover rate		39	%		29	%		23	%		25	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

22

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	16.59		$	18.64		$	16.77		$	15.18		$	13.34
Income (loss) from investment operations:
Net investment income (loss)†		0.51			0.40			0.36			0.31			0.28
Net realized and unrealized gain (loss)		(8.02	)		(0.34	)		3.11			2.47			2.28
Total from investment operations		(7.51	)		0.06			3.47			2.78			2.56
Less distributions to shareholders:
From net investment income		(0.35	)		(0.47	)		(0.45	)		(0.35	)		(0.36	)
From net realized gains		(0.66	)		(1.64	)		(1.15	)		(0.84	)		(0.36	)
Total distributions		(1.01	)		(2.11	)		(1.60	)		(1.19	)		(0.72	)
Net asset value, end of period	$	8.07		$	16.59		$	18.64		$	16.77		$	15.18
Total Return(a)		(47.39	)%		(0.68	)%		21.36	%		19.22	%		19.47	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	334,003		$	3,571,516		$	3,424,024		$	2,007,037		$	1,169,805
Net expenses to average daily net assets		0.69	%(b)		0.69	%(b)		0.69	%		0.69	%		0.69	%
Net investment income to average daily net assets		3.70	%		2.08	%		2.04	%		1.98	%		2.00	%
Portfolio turnover rate		39	%		29	%		23	%		25	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

23

GMO Foreign Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	16.58		$	18.63		$	16.75		$	15.19		$	13.25
Income (loss) from investment operations:
Net investment income (loss)†		0.41			0.35			0.30			0.24			0.30
Net realized and unrealized gain (loss)		(7.96	)		(0.36	)		3.12			2.46			2.21
Total from investment operations		(7.55	)		(0.01	)		3.42			2.70			2.51
Less distributions to shareholders:
From net investment income		(0.30	)		(0.40	)		(0.39	)		(0.30	)		(0.21	)
From net realized gains		(0.66	)		(1.64	)		(1.15	)		(0.84	)		(0.36	)
Total distributions		(0.96	)		(2.04	)		(1.54	)		(1.14	)		(0.57	)
Net asset value, end of period	$	8.07		$	16.58		$	18.63		$	16.75		$	15.19
Total Return(a)		(47.58	)%		(1.05	)%		21.04	%		18.66	%		19.18	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	3,786		$	7,375		$	8,258		$	5,673		$	3,508
Net expenses to average daily net assets		1.05	%(b)		1.05	%(b)		1.05	%		1.05	%		1.05	%
Net investment income to average daily net assets		3.11	%		1.81	%		1.69	%		1.56	%		2.24	%
Portfolio turnover rate		39	%		29	%		23	%		25	%		23	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.05	%		0.05	%		0.05	%		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, except for reimbursements related to securities lending transactions (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

24

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 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 cash equivalents 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 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a

25

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 95.20% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued Fairfax Media Ltd at the subscription price of an entitlement offer. The Fund also considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	145,056,329	$	—
Level 2 - Other Significant Observable Inputs		3,006,269,077		—
Level 3 - Significant Unobservable Inputs		1,008,000		—
Total	$	3,152,333,406	$	—

26

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	9,856,883		$	—
Realized gain (loss)		(2,840,863	)		—
Change in unrealized appreciation/depreciation		(4,977,512	)		—
Net purchases (sales)		(1,030,508	)		—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	1,008,000		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

27

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the

28

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. As of February 28, 2009 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

29

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to passive foreign investment company transactions, foreign currency transactions, capital loss carryforwards, losses on wash sale transactions, post-October capital losses and redemption in-kind transactions, and adjustments for securities lending.

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	1,622,586	$	(13,295,062	)	$	11,672,476

30

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	139,574,670	$	294,640,270
Net long-term capital gain		317,006,530		717,398,618
Total distributions	$	456,581,200	$	1,012,038,888

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 74,537,198

As of February 28, 2009, 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:

2/28/2017	$	(72,173,104	)
Total	$	(72,173,104	)

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $257,668,488.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	4,788,655,945	$	92,591,775	$	(1,728,914,314	)	$	(1,636,322,539	)

For the year ended February 28, 2009, the Fund had net realized gains attributed to redemption in-kind transactions of $12,221,246.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109.

31

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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, 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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.

32

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.60% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.22% for Class II shares, 0.15% for Class III shares, and 0.09% for Class IV shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or for the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net assets of Class M shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.60% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, administration and distribution (12b-1) 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $70,976 and $44,685, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

33

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $2,313,135,776 and $3,759,246,444, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 10.45% of the shares outstanding of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 1.26% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class II:	Shares			Amount			Shares			Amount
Shares sold		58,274,223		$	511,976,197			16,492,099		$	297,811,599
Shares issued to shareholders in reinvestment of distributions		3,196,851			40,987,454			4,944,763			92,077,263
Shares repurchased		(17,540,416	)		(224,922,538	)		(24,912,687	)		(457,221,874	)
Net increase (decrease)		43,930,658		$	328,041,113			(3,475,825	)	$	(67,333,012	)

34

GMO Foreign Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		107,907,531		$	953,731,183			40,267,613		$	743,943,093
Shares issued to shareholders in reinvestment of distributions		15,342,666			200,755,062			24,148,643			451,660,303
Shares repurchased		(114,403,163	)		(1,253,134,750	)		(63,056,039	)		(1,197,014,727	)
Net increase (decrease)		8,847,034		$	(98,648,505	)		1,360,217		$	(1,411,331	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		1,297,973		$	19,976,078			35,986,533		$	684,663,196
Shares issued to shareholders in reinvestment of distributions		11,448,393			156,652,652			20,380,015			379,339,109
Shares repurchased		(186,625,494	)		(1,884,116,495	)		(24,769,071	)		(443,476,876	)
Net increase (decrease)		(173,879,128	)	$	(1,707,487,765	)		31,597,477		$	620,525,429
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class M:	Shares			Amount			Shares			Amount
Shares sold		70,075		$	896,218			90,342		$	1,706,341
Shares issued to shareholders in reinvestment of distributions		32,761			414,519			48,969			914,061
Shares repurchased		(78,335	)		(1,073,130	)		(137,839	)		(2,548,061	)
Net increase (decrease)		24,501		$	237,607			1,472		$	72,341

35

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

36

GMO Foreign Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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 Foreign Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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 II
1) Actual		0.83	%	$	1,000.00	$	586.70	$	3.27
2) Hypothetical		0.83	%	$	1,000.00	$	1,020.68	$	4.16
Class III
1) Actual		0.75	%	$	1,000.00	$	587.10	$	2.95
2) Hypothetical		0.75	%	$	1,000.00	$	1,021.08	$	3.76
Class IV
1) Actual		0.69	%	$	1,000.00	$	587.30	$	2.72
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.37	$	3.46
Class M
1) Actual		1.05	%	$	1,000.00	$	586.40	$	4.13
2) Hypothetical		1.05	%	$	1,000.00	$	1,019.59	$	5.26

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

38

GMO Foreign Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $317,006,530 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $22,734,508 and recognized foreign source income of $278,272,869.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $12,473,674 or if determined to be different, the qualified interest income 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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

40

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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

41

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

42

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

43

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Tobacco-Free Core Fund returned -33.8% for the fiscal year ended February 28, 2009, as compared to -43.3% for the S&P 500 Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the S&P 500 Index. Stock selections within Energy, Consumer Discretionary, and Information Technology added to relative returns while stock selections within Health Care, Utilities, and Telecommunication Services detracted. Individual names adding to relative returns included overweight positions in Wal-Mart Stores and Johnson & Johnson and an underweight in GE. Names detracting from relative returns included underweight positions in AT&T and Verizon Communications and an overweight in Zimmer Holdings.

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 underweight positions in Telecommunication Services, Utilities, and Consumer Discretionary.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.2	%
Short-Term Investments		3.6
Futures		(0.4	)
Other		0.6
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		27.9	%
Information Technology		18.4
Consumer Staples		17.0
Energy		15.6
Consumer Discretionary		8.0
Industrials		5.3
Financials		4.5
Materials		1.5
Telecommunication Services		1.3
Utilities		0.5
		100.0	%

1

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 96.2%
		Consumer Discretionary — 7.7%
	600	Abercrombie & Fitch Co.-Class A		13,194
	500	Advance Auto Parts, Inc.		19,125
	100	Apollo Group, Inc.-Class A *		7,250
	560	AutoZone, Inc. *		79,649
	2,200	Bed Bath & Beyond, Inc. *		46,860
	700	Best Buy Co., Inc.		20,174
	700	Cablevision Systems Corp.-Class A		9,093
	3,400	CBS Corp.-Class B (Non Voting)		14,518
	3,200	Coach, Inc. *		44,736
	7,400	Comcast Corp.-Class A		96,644
	900	DirecTV Group (The), Inc. *		17,946
	1,400	DISH Network Corp.-Class A *		15,750
	600	Dollar Tree, Inc. *		23,292
	700	Family Dollar Stores, Inc.		19,208
	1,400	Gannett Co., Inc.		4,536
	1,200	Gap (The), Inc.		12,948
	300	Genuine Parts Co.		8,442
	1,600	H&R Block, Inc.		30,560
	600	Harley-Davidson, Inc.		6,060
	700	Hasbro, Inc.		16,023
	11,800	Home Depot, Inc.		246,502
	100	ITT Educational Services, Inc. *		11,350
	1,200	J. Crew Group, Inc. *		13,512
	1,500	Kohl's Corp. *		52,710
	800	Leggett & Platt, Inc.		9,144
	1,100	Limited Brands, Inc.		8,459
	6,700	Lowe's Cos., Inc.		106,128
	1,400	McDonald's Corp.		73,150
	1,300	News Corp.-Class A		7,228
	27	NVR, Inc. *		8,985
	600	PetSmart, Inc.		12,024
	300	Polo Ralph Lauren Corp.		10,341

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	1,000	Ross Stores, Inc.		29,520
	300	Sears Holdings Corp. *		11,028
	400	Sherwin-Williams Co. (The)		18,380
	3,800	Staples, Inc.		60,610
	1,300	Target Corp.		36,803
	1,100	Time Warner Cable, Inc.-Class A *		20,053
	1,000	TJX Cos. (The), Inc.		22,270
	1,500	Urban Outfitters, Inc. *		24,960
	300	Yum! Brands, Inc.		7,884
		Total Consumer Discretionary		1,297,049
		Consumer Staples — 16.3%
	300	Archer-Daniels-Midland Co.		7,998
	700	Avon Products, Inc.		12,313
	700	Campbell Soup Co.		18,739
	200	Church & Dwight Co., Inc.		9,784
	600	Clorox Co.		29,160
	9,200	Coca-Cola Co. (The)		375,820
	2,000	Colgate-Palmolive Co.		120,360
	413	Costco Wholesale Corp.		17,486
	900	Estee Lauder Cos. (The), Inc.-Class A		20,385
	2,800	General Mills, Inc.		146,944
	800	Hershey Co. (The)		26,952
	900	HJ Heinz Co.		29,403
	200	JM Smucker Co. (The)		7,424
	800	Kellogg Co.		31,136
	1,400	Kimberly-Clark Corp.		65,954
	1,200	Kraft Foods, Inc.-Class A		27,336
	1,800	Kroger Co. (The)		37,206
	400	McCormick & Co., Inc. (Non Voting)		12,540
	8,000	PepsiCo, Inc.		385,120
	6,948	Procter & Gamble Co. (The)		334,685
	365	Supervalu, Inc.		5,698
	500	Sysco Corp.		10,750

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — continued
	16,200	Wal-Mart Stores, Inc.		797,688
	9,200	Walgreen Co.		219,512
		Total Consumer Staples		2,750,393
		Energy — 15.0%
	500	Anadarko Petroleum Corp.		17,475
	860	Apache Corp.		50,818
	300	Baker Hughes, Inc.		8,793
	1,800	BJ Services Co.		17,406
	200	Cabot Oil & Gas Corp.		4,074
	2,100	Chesapeake Energy Corp.		32,844
	10,300	Chevron Corp.		625,313
	500	Cimarex Energy Co.		9,825
	6,051	ConocoPhillips		226,005
	800	Devon Energy Corp.		34,936
	500	ENSCO International, Inc.		12,290
	820	EOG Resources, Inc.		41,033
	13,600	Exxon Mobil Corp.		923,440
	1,700	Halliburton Co.		27,727
	700	Helmerich & Payne, Inc.		16,562
	870	Hess Corp.		47,580
	398	Murphy Oil Corp.		16,640
	1,500	Nabors Industries Ltd. *		14,565
	400	National Oilwell Varco, Inc. *		10,692
	300	Newfield Exploration Co. *		5,799
	300	Noble Corp.		7,377
	400	Noble Energy, Inc.		18,216
	3,500	Occidental Petroleum Corp.		181,545
	1,000	Patterson-UTI Energy, Inc.		8,590
	600	Pioneer Natural Resources Co.		8,754
	700	Plains Exploration & Production Co. *		13,398
	200	Range Resources Corp.		7,114
	1,100	Southwestern Energy Co. *		31,647
	500	Spectra Energy Corp.		6,500

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	400	Sunoco, Inc.		13,380
	209	Transocean Ltd. *		12,492
	2,600	Valero Energy Corp.		50,388
	1,300	Weatherford International Ltd. *		13,871
	400	XTO Energy, Inc.		12,664
		Total Energy		2,529,753
		Financials — 4.3%
	500	Aflac, Inc.		8,380
	3,400	Allstate Corp. (The)		57,222
	500	Arthur J. Gallagher & Co.		7,935
	400	Assurant, Inc.		8,160
	7,988	Bank of America Corp.		31,552
	2,700	BB&T Corp.		43,551
	170	BlackRock, Inc.		16,458
	300	Capital One Financial Corp.		3,615
	2,900	Chubb Corp.		113,216
	400	Comerica, Inc.		6,004
	1,100	Freddie Mac		462
	170	Goldman Sachs Group (The), Inc.		15,484
	2,600	Hudson City Bancorp, Inc.		26,962
	500	JPMorgan Chase & Co.		11,425
	3,000	Marsh & McLennan Cos., Inc.		53,790
	900	MetLife, Inc.		16,614
	900	Moody's Corp.		16,155
	700	People's United Financial, Inc.		12,187
	100	PNC Financial Services Group, Inc.		2,734
	2,900	Progressive Corp. (The) *		33,553
	400	Prudential Financial, Inc.		6,564
	200	T. Rowe Price Group, Inc.		4,548
	300	Torchmark Corp.		6,180
	3,800	Travelers Cos. (The), Inc.		137,370
	35	Unum Group		356
	2,400	US Bancorp		34,344

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	800	W.R. Berkley Corp.		16,648
	3,200	Wells Fargo & Co.		38,720
		Total Financials		730,189
		Health Care — 26.9%
	4,700	Abbott Laboratories		222,498
	1,400	AmerisourceBergen Corp.		44,464
	10,200	Amgen, Inc. *		499,086
	200	Bard (C.R.), Inc.		16,052
	500	Baxter International, Inc.		25,455
	200	Becton, Dickinson & Co.		12,378
	800	Biogen Idec, Inc. *		36,832
	3,600	Bristol-Myers Squibb Co.		66,276
	1,900	Cardinal Health, Inc.		61,655
	400	Celgene Corp. *		17,892
	200	Cephalon, Inc. *		13,118
	200	Covance, Inc. *		7,596
	1,500	Coventry Health Care, Inc. *		17,280
	200	Covidien Ltd.		6,334
	200	Edwards Lifesciences Corp. *		11,122
	5,300	Eli Lilly & Co.		155,714
	1,200	Express Scripts, Inc. *		60,360
	5,600	Forest Laboratories, Inc. *		120,064
	400	Genentech, Inc. *		34,220
	100	Genzyme Corp. *		6,093
	4,400	Gilead Sciences, Inc. *		197,120
	500	Illumina, Inc. *		15,665
	13,120	Johnson & Johnson		656,000
	1,000	King Pharmaceuticals, Inc. *		7,340
	2,700	McKesson Corp.		110,754
	3,300	Medtronic, Inc.		97,647
	6,600	Merck & Co., Inc.		159,720
	200	Myriad Genetics, Inc. *		15,770
	400	Omnicare, Inc.		10,372

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	200	Patterson Cos., Inc. *		3,614
	3,400	PDL BioPharma, Inc.		19,958
	53,890	Pfizer, Inc.		663,386
	200	Quest Diagnostics, Inc.		9,166
	2,100	Schering-Plough Corp.		36,519
	500	Stryker Corp.		16,835
	20,967	UnitedHealth Group, Inc.		412,001
	400	Varian Medical Systems, Inc. *		12,204
	400	Vertex Pharmaceuticals, Inc. *		12,092
	4,800	WellPoint, Inc. *		162,816
	7,500	Wyeth		306,150
	4,800	Zimmer Holdings, Inc. *		168,096
		Total Health Care		4,527,714
		Industrials — 5.1%
	1,700	3M Co.		77,282
	1,690	Burlington Northern Santa Fe Corp.		99,321
	1,300	CH Robinson Worldwide, Inc.		53,794
	300	Copart, Inc. *		8,106
	2,500	CSX Corp.		61,700
	200	Danaher Corp.		10,152
	300	Emerson Electric Co.		8,025
	1,300	Fastenal Co.		39,156
	200	Flowserve Corp.		10,094
	1,800	General Dynamics Corp.		78,876
	400	JB Hunt Transport Services, Inc.		8,152
	700	Joy Global, Inc.		12,222
	600	Kansas City Southern *		10,614
	200	L-3 Communications Holdings, Inc.		13,530
	120	Lockheed Martin Corp.		7,573
	200	Manpower, Inc.		5,576
	600	Masco Corp.		3,090
	2,300	Norfolk Southern Corp.		72,956
	150	Paccar, Inc.		3,761

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	400	Parker-Hannifin Corp.		13,348
	300	Rockwell Collins, Inc.		9,360
	200	Ryder System, Inc.		4,572
	900	Southwest Airlines Co.		5,301
	100	SPX Corp.		4,428
	2,700	Tyco International Ltd.		54,135
	2,200	Union Pacific Corp.		82,544
	800	United Parcel Service, Inc.-Class B		32,944
	900	United Technologies Corp.		36,747
	100	W.W. Grainger, Inc.		6,616
	800	Waste Management, Inc.		21,600
		Total Industrials		855,575
		Information Technology — 17.7%
	1,100	Affiliated Computer Services, Inc.-Class A *		51,293
	300	Alliance Data Systems Corp. *		8,880
	600	Altera Corp.		9,198
	300	Automatic Data Processing, Inc.		10,245
	300	BMC Software, Inc. *		8,889
	30,300	Cisco Systems, Inc. *		441,471
	200	Citrix Systems, Inc. *		4,116
	3,300	Dell, Inc. *		28,149
	6,000	eBay, Inc. *		65,220
	307	Fiserv, Inc. *		10,014
	300	Global Payments, Inc.		9,204
	380	Google, Inc.-Class A *		128,436
	2,190	International Business Machines Corp.		201,546
	3,400	Lawson Software, Inc. *		13,056
	320	MasterCard, Inc.-Class A		50,570
	45,900	Microsoft Corp.		741,285
	800	NetApp, Inc. *		10,752
	31,200	Oracle Corp. *		484,848
	17,132	Qualcomm, Inc.		572,723
	200	Red Hat, Inc. *		2,738

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	200	Salesforce.com, Inc. *		5,600
	2,300	Symantec Corp. *		31,809
	5,400	VeriFone Holdings, Inc. *		23,436
	1,000	Western Digital Corp. *		13,660
	3,300	Western Union Co.		36,828
	1,200	Xilinx, Inc.		21,216
		Total Information Technology		2,985,182
		Materials — 1.4%
	3,000	Alcoa, Inc.		18,690
	2,100	Barrick Gold Corp.		63,420
	22,900	Domtar Corp. *		18,091
	400	Dow Chemical Co. (The)		2,864
	200	FMC Corp.		8,086
	530	Monsanto Co.		40,423
	1,400	Nucor Corp.		47,110
	500	Pactiv Corp. *		7,915
	200	Reliance Steel & Aluminum Co.		4,758
	400	Sigma-Aldrich Corp.		14,280
	200	Vulcan Materials Co.		8,282
		Total Materials		233,919
		Telecommunication Services — 1.3%
	4,339	AT&T, Inc.		103,138
	1,300	Frontier Communications Corp.		9,360
	3,584	Verizon Communications, Inc.		102,251
		Total Telecommunication Services		214,749
		Utilities — 0.5%
	200	Exelon Corp.		9,444
	600	FirstEnergy Corp.		25,536
	500	MDU Resources Group, Inc.		7,570
	300	PG&E Corp.		11,466

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 28, 2009

Shares		Description	Value ($)
		Utilities — continued
	600	Southern Co.		18,186
	900	TECO Energy, Inc.		8,631
		Total Utilities		80,833
		TOTAL COMMON STOCKS (COST $23,787,697)		16,205,356
		SHORT-TERM INVESTMENTS — 3.6%
		Money Market Funds — 3.6%
	609,711	State Street Institutional Treasury Money Market Fund-Institutional Class		609,711
		TOTAL SHORT-TERM INVESTMENTS (COST $609,711)		609,711
		TOTAL INVESTMENTS — 99.8% (Cost $24,397,408)		16,815,067
		Other Assets and Liabilities (net) — 0.2%		33,787
		TOTAL NET ASSETS — 100.0%	$	16,848,854

See accompanying notes to the financial statements.

10

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	10	S&P 500 E-Mini Index	March 2009	$	367,100	$	(68,610	)

As of February 28, 2009, 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.

See accompanying notes to the financial statements.

11

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $24,397,408) (Note 2)	$	16,815,067
Receivable for investments sold		18,542
Dividends and interest receivable		62,351
Receivable for collateral on open futures contracts (Note 2)		49,500
Receivable for expenses reimbursed by Manager (Note 3)		7,068
Total assets		16,952,528
Liabilities:
Payable for investments purchased		21,234
Payable to affiliate for (Note 3):
Management fee		4,698
Shareholder service fee		2,134
Trustees and Chief Compliance Officer of GMO Trust fees		57
Payable for variation margin on open futures contracts (Note 2)		8,900
Accrued expenses		66,651
Total liabilities		103,674
Net assets	$	16,848,854
Net assets consist of:
Paid-in capital	$	33,777,322
Accumulated undistributed net investment income		70,534
Accumulated net realized loss		(9,348,051	)
Net unrealized depreciation		(7,650,951	)
	$	16,848,854
Net assets attributable to:
Class III shares	$	16,848,854
Shares outstanding:
Class III		2,575,879
Net asset value per share:
Class III	$	6.54

See accompanying notes to the financial statements.

12

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $141)	$	528,675
Interest		1,335
Total investment income		530,010
Expenses:
Management fee (Note 3)		81,514
Shareholder service fee – Class III (Note 3)		37,052
Custodian, fund accounting agent and transfer agent fees		29,954
Audit and tax fees		61,881
Legal fees		428
Trustees fees and related expenses (Note 3)		272
Registration fees		1,824
Miscellaneous		3,392
Total expenses		216,317
Fees and expenses reimbursed by Manager (Note 3)		(97,209	)
Expense reductions (Note 2)		(733	)
Net expenses		118,375
Net investment income (loss)		411,635
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(5,242,966	)
Closed futures contracts		(353,130	)
Net realized gain (loss)		(5,596,096	)
Change in net unrealized appreciation (depreciation) on:
Investments		(4,006,589	)
Open futures contracts		8,556
Net unrealized gain (loss)		(3,998,033	)
Net realized and unrealized gain (loss)		(9,594,129	)
Net increase (decrease) in net assets resulting from operations	$	(9,182,494	)

See accompanying notes to the financial statements.

13

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	411,635		$	2,667,719
Net realized gain (loss)		(5,596,096	)		26,668,967
Change in net unrealized appreciation (depreciation)		(3,998,033	)		(21,962,862	)
Net increase (decrease) in net assets from operations		(9,182,494	)		7,373,824
Distributions to shareholders from:
Net investment income
Class III		(407,510	)		(2,382,432	)
Class IV		—			(1,169,636	)
Total distributions from net investment income		(407,510	)		(3,552,068	)
Net realized gains
Class III		—			(15,985,212	)
Class IV		—			(5,014,664	)
Total distributions from net realized gains		—			(20,999,876	)
		(407,510	)		(24,551,944	)
Net share transactions (Note 7):
Class III		(18,757,975	)		(122,744,412	)
Class IV		—			(141,183,947	)
Increase (decrease) in net assets resulting from net share transactions		(18,757,975	)		(263,928,359	)
Total increase (decrease) in net assets		(28,347,979	)		(281,106,479	)
Net assets:
Beginning of period		45,196,833			326,303,312
End of period (including accumulated undistributed net investment income of $70,534 and $66,409, respectively)	$	16,848,854		$	45,196,833

See accompanying notes to the financial statements.

14

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	10.03		$	12.88		$	12.45		$	12.24		$	11.76
Income (loss) from investment operations:
Net investment income (loss)†		0.15			0.19			0.18			0.20			0.17
Net realized and unrealized gain (loss)		(3.50	)		(0.96	)(a)		0.54			0.44			0.54
Total from investment operations		(3.35	)		(0.77	)		0.72			0.64			0.71
Less distributions to shareholders:
From net investment income		(0.14	)		(0.22	)		(0.23	)		(0.15	)		(0.18	)
From net realized gains		—			(1.86	)		(0.06	)		(0.28	)		(0.05	)
Total distributions		(0.14	)		(2.08	)		(0.29	)		(0.43	)		(0.23	)
Net asset value, end of period	$	6.54		$	10.03		$	12.88		$	12.45		$	12.24
Total Return(b)		(33.76	)%		(7.30	)%		5.87	%		5.40	%		6.16	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	16,849		$	45,197		$	188,133		$	224,097		$	221,661
Net expenses to average daily net assets		0.48	%(c)		0.48	%(c)		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.67	%		1.52	%		1.46	%		1.68	%		1.43	%
Portfolio turnover rate		65	%		74	%		73	%		63	%		68	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.39	%		0.08	%		0.06	%		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.

15

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 in companies with similar market capitalizations, other than tobacco-producing companies.

As of February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

16

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	16,205,356	$	—
Level 2 - Other Significant Observable Inputs		609,711		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	16,815,067	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(68,610	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(68,610	)

*  Other financial instruments include futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

17

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces

18

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

19

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized

20

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	—	$	25,163	$	(25,163	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	407,510	$	8,717,495
Net long-term capital gain		—		15,834,449
Total distributions	$	407,510	$	24,551,944

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 70,534

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $2,211,392.

As of February 28, 2009, 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:

2/28/2017	$	(6,261,595	)
Total	$	(6,261,595	)

21

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	25,341,081	$	37,789	$	(8,563,803	)	$	(8,526,014	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

22

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.33% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $272 and $211, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $15,945,063 and $33,362,893, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves future claims that may be made

23

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

against the Fund that have not yet occurred. Based on experience, management is of the view that the risk of loss in connection with its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 86.54% of the outstanding shares of the Fund were held by two shareholders. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and 10.46% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		431		$	3,713			443,012		$	4,612,176
Shares issued to shareholders in reinvestment of distributions		41,507			366,324			1,466,326			17,114,056
Shares repurchased		(1,971,521	)		(19,128,012	)		(12,009,243	)		(144,470,644	)
Net increase (decrease)		(1,929,583	)	$	(18,757,975	)		(10,099,905	)	$	(122,744,412	)
	Year Ended February 28, 2009						Period Ended June 21, 2007*
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			—		$	—
Shares issued to shareholders in reinvestment of distributions		—			—			469,828			6,184,300
Shares repurchased		—			—			(11,190,045	)		(147,368,247	)
Net increase (decrease)		—		$	—			(10,720,217	)	$	(141,183,947	)

*  Effective June 21, 2007, all shareholders redeemed or exchanged out of Class IV.

24

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

25

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.48	%	$	1,000.00	$	664.00	$	1.98
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

*  Expenses are calculated using the Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

26

GMO Tobacco-Free Core Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

GMO Emerging Markets Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Markets Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Emerging Markets team 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 -58.6% for the fiscal year ended February 28, 2009, as compared to -56.3% for the S&P/IFCI 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 0.9% from performance during the period. The Fund's underweights in Russia and India and overweight in Brazil contributed to performance. The Fund's overweights in Korea, Hungary and Pakistan and underweight in China, Chile, and Israel detracted from performance.

Stock selection was successful in Taiwan, Poland, and Egypt while it detracted from performance in Korea, Russia, Israel, South Africa, Indonesia, Philippines, and Brazil.

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 of taxes 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 IVshares, 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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		80.9	%
Preferred Stocks		11.7
Investment Funds		3.9
Short-Term Investments		2.2
Forward Currency Contracts		0.0
Private Equity Securities		0.6
Debt Obligations		0.2
Convertible Securities		0.1
Mutual Funds		0.0
Rights and Warrants		0.0
Other		0.4
		100.0	%
Country Summary	% of Equity Investments
Brazil		18.5	%
South Korea		17.5
Taiwan		13.4
China		11.4
South Africa		7.4
Turkey		5.3
Thailand		4.8
Russia		3.9
United States*		3.7
Malaysia		2.8
India		2.0
Mexico		1.6
Israel		1.4
Egypt		1.1
Poland		1.1
Hungary		0.8
Chile		0.7
Indonesia		0.7
Philippines		0.7
Czech Republic		0.6
Morocco		0.5
Argentina		0.1
Lebanon		0.0
Peru		0.0
Sri Lanka		0.0
Ukraine		0.0
		100.0	%

*  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

1

GMO Emerging Markets Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Industry Sector Summary	% of Equity Investments
Financials		22.1	%
Information Technology		13.0
Energy		11.7
Telecommunication Services		11.5
Materials		11.1
Industrials		7.6
Consumer Discretionary		7.3
Utilities		5.3
Consumer Staples		4.6
Miscellaneous*		3.9
Health Care		1.9
		100.0	%

*  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

2

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 80.9%
		Argentina — 0.1%
	1,162,846	Petrobras Energia Participaciones SA Sponsored ADR		5,837,487
	127,710	Telecom Argentina SA Sponsored ADR *		910,572
		Total Argentina		6,748,059
		Brazil — 6.9%
	770,588	Aes Tiete SA		4,704,602
	3,628,300	Banco do Brasil SA		21,013,613
	120,110	Banco Itau Holding Financeira SA		1,102,610
	288,800	Banco Nossa Caixa SA		8,441,549
	131,700	Brasil Telecom Participacoes SA		3,323,616
	179,400	Cia de Saneamento de Minas Gerais-Copasa MG *		1,559,641
	589,900	Companhia de Concessoes Rodoviarias		5,717,940
	1,660,102	Companhia Saneamento Basico Sao Paulo		16,688,489
	105,216	Companhia Siderurgica Nacional SA		1,379,327
	3,730,200	Companhia Vale do Rio Doce		48,152,243
	154,910	Companhia Vale do Rio Doce ADR		1,996,790
	1,747,230	Companhia Vale do Rio Doce Sponsored ADR		19,481,614
	631,200	CPFL Energia SA		8,301,096
	1,335,500	Cyrela Brazil Realty SA		3,931,555
	1,007,800	EDP-Energias Do Brasil SA		9,861,387
	1,688,192	Electrobras (Centro)		18,495,706
	2,925,400	Empresa Brasileira de Aeronautica SA		8,061,548
	421,800	Fertilizantes Heringer SA *		702,000
	1,358,200	Gerdau SA		5,673,839
	2,351,000	JBS SA		4,532,119
	1,993,400	Natura Cosmeticos SA		18,088,475
	295,300	Perdigao SA		3,656,366
	3,791,300	Petroleo Brasileiro SA (Petrobras)		51,842,230
	1,475,570	Petroleo Brasileiro SA (Petrobras) ADR		40,917,556
	2,634,900	Redecard SA		27,545,580
	422,104	Souza Cruz SA		8,472,439
	593,900	Tele Norte Leste Participacoes SA		8,816,363

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 28, 2009

Shares		Description	Value ($)
		Brazil — continued
	428,340	Unibanco-Uniao de Bancos Brasileiros SA GDR		22,415,032
	1,397,850	Usinas Siderurgicas de Minas Gerais SA		14,391,180
		Total Brazil		389,266,505
		Chile — 0.7%
	138,220	AFP Provida SA Sponsored ADR		2,335,918
	253,310	Banco Santander Chile SA ADR		8,848,118
	113,118	Compania Cervecerias Unidas ADR		3,013,463
	68,145	Embotelladora Andina SA ADR A Shares		847,724
	205,980	Embotelladora Andina SA ADR B Shares		2,945,514
	147,460	Empresa Nacional de Electricidad SA Sponsored ADR		5,346,900
	489,540	Enersis SA Sponsored ADR		7,059,167
	1,194,550	Lan Airlines SA Sponsored ADR		9,855,037
		Total Chile		40,251,841
		China — 11.0%
	13,105,990	Advanced Semiconductor Manufacturing Co Class H *		156,658
	185,980,000	Bank of China Ltd Class H		51,233,380
	26,154,880	Chaoda Modern Agriculture Holdings Ltd		14,946,079
	14,872,000	China Agri-Industries Holdings Ltd *		6,657,954
	13,034,000	China Communication Services Corp Ltd Class H		7,265,359
	44,356,000	China Construction Bank Class H		22,233,908
	7,466,000	China Life Insurance Co Ltd Class H		20,651,609
	9,840,000	China Merchants Bank Co Ltd Class H		14,276,739
	10,281,942	China Mobile Ltd		89,330,689
	375,649	China Mobile Ltd Sponsored ADR		16,284,384
	64,697,351	China Petroleum & Chemical Corp Class H		33,099,282
	7,952,000	China Railway Construction Corp Ltd Class H *		9,601,564
	22,780,000	China Railway Group Ltd Class H *		12,390,687
	6,218,000	China Shipping Development Co Ltd Class H		4,772,111
	26,648,000	China Ting Group Holding Ltd		1,502,961
	9,288,000	CNPC Hong Kong Ltd		3,122,847
	8,526,000	Cosco Pacific Ltd		6,150,615
	21,802,000	Datang International Power Generation Co Ltd		9,044,938

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 28, 2009

Shares		Description	Value ($)
		China — continued
	2,025,000	Dongfang Electrical Machinery Co Ltd		3,651,541
	27,852,000	Dongfeng Motor Group Co Ltd		10,102,534
	37,646,000	Huaneng Power International Inc Class H		24,522,751
	55,544,000	Industrial and Commercial Bank of China Ltd Class H		22,370,869
	4,849,500	Kingboard Chemical Holdings Ltd		7,849,183
	557,540	LDK Solar Co Ltd ADR *		2,854,605
	38,781,000	Maoye International Holdings		3,445,422
	902,766	Mindray Medical International Ltd ADR		16,475,480
	453,906	Netease.Com Inc ADR *		9,295,995
	131,890	New Oriental Education & Technology Group Inc Sponsored ADR *		5,904,715
	20,834,000	Nine Dragons Paper Holdings Ltd		5,584,031
	2,850,000	Pacific Basin Shipping Ltd		1,298,941
	7,494,500	Parkson Retail Group Ltd		5,992,121
	6,356,172	Peace Mark Holdings Ltd *		1,229,394
	790,590	Perfect World Co Ltd ADR *		9,091,785
	70,575,101	PetroChina Co Ltd Class H		49,990,678
	33,104,789	Pico Far East Holdings Ltd		1,980,247
	1,158,338	Shanda Interactive Entertainment Ltd Sponsored ADR *		38,016,653
	9,633,500	Shandong Chenming Paper Holdings Ltd Class H *		3,644,215
	1,649,000	Shandong Weigao Group Medical Polymer Co Ltd Class H		2,754,773
	3,474,344	Shanghai Industrial Holdings Ltd		7,851,854
	37,104,000	Shenzhen Investment Ltd		5,824,973
	13,538,000	Shimao Property Holdings Ltd		6,908,958
	839,050	Sina.com *		18,014,404
	464,130	Suntech Power Holdings Co Ltd ADR *		2,826,552
	2,914,000	Tencent Holdings Ltd		16,647,515
	515,790	VisionChina Media Inc *		3,125,687
	349,890	Wilmar International Ltd		639,150
	7,524,000	Yanzhou Coal Mining Co Ltd Class H		4,251,432
	10,428,000	Zhuzhou CSR Times Electric Co Ltd Class H		9,415,421
		Total China		624,283,643

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 28, 2009

Shares		Description	Value ($)
		Czech Republic — 0.6%
	227,600	Central European Media Enterprises Ltd Class A *		1,320,926
	795,820	CEZ AS		23,842,855
	493,317	New World Resources NV Class A		1,358,902
	50,630	Pegas Nonwovens SA		561,068
	313,960	Telefonica 02 Czech Republic AS		5,292,680
	617,070	Unipetrol		3,108,620
		Total Czech Republic		35,485,051
		Egypt — 1.0%
	455,447	Alexandria Mineral Oils Co		2,819,030
	2,027,835	Commercial International Bank		12,301,282
	239,161	Egyptian Co for Mobile Services		5,847,298
	14,220	El Ezz Aldekhela Steel Alexa Co		1,557,337
	2,330,820	El Ezz Steel Rebars SAE		2,863,579
	142,573	ElSwedy Cables Holding Co *		1,005,649
	244,830	Orascom Construction Industries		4,845,483
	1,797,820	Orascom Telecom Holding SAE		5,966,451
	2,552,070	Sidi Kerir Petrochemicals Co		3,687,650
	8,695,100	Talaat Moustafa Group *		3,975,679
	5,559,359	Telecom Egypt		14,272,860
		Total Egypt		59,142,298
		Hungary — 0.8%
	6,344,050	Magyar Telekom Nyrt		14,586,597
	198,940	MOL Magyar Olaj es Gazipari Nyrt		7,418,022
	2,073,040	OTP Bank Nyrt *		13,914,638
	72,140	Richter Gedeon Nyrt		7,449,943
		Total Hungary		43,369,200
		India — 1.7%
	63,600	BFUtilities Ltd *		425,031
	620,211	Bombay Dyeing & Manufacturing Co Ltd		1,736,633
	11,896,352	CBAY Systems Holdings Ltd * (a)		7,663,868
	5,948,177	CBAY Systems Ltd * (b) (c)		59,482

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 28, 2009

Shares		Description	Value ($)
		India — continued
	216,500	Hero Honda Motors Ltd		3,894,211
	1,422,400	Housing Development & Infrastructure Ltd		2,007,907
	417,600	Housing Development Finance Corp Ltd		10,227,029
	4,125,500	Industrial Development Bank of India Ltd		3,844,782
	185,550	Infosys Technologies Ltd		4,395,594
	949,047	Jindal Steel & Power Ltd		18,973,179
	947,823	KSK Energy Ventures Ltd *		3,102,243
	854,100	Maruti Suzuki India Ltd		11,146,788
	1,382,513	PTC India Ltd		1,611,060
	1,524,800	Reliance Energy Ltd		14,385,656
	1,869,704	Reliance Power Ltd		3,574,286
	557,200	State Bank of India		11,042,837
		Total India		98,090,586
		Indonesia — 0.6%
	10,272,500	Aneka Tambang Tbk PT		1,016,940
	972,500	Astra International Tbk PT		903,709
	184,360,000	Bakrie & Brothers Tbk PT *		763,236
	70,550,500	Bakrie Sumatera Plantations Tbk PT		1,852,331
	19,351,500	Bank Central Asia Tbk PT		3,751,082
	12,089,500	Bank Mandiri Tbk PT		1,720,569
	35,795,000	Bank Negara Indonesia (Persero) Tbk PT		2,057,191
	138,540,500	Bumi Resources Tbk PT		8,536,014
	645,500	Gudang Garam Tbk PT		277,868
	56,515,500	Indah Kiat Pulp and Paper Corp Tbk PT *		4,224,141
	10,905,000	Indofood Sukses Makmur Tbk PT		788,176
	20,634,000	Kalbe Farma Tbk PT		1,101,497
	24,926,600	Matahari Putra Prima Tbk PT		1,095,100
	18,363,500	Perusahaan Gas Negara PT		2,878,250
	8,275,500	Telekomunikasi Indonesia Tbk PT		4,355,306
	161,630,000	Truba Alam Manunggal Engineering Tbk PT *		671,415
		Total Indonesia		35,992,825

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 28, 2009

Shares		Description	Value ($)
		Israel — 1.4%
	7,428,550	Bank Hapoalim BM *		12,702,598
	12,972,600	Bank Leumi Le		22,221,978
	73,790	Delek Group Ltd		4,881,867
	57,630	IDB Development Corp Ltd		566,966
	871,330	Teva Pharmaceutical Industries Ltd Sponsored ADR		38,843,891
		Total Israel		79,217,300
		Lebanon — 0.0%
	8,700	Banque Libanaise pour le Commerce Sal * (b)		35,695
		Malaysia — 2.7%
	8,254,300	Berjaya Sports Toto Berhad		10,602,462
	980,978	British American Tobacco Malaysia Berhad		11,826,639
	15,119,100	Genting Berhad		14,000,511
	38,735,240	KNM Group Berhad		3,812,404
	2,587,343	MISC Berhad		5,949,947
	2,423,028	PPB Group Berhad		6,298,893
	3,454,148	Public Bank Berhad		8,154,491
	26,948,641	Resorts World Berhad		15,956,939
	44,108,929	RHB Capital Berhad		44,188,640
	8,849,100	Shangri-La Hotels Berhad		3,799,325
	14,890,400	Sunway City Berhad		5,871,416
	3,963,178	Tanjong Plc		14,782,039
	2,746,000	UMW Holdings Berhad		4,023,344
	21,518,621	WCT Engineering Berhad		5,817,428
		Total Malaysia		155,084,478
		Mexico — 1.6%
	2,607,400	Alfa SA de CV Class A		3,646,594
	275,700	America Movil SAB de CV Class L ADR		7,024,836
	30,497,839	Cemex SA de CV CPO		16,420,373
	444,680	Cemex SA de CV Sponsored CPO ADR *		2,396,825
	4,100,200	Corporacion GEO SA de CV Series B *		3,755,600
	436,970	Fomento Economico Mexicano Sponsored ADR		10,067,789

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 28, 2009

Shares		Description	Value ($)
		Mexico — continued
	1,602,511	Grupo Cementos de Chihuahua SA de CV		2,887,255
	5,469,150	Grupo Financiero Banorte SA de CV Class O		5,760,024
	27,787,715	Grupo Mexico SA Class B		15,855,236
	1,579,290	Telefonos de Mexico SA de CV Class L Sponsored ADR		21,699,445
		Total Mexico		89,513,977
		Morocco — 0.5%
	18,222	Banque Centrale Populaire		546,590
	61,635	Banque Marocaine du Commerce Exterieur		1,748,242
	11,585	Compagnie Generale Immobiliere		2,774,085
	2,308	Lafarge Ciments		396,281
	952,895	Maroc Telecom		17,555,533
	12,495	ONA SA		1,959,214
	3,920	Societe Nationale De Siderurgie		1,228,507
		Total Morocco		26,208,452
		Peru — 0.0%
	478,855	Compania Minera Milpo SA		729,221
	9,020	Credicorp Ltd		329,320
	34,100	Minsur SA		38,816
	81,768	Sociedad Minera Cerro Verde SA		834,851
	1,726,507	Volcan Compania Minera SA Class B		499,282
		Total Peru		2,431,490
		Philippines — 0.7%
	3,558,000	Alliance Global Group Inc *		107,703
	19,332,300	Benpres Holdings Corp *		491,688
	707,472,942	Filinvest Land Inc		5,392,687
	8,066,900	First Gen Corp *		2,519,273
	712,600	Manila Electric Co		1,297,129
	827,704,087	Megaworld Corp		8,964,108
	118,096	Philippine Long Distance Telephone Co		5,197,389
	45,617,100	PNOC Energy Development Corp		2,291,794

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 28, 2009

Shares		Description	Value ($)
		Philippines — continued
	132,173,510	Robinsons Land Corp		11,790,506
	3,037,300	Vista Land & Lifescapes Inc		50,885
		Total Philippines		38,103,162
		Poland — 0.4%
	2,107,390	Getin Holding SA *		1,647,409
	1,881,070	Polski Koncern Naftowy Orlen SA		10,554,496
	955,950	Powszechna Kasa Oszczednosci Bank Polski SA		4,981,553
	1,567,090	Telekomunikacja Polska SA		7,554,882
		Total Poland		24,738,340
		Russia — 3.6%
	3,393,804	Cherepovets MK Severstal GDR (Registered Shares)		12,319,508
	580,490	Lukoil Sponsored ADR		18,598,900
	2,440,969	Magnit Sponsored GDR *		11,716,651
	466,580	Mobile Telesystems Sponsored ADR		11,053,280
	6,993,400	OAO Gazprom Sponsored GDR		90,844,266
	146,300	OAO Tatneft Sponsored GDR (Registered Shares)		5,208,280
	164,211	Rostelecom Sponsored ADR		7,901,833
	135,000	Russia Petroleum * (b)		917,112
	18,440,540	Sberbank RF		7,225,004
	4,990,802	Surgutneftegaz Sponsored ADR		28,547,387
	4,133,570	VTB Bank GDR		4,422,920
	369,874	X5 Retail Group NV GDR (Registered Shares) *		2,552,131
		Total Russia		201,307,272
		South Africa — 7.2%
	2,415,075	Absa Group Ltd		21,146,569
	1,579,538	Adcock Ingram Holdings Ltd *		5,944,753
	358,900	AngloGold Ashanti Ltd		10,619,256
	1,303,200	ArcelorMittal South Africa Ltd		9,493,254
	3,819,632	Aveng Ltd		9,672,571
	1,859,367	Bidvest Group Ltd		15,216,945
	776,900	Exxaro Resources Ltd		5,166,274

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 28, 2009

Shares		Description	Value ($)
		South Africa — continued
	18,069,100	FirstRand Ltd		21,429,005
	1,386,400	Gold Fields Ltd		14,221,062
	5,333,116	Grindrod Ltd		6,903,443
	2,042,540	Harmony Gold Mining Co Ltd *		24,644,372
	2,418,857	Imperial Holdings Ltd		10,573,744
	2,723,572	Investec Ltd		8,078,726
	2,409,028	JD Group Ltd		6,993,095
	2,053,399	Massmart Holdings Ltd		14,676,083
	2,214,999	MTN Group Ltd		18,758,028
	1,364,388	Naspers Ltd Class N		20,694,775
	1,190,100	Nedbank Group Ltd		8,807,941
	4,113,888	Remgro Ltd		26,938,577
	1,289,238	Reunert Ltd		4,741,793
	4,680,633	RMB Holdings Ltd		8,858,972
	14,076,571	Sanlam Ltd		21,166,677
	796,202	Sasol Ltd		19,856,553
	3,622,726	Standard Bank Group Ltd		23,179,352
	11,819,600	Steinhoff International Holdings Ltd		13,080,747
	2,473,200	Telkom South Africa Ltd		24,179,110
	1,562,832	Tiger Brands Ltd		19,499,055
	4,485,051	Truworths International Ltd		13,769,084
		Total South Africa		408,309,816
		South Korea — 16.6%
	8,990	Amorepacific Corp		3,204,028
	4,403,499	Biomass Korea Co Ltd * (a)		662,925
	186,456	Boryung Pharmaceutical Co Ltd (a)		2,759,751
	2,783,681	Busan Bank		9,226,567
	201,060	Cheil Industries Inc		4,770,196
	1,911,470	Daegu Bank		7,152,265
	577,880	Daehan Pulp Co Ltd * (a)		1,825,376
	464,786	Daelim Industrial Co Ltd		11,975,158
	16,434	Daesun Shipbuilding *		682,814
	103,816	DC Chemical Co Ltd		14,269,350

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 28, 2009

Shares		Description	Value ($)
		South Korea — continued
	439,953	Dongbu Insurance Co Ltd		4,045,121
	465,103	Dongkuk Steel Mill Co Ltd		6,359,961
	1,413,948	Finetex EnE Inc *		1,529,543
	328,920	GS Engineering & Construction Corp		9,955,241
	322,900	GS Holdings Corp		5,278,131
	1,940,609	Hana Financial Group Inc		22,965,575
	435,694	Hanjin Heavy Industries & Construction Holdings Co Ltd		3,471,314
	562,610	Hanjin Shipping		5,531,798
	606,050	Hankook Tire Co Ltd		4,921,942
	267,014	Honam Petrochemical Corp		8,030,085
	164,220	Hyundai Department Store Co Ltd		5,942,777
	182,420	Hyundai Development Co		3,340,461
	157,836	Hyundai Engineering & Construction		5,207,747
	295,837	Hyundai Mipo Dockyard		22,512,341
	924,684	Hyundai Mobis		44,403,708
	1,344,150	Hyundai Motor Co		42,074,773
	352,190	Hyundai Steel Co		7,769,784
	413,621	Hyunjin Materials Co Ltd *		7,071,534
	3,017,839	In the F Co Ltd * (a)		1,677,571
	2,579,820	Industrial Bank of Korea *		9,802,207
	531,610	Kangwon Land Inc		4,272,826
	3,147,258	KB Financial Group Inc *		60,340,660
	40,200	KB Financial Group Inc ADR *		756,564
	14,780	KCC Corp		2,703,191
	215,781	Keangnam Enterprises Ltd *		707,885
	1,531,140	Kia Motors Corp *		6,591,194
	1,653,530	Korea Electric Power Corp *		25,605,445
	2,945,440	Korea Exchange Bank		10,296,876
	5,064	Korea Iron & Steel Co Ltd		142,135
	398,630	Korea Kumho Petrochemical Co Ltd		4,317,063
	152,160	Korea Line Corp		5,222,954
	266,439	Korea Zinc Co Ltd		15,304,847
	282,510	Korean Air Lines Co Ltd *		5,572,229
	817,090	KT Corp		19,857,275

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 28, 2009

Shares		Description	Value ($)
		South Korea — continued
	313,740	KT Corp Sponsored ADR *		3,771,155
	182,240	KT Freetel Co Ltd *		3,233,772
	1,216,801	KT&G Corp		62,379,034
	571,050	Kumho Industrial Co Ltd *		4,267,418
	274,650	LG Chem Ltd		14,902,041
	778,080	LG Corp		20,345,169
	784,030	LG Dacom Corp		8,851,643
	913,510	LG Display Co Ltd		15,170,536
	716,890	LG International Corp		7,200,648
	1,717,290	LG Telecom Ltd		9,874,916
	93,660	Lotte Shopping Co Ltd		9,926,837
	470,819	Maeil Dairy Industry		2,755,138
	142,253	NCSoft Corp		6,452,079
	266,349	POSCO		53,767,266
	794,190	Pumyang Construction Co Ltd (a)		5,161,915
	357,630	S-Oil Corp		12,153,485
	251,051	Samsung Electronics Co Ltd		77,215,276
	267,626	Samsung Fire & Marine Insurance Co Ltd		27,154,209
	144,912	Samsung SDI Co Ltd		5,370,053
	2,040,885	Shinhan Financial Group Co Ltd *		29,992,101
	288,893	SK Energy Co Ltd		13,415,727
	917,624	SK Holdings Co Ltd		50,421,517
	1,870,760	SK Networks Co Ltd		8,746,484
	226,365	SK Telecom Co Ltd		27,514,964
	257,510	SK Telecom Co Ltd ADR		3,448,059
	49,476	Taewoong Co Ltd		2,825,294
	2,564,860	Woori Finance Holdings Co Ltd *		10,268,177
	37,730	Yuhan Corp		4,717,703
		Total South Korea		941,413,804
		Sri Lanka — 0.0%
	268,604	Lanka Walltile Ltd		94,057

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 28, 2009

Shares		Description	Value ($)
		Taiwan — 13.0%
	13,804,000	Acer Inc		18,074,323
	10,621,000	Asia Cement Corp		7,841,324
	17,190,547	Asustek Computer Inc		16,231,648
	8,175,000	Catcher Technology Co Ltd		13,646,843
	46,588,000	China Bills Finance Corp *		8,341,468
	35,996,261	China Development Financial Holding Corp		6,056,964
	51,089,000	Chinatrust Financial Holding Co Ltd		15,282,750
	37,866,248	Chunghwa Telecom Co Ltd		58,297,426
	235,910	Chunghwa Telecom Co Ltd ADR		3,621,219
	32,243,545	Compal Electronics Inc		18,360,955
	5,797,612	Delta Electronics Inc		9,129,644
	3,014,472	DFI Inc		2,935,234
	12,075,218	Dimerco Express Taiwan Corp (a)		6,639,875
	13,731,445	Far Eastern Textile Co Ltd		8,115,592
	17,737,500	Far Eastone Telecommunications Co Ltd		17,134,055
	37,565,488	First Financial Holding Co Ltd		14,880,155
	6,477,208	Formosa Chemicals & Fibre Co		6,461,947
	29,271,000	Fubon Financial Holding Co Ltd		15,547,488
	4,918,600	High Tech Computer Corp		53,342,581
	26,149,404	Hon Hai Precision Industry Co Ltd		51,366,438
	484,000	Largan Precision Co Ltd		3,400,717
	9,941,455	Les Enphants Co Ltd (a)		4,441,616
	27,905,927	Lite-On Technology Corp		16,287,558
	6,959,618	MediaTek Inc		59,697,988
	12,259,000	Mitac International Corp		4,423,789
	2,301,340	Motech Industries Inc		5,073,351
	15,149,405	Nan Ya Plastics Corp		14,286,884
	8,113,785	Novatek Microelectronics Corp Ltd		9,799,419
	4,949,000	Powertech Technology Inc		7,527,626
	28,861,000	Quanta Computer Inc		29,140,344
	4,964,652	Siliconware Precision Industries Co		4,195,626
	10,994,000	Synnex Technology International Corp		12,474,271
	30,484,663	Taiwan Cement Corp		22,565,362
	9,254,000	Taiwan Fertilizer Co Ltd		13,896,696

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 28, 2009

Shares		Description	Value ($)
		Taiwan — continued
	12,332,288	Taiwan Mobile Co Ltd		16,024,719
	97,305,908	Taiwan Semiconductor Manufacturing Co Ltd		122,911,333
	4,737,000	U-Ming Marine Transport Corp		5,997,736
	1,855,725	Waterland Financial Holdings		295,081
	12,120,000	Wistron Corp		9,154,631
	72,296,000	Yuanta Financial Holding Co Ltd		25,997,295
		Total Taiwan		738,899,971
		Thailand — 4.7%
	17,051,590	Advanced Info Service Pcl (Foreign Registered) (b)		37,702,468
	8,203,010	Bangkok Bank Pcl NVDR (b)		16,698,902
	29,855,800	Bangkok Dusit Medical Service Pcl (Foreign Registered) (b)		14,032,432
	37,827,540	Bank of Ayudhya Pcl (Foreign Registered) (b)		9,314,239
	2,094,000	Bank of Ayudhya Pcl NVDR (b)		507,058
	1,802,800	Banpu Pcl (Foreign Registered) (b)		10,412,978
	45,156,920	BEC World Pcl (Foreign Registered) (b)		23,939,971
	18,172,880	Home Product Center Pcl (Foreign Registered) (b)		1,837,282
	146,645,800	IRPC Pcl (Foreign Registered) (b)		7,510,454
	85,679,650	Italian Thai Development Pcl (Foreign Registered) (b)		5,415,285
	15,832,560	Kasikornbank Pcl (Foreign Registered) (b)		19,293,096
	63,924,000	Krung Thai Bank Pcl (Foreign Registered) (b)		7,257,031
	3,318,000	PTT Chemical Pcl (Foreign Registered) (b)		2,678,440
	3,045,000	PTT Exploration & Production Pcl (Foreign Registered) (b)		7,395,575
	10,914,270	PTT Pcl (Foreign Registered) (b)		46,567,471
	10,061,690	Robinson Department Store Pcl (Foreign Registered) (b)		1,747,216
	3,499,793	Robinson Department Store Pcl NVDR (b)		607,740
	13,206,400	Saha Pathana International Holding Pcl (Foreign Registered) (b)		6,551,652
	3,285,838	Siam Cement Pcl (Foreign Registered) (b)		9,064,952
	783,000	Siam Cement Pcl NVDR (b)		2,149,335
	16,834,900	Siam Commercial Bank Pcl (Foreign Registered) (b)		25,752,953
	3,108,050	Star Block Co Ltd (Foreign Registered) * (a) (b) (d)		859
	13,691,320	Thai Oil Pcl (Foreign Registered) (b)		8,968,789
		Total Thailand		265,406,178

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 28, 2009

Shares		Description	Value ($)
		Turkey — 5.1%
	9,837,105	Akbank TAS		22,674,929
	991,210	Anadolu Efes Biracilik ve Malt Sanayii AS		6,261,513
	30,080,774	Dogan Sirketler Grubu Holdings AS *		9,076,782
	2,100,954	Enka Insaat ve Sanayi AS		7,632,935
	6,038,816	Eregli Demir ve Celik Fabrikalari TAS		12,192,718
	8,308,351	Haci Omer Sabanci Holding AS		12,055,197
	13,735,516	KOC Holding AS *		17,170,001
	42,150	Medya Holding AS * (b) (e)		248
	1,841,220	Tupras-Turkiye Petrol Rafineriler AS		16,699,858
	3,463,860	Turk Hava Yollari Anonim Ortakligi *		11,403,579
	9,217,150	Turk Sise ve Cam Fabrikalari AS *		5,159,674
	7,685,870	Turk Telekomunikasyon AS *		17,586,044
	12,124,085	Turkcell Iletisim Hizmet AS		60,037,790
	31,702,140	Turkiye Garanti Bankasi *		38,655,689
	3,283,400	Turkiye Halk Bankasi AS		6,909,412
	11,596,310	Turkiye IS Bankasi Class C		22,460,731
	12,196,162	Turkiye Sinai Kalkinma Bankasi AS *		4,810,027
	15,188,060	Turkiye Vakiflar Bankasi TAO Class D		9,695,666
	11,575,033	Yapi ve Kredi Bankasi AS *		11,274,100
		Total Turkey		291,756,893
		TOTAL COMMON STOCKS (COST $7,323,414,388)		4,595,150,893
		PREFERRED STOCKS — 11.7%
		Brazil — 11.2%
	4,316,880	Aracruz SA Class B (Registered) 11.82%		3,086,838
	5,458,901	Banco Bradesco SA 0.84%		47,252,342
	6,529,375	Banco Itau Holding Financeira SA 0.65%		60,613,919
	1,232,800	Bradespar SA 1.89%		11,547,512
	774,800	Brasil Telecom Participacoes SA 6.99%		4,859,915
	1,080,000	Brasil Telecom SA 6.36%		5,279,418
	531,200	Companhia Brasileira de Distribuicao Grupo Pao de Acucar 0.79%		6,395,102
	600,600	Companhia de Bebidas das Americas 4.31%		24,082,769

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 28, 2009

Shares		Description	Value ($)
		Brazil — continued
	201,200	Companhia de Transmissao de Energia Eletrica Paulista 1.82%		3,811,307
	3,164,464	Companhia Energetica de Minas Gerais 2.63%		43,998,674
	2,002,800	Companhia Paranaense de Energia Class B 1.17%		18,676,273
	5,434,108	Companhia Vale do Rio Doce Class A 4.07%		60,967,265
	727,400	Duratex SA 2.64%		4,650,809
	1,195,800	Electrobras (Centro) SA Class B 6.65%		12,126,014
	861,800	Eletropaulo Metropolitana SA 7.61%		10,555,374
	3,163,700	Gerdau Metalurgica SA 2.46%		22,080,017
	5,219,262	Gerdau SA 1.29%		27,630,617
	14,546,850	Itausa-Investimentos Itau SA 0.81%		43,006,703
	1,130,952	Net Servicos de Comunicacoa SA *		7,164,808
	9,529,504	Petroleo Brasileiro SA (Petrobras) 0.10%		105,201,516
	1,068,560	Petroleo Brasileiro SA Sponsored ADR 0.10%		23,914,373
	5,925,423	Sadia SA 1.33%		7,086,522
	763,900	Tam SA 1.55%		5,158,896
	2,461,330	Tele Norte Leste Participacoes ADR 1.03%		29,831,320
	427,700	Telecomunicacoes de Sao Paulo SA 10.06%		7,903,347
	278,200	Telemar Norte Leste SA Class A 3.13%		5,429,286
	190,900	Ultrapar Participacoes SA 2.97%		4,360,988
	2,668,700	Usinas Siderrurgicas de Minas Gerais SA Class A 1.93%		28,936,770
		Total Brazil		635,608,694
		Russia — 0.1%
	29,155	Transneft 3.44%		5,574,859
		South Korea — 0.4%
	448,140	Hyundai Motor Co 5.64%		5,138,799
	118,476	Samsung Electronics Co Ltd (Non Voting) 3.79%		20,984,028
		Total South Korea		26,122,827
		TOTAL PREFERRED STOCKS (COST $835,420,641)		667,306,380

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 28, 2009

Shares		Description	Value ($)
		PRIVATE EQUITY SECURITIES — 0.6%
		Poland — 0.6%
		MHP Investors (Tri Media Holdings Ltd) * (b) (c)		22,125,725
		CHP Investors (Multimedia) * (b) (c)		11,328,691
		Total Poland		33,454,416
		Russia — 0.0%
	124,330	Divot Holdings NV, Private Equity Securities-Class E * (b) (c) (f)		1,244
	90,000	Divot Holdings NV, Private Equity Securities-Class D * (b) (c) (f)		900
	46,624	Divot Holdings NV, Convertible Securities-Class F * (b) (c) (f)		466
		Total Russia		2,610
		Sri Lanka — 0.0%
	2,545,869	Millenium Information Technology * (a) (b) (c)		787,469
		Total Sri Lanka		787,469
		TOTAL PRIVATE EQUITY SECURITIES (COST $3,925,627)		34,244,495
		INVESTMENT FUNDS — 3.9%
		China — 0.2%
	250,446	Martin Currie China A Share Fund Ltd Class B * (b) (c)		7,016,741
	25,045	Martin Currie China A Share Fund Ltd Class S * (b) (c) (f)		1,283,021
		Total China		8,299,762
		India — 0.1%
	10,922	Fire Capital Mauritius Private Fund * (b) (c) (g)		6,617,149
	170	SPG Infinity Technology Fund I * (b) (c) (f)		5,582
	1,371,900	TDA India Technology Fund II LP * (b) (c)		907,841
		Total India		7,530,572
		Poland — 0.0%
	1,749,150	The Emerging European Fund II LP * (b) (c)		767,055

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 28, 2009

Shares		Description	Value ($)
		Russia — 0.1%
	9,500,000	NCH Eagle Fund LP * (b) (c)		5,586,000
	2,000	Steep Rock Russia Fund LP * (b) (c)		705,343
		Total Russia		6,291,343
		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund * (b) (c) (f)		4,000
		United States — 3.5%
	9,251,146	iShares MSCI Emerging Markets Index Fund (h)		196,401,829
		TOTAL INVESTMENT FUNDS (COST $251,127,908)		219,294,561
		DEBT OBLIGATIONS — 0.2%
		United States — 0.2%
	9,252,072	U.S. Treasury Inflation Indexed Bond, 0.88% , due 04/15/10 (i)		9,121,969
		TOTAL DEBT OBLIGATIONS (COST $8,956,328)		9,121,969
		RIGHTS AND WARRANTS — 0.0%
		Brazil — 0.0%
	10,819	Net Servicos de Comunicacao SA Rights, Expires 03/16/09 *		6,288
	15,738	Ultrapar Participacoes SA Rights, Expires 03/16/09 *		66
		Total Brazil		6,354
		Malaysia — 0.0%
	4,963,466	Sunway City Warrants, Expires 10/04/17 *		281,141
	3,826,400	WCT Engineering Warrants, Expires 04/22/13 *		196,093
		Total Malaysia		477,234

See accompanying notes to the financial statements.

19

GMO Emerging Markets Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		South Korea — 0.0%
	856,082	Dae Han Pulp Rights, Expires 03/26/09 *		—
	296,427	Shinhan Financial Group Co Ltd Rights, Expires 03/19/09 *		618,583
		Total South Korea		618,583
		TOTAL RIGHTS AND WARRANTS (COST $2,966,945)		1,102,171
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers
	8,064	GMO Special Purpose Holding Fund (b) (d)		5,887
		TOTAL MUTUAL FUNDS (COST $0)		5,887
		CONVERTIBLE SECURITIES — 0.1%
		India — 0.1%
	3,380,000	Adani Enterprise, 6.00%, 01/27/12		1,782,950
	4,000,000	Housing Development Finance Corp, Zero Coupon, 09/27/10		4,354,800
		Total India		6,137,750
		TOTAL CONVERTIBLE SECURITIES (COST $8,214,950)		6,137,750
		SHORT-TERM INVESTMENTS — 2.2%
	2,750,940	Banco Santander Time Deposit, 0.02%, due 03/02/09		2,750,940
	55,900,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		55,900,000
	65,000,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		65,000,000
	48,136	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		48,136
		TOTAL SHORT-TERM INVESTMENTS (COST $123,699,076)		123,699,076
		TOTAL INVESTMENTS — 99.6%(Cost $8,557,725,863)		5,656,063,182
		Other Assets and Liabilities (net) — 0.4%		20,643,116
		TOTAL NET ASSETS — 100.0%	$	5,676,706,298

See accompanying notes to the financial statements.

20

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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 28, 2009
CBAY Systems Ltd	5/06/03-11/10/05	$	—		0.00	%	$	59,482
CHP Investors (Multimedia)	3/05/01		18,178,923		0.20	%		11,328,691
Divot Holdings NV, Convertible Securities-Class F	3/27/02		46,624		0.00	%		466
Divot Holdings NV, Private Equity Securities-Class D	6/2/00		1,502,100		0.00	%		900
Divot Holdings NV, Private Equity Securities-Class E	9/21/01		124,330		0.00	%		1,244
Fire Capital Mauritius Private Fund	9/06/06-10/14/08		10,959,863		0.12	%		6,617,149
MHP Investors (Tri Media Holdings Ltd)	5/01/05		27,983,521		0.39	%		22,125,725
Martin Currie China A Share Fund Ltd Class B	1/20/06		2,710,928		0.12	%		7,016,741
Martin Currie China A Share Fund Ltd Class S	10/14/08		—		0.02	%		1,283,021
Millenium Information Technology	10/21/99		2,252,570		0.01	%		787,469
NCH Eagle Fund LP	1/08/03		9,500,000		0.10	%		5,586,000
SPG Infinity Technology Fund I	12/23/99		62,449		0.00	%		5,582
Societe Generale Thalmann Ukraine Fund	7/15/97		199,943		0.00	%		4,000
Steep Rock Russia Fund LP	12/22/06		2,000,000		0.01	%		705,343
TDA India Technology Fund II LP	2/23/00-3/23/04		787,800		0.02	%		907,841
The Emerging European Fund II LP	12/05/97-6/24/02		1,124,248		0.01	%		767,055
							$	57,196,709

See accompanying notes to the financial statements.

21

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/29/09	HUF		1,492,248,850	$	6,239,500	$	20,000
Sales
4/29/09	HUF		11,579,980,800	$	48,419,064	$	1,884,936

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)  Affiliated Company (Note 8).

(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)  Direct placement securities are restricted as to resale.

(d)  Underlying investment represents interests in defaulted securities.

(e)  Bankrupt issuer.

(f)  The security is currently in full liquidation.

(g)  The Fund is committed to additional capital contributions in the amount of $9,078,481 to this investment.

(h)  Represents an investment to equitize cash in the iShares^® MSCI Emerging Markets Index Fund, which is a separate investment portfolio of iShares, Inc., a registered investment company. The iShares^® MSCI Emerging Markets Index Fund invests in global emerging markets and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. iShares^® is a registered trademark of Barclays Global Investors, N.A. ("BGI"). Neither BGI nor the iShares^® Funds make any representations regarding the advisability of investing in the iShares^® MSCI Emerging Markets Index Fund.

(i)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

Currency Abbreviations:

HUF - Hungarian Forint

See accompanying notes to the financial statements.

22

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $8,496,473,761) (Note 2)	$	5,624,436,070
Investments in affiliated issuers, at value (cost $61,252,102) (Notes 2 and 8)		31,627,112
Cash		3,703,144
Foreign currency, at value (cost $22,757,225) (Note 2)		22,517,712
Receivable for investments sold		64,796,776
Receivable for Fund shares sold		15,050,000
Dividends and interest receivable		27,135,578
Foreign taxes receivable		3,195,912
Unrealized appreciation on open forward currency contracts (Note 2)		1,904,936
Receivable for expenses reimbursed by Manager (Note 3)		29,288
Miscellaneous receivable		3,222,923
Total assets		5,797,619,451
Liabilities:
Payable for investments purchased		108,205,645
Payable for Fund shares repurchased		1,661
Payable to affiliate for (Note 3):
Management fee		3,785,519
Shareholder service fee		435,323
Trustees and Chief Compliance Officer of GMO Trust fees		22,340
Miscellaneous payable		3,009,875
Accrued expenses		5,452,790
Total liabilities		120,913,153
Net assets	$	5,676,706,298

See accompanying notes to the financial statements.

23

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	10,785,022,080
Distributions in excess of net investment income		(52,553,842	)
Distributions in excess of net realized gain		(2,152,722,952	)
Net unrealized depreciation		(2,903,038,988	)
	$	5,676,706,298
Net assets attributable to:
Class III shares	$	2,309,057,035
Class IV shares	$	1,345,811,010
Class V shares	$	795,585,920
Class VI shares	$	1,226,252,333
Shares outstanding:
Class III		366,473,960
Class IV		214,598,103
Class V		127,080,529
Class VI		195,455,029
Net asset value per share:
Class III	$	6.30
Class IV	$	6.27
Class V	$	6.26
Class VI	$	6.27

See accompanying notes to the financial statements.

24

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $34,712,834)	$	266,760,707
Interest		4,782,333
Securities lending income		924,913
Dividends from affiliated issuers (net of withholding taxes of $63,613)		324,673
Total investment income		272,792,626
Expenses:
Management fee (Note 3)		77,280,205
Shareholder service fee – Class III (Note 3)		3,714,264
Shareholder service fee – Class IV (Note 3)		2,000,611
Shareholder service fee – Class V (Note 3)		796,784
Shareholder service fee – Class VI (Note 3)		2,322,019
Custodian and fund accounting agent fees		13,017,020
Transfer agent fees		59,262
Audit and tax fees		198,527
Legal fees		407,360
Trustees fees and related expenses (Note 3)		142,417
Registration fees		20,842
Miscellaneous		157,825
Total expenses		100,117,136
Fees and expenses reimbursed by Manager (Note 3)		(597,813	)
Expense reductions (Note 2)		(90,157	)
Net expenses		99,429,166
Net investment income (loss)		173,363,460
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers (net of foreign capital gains tax refund of $1,270,999) (Note 2)		(1,432,556,170	)
Investments in affiliated issuers		(3,561,572	)
Realized gains distributions from affiliated issuers (Note 8)		18,263
Foreign currency, forward contracts and foreign currency related transactions (net of CPMF tax of $21,092) (Note 2)		(34,149,921	)
Net realized gain (loss)		(1,470,249,400	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,937,777,632	)
Investments in affiliated issuers		(60,074,104	)
Foreign currency, forward contracts and foreign currency related transactions		(1,684,739	)
Net unrealized gain (loss)		(5,999,536,475	)
Net realized and unrealized gain (loss)		(7,469,785,875	)
Net increase (decrease) in net assets resulting from operations	$	(7,296,422,415	)

See accompanying notes to the financial statements.

25

GMO Emerging Markets Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	173,363,460		$	145,969,612
Net realized gain (loss)		(1,470,249,400	)		4,146,502,911
Change in net unrealized appreciation (depreciation)		(5,999,536,475	)		(788,242,294	)
Net increase (decrease) in net assets from operations		(7,296,422,415	)		3,504,230,229
Distributions to shareholders from:
Net investment income
Class III		(28,336,721	)		(48,626,770	)
Class IV		(18,273,132	)		(42,295,439	)
Class V		(14,786,743	)		(15,014,450	)
Class VI		(51,906,362	)		(80,326,387	)
Total distributions from net investment income		(113,302,958	)		(186,263,046	)
Net realized gains
Class III		(617,696,497	)		(949,235,421	)
Class IV		(460,831,288	)		(772,927,597	)
Class V		(246,543,395	)		(267,663,344	)
Class VI		(1,056,552,888	)		(1,418,555,036	)
Total distributions from net realized gains		(2,381,624,068	)		(3,408,381,398	)
		(2,494,927,026	)		(3,594,644,444	)
Net share transactions (Note 7):
Class III		1,497,926,107			(1,040,843,043	)
Class IV		219,935,401			486,322,877
Class V		593,348,669			616,982,566
Class VI		(398,899,272	)		853,624,667
Increase (decrease) in net assets resulting from net share transactions		1,912,310,905			916,087,067
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		7,610,631			6,256,642
Class IV		5,069,941			3,200,572
Class V		3,612,956			2,262,707
Class VI		22,495,973			7,226,204
Increase in net assets resulting from purchase premiums and redemption fees		38,789,501			18,946,125
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		1,951,100,406			935,033,192
Total increase (decrease) in net assets		(7,840,249,035	)		844,618,977
Net assets:
Beginning of period		13,516,955,333			12,672,336,356
End of period (including distributions in excess of net investment income of $52,553,842 and $89,222,065, respectively)	$	5,676,706,298		$	13,516,955,333

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	20.48		$	20.67		$	22.49		$	19.05		$	15.78
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.25			0.41			0.37			0.34
Net realized and unrealized gain (loss)		(10.65	)		5.94			3.00			6.24			4.40
Total from investment operations		(10.42	)		6.19			3.41			6.61			4.74
Less distributions to shareholders:
From net investment income		(0.13	)		(0.31	)		(0.54	)		(0.43	)		(0.32	)
From net realized gains		(3.63	)		(6.07	)		(4.69	)		(2.74	)		(1.15	)
Total distributions		(3.76	)		(6.38	)		(5.23	)		(3.17	)		(1.47	)
Net asset value, end of period	$	6.30		$	20.48		$	20.67		$	22.49		$	19.05
Total Return(a)		(58.61	)%		28.38	%		17.05	%		37.99	%		31.45	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,309,057		$	3,402,343		$	4,276,782		$	4,788,395		$	4,433,098
Net expenses to average daily net assets		1.10	%(b)		1.09	%(b)		1.07	%		1.10	%		1.11	%
Net investment income to average daily net assets		1.77	%		1.04	%		1.87	%		1.88	%		2.17	%
Portfolio turnover rate		99	%		60	%		44	%		41	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.00	%(c)		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.04		$	0.04		$	0.02		$	0.01		$	0.01

(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, except for reimbursements related to securities lending transactions (Note 2).

(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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	20.40		$	20.62		$	22.45		$	19.02		$	15.75
Income (loss) from investment operations:
Net investment income (loss)†		0.25			0.23			0.42			0.40			0.34
Net realized and unrealized gain (loss)		(10.62	)		5.95			2.99			6.20			4.41
Total from investment operations		(10.37	)		6.18			3.41			6.60			4.75
Less distributions to shareholders:
From net investment income		(0.13	)		(0.33	)		(0.55	)		(0.43	)		(0.33	)
From net realized gains		(3.63	)		(6.07	)		(4.69	)		(2.74	)		(1.15	)
Total distributions		(3.76	)		(6.40	)		(5.24	)		(3.17	)		(1.48	)
Net asset value, end of period	$	6.27		$	20.40		$	20.62		$	22.45		$	19.02
Total Return(a)		(58.59	)%		28.38	%		17.10	%		38.05	%		31.59	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,345,811		$	3,021,319		$	2,599,002		$	3,081,021		$	3,255,865
Net expenses to average daily net assets		1.06	%(b)		1.05	%(b)		1.03	%		1.05	%		1.06	%
Net investment income to average daily net assets		1.86	%		0.98	%		1.94	%		2.03	%		2.13	%
Portfolio turnover rate		99	%		60	%		44	%		41	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.00	%(c)		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.04		$	0.02		$	0.02		$	0.01		$	0.00	(d)

(a)  The total returns would have been lower had certain expenses not been reimbursed during the periods shown and assumes the effect of reinvested distributions. 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, except for reimbursements related to securities lending transactions (Note 2).

(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

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,												Period from February 11, 2005 (commencement of operations) through February 28,			Period from March 1, 2004 through October 26,
	2009			2008			2007			2006			2005(a)			2004(a)
Net asset value, beginning of period	$	20.39		$	20.61		$	22.44		$	19.02		$	17.88		$	15.77
Income (loss) from investment operations:
Net investment income (loss)†		0.22			0.23			0.43			0.22			(0.01	)		0.25
Net realized and unrealized gain (loss)		(10.58	)		5.96			2.98			6.39			1.15			(0.09	)
Total from investment operations		(10.36	)		6.19			3.41			6.61			1.14			0.16
Less distributions to shareholders:
From net investment income		(0.14	)		(0.34	)		(0.55	)		(0.45	)		—			(0.07	)
From net realized gains		(3.63	)		(6.07	)		(4.69	)		(2.74	)		—			(0.00	)(b)
Total distributions		(3.77	)		(6.41	)		(5.24	)		(3.19	)		—			(0.07	)
Net asset value, end of period	$	6.26		$	20.39		$	20.61		$	22.44		$	19.02		$	15.86
Total Return(c)		(58.59	)%		28.43	%		17.11	%		38.12	%		6.38	%**		1.10	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	795,586		$	1,190,887		$	679,988		$	1,447,059		$	38,564		$	116,417
Net expenses to average daily net assets		1.03	%(d)		1.03	%(d)		1.01	%		1.04	%		1.03	%*		1.05	%*
Net investment income to average daily net assets		1.81	%		0.98	%		1.97	%		1.06	%		(0.05	)%(e)**		1.70	%(e)**
Portfolio turnover rate		99	%		60	%		44	%		41	%		57	%***		57	%***
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.00	%(f)		0.01	%		0.01	%		0.02	%*		0.01	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.05		$	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, except for reimbursements related to securities lending transactions (Note 2).

(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.

See accompanying notes to the financial statements.

29

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	20.42		$	20.63		$	22.45		$	19.03		$	15.76
Income (loss) from investment operations:
Net investment income (loss)†		0.23			0.25			0.42			0.38			0.34
Net realized and unrealized gain (loss)		(10.61	)		5.95			3.01			6.23			4.41
Total from investment operations		(10.38	)		6.20			3.43			6.61			4.75
Less distributions to shareholders:
From net investment income		(0.14	)		(0.34	)		(0.56	)		(0.45	)		(0.33	)
From net realized gains		(3.63	)		(6.07	)		(4.69	)		(2.74	)		(1.15	)
Total distributions		(3.77	)		(6.41	)		(5.25	)		(3.19	)		(1.48	)
Net asset value, end of period	$	6.27		$	20.42		$	20.63		$	22.45		$	19.03
Total Return(a)		(58.61	)%		28.49	%		17.20	%		38.07	%		31.63	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,226,252		$	5,902,406		$	5,116,565		$	3,203,435		$	2,083,376
Net expenses to average daily net assets		1.00	%(b)		1.00	%(b)		0.98	%		1.00	%		1.01	%
Net investment income to average daily net assets		1.83	%		1.05	%		1.93	%		1.94	%		2.15	%
Portfolio turnover rate		99	%		60	%		44	%		41	%		57	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.00	%(c)		0.01	%		0.01	%		0.01	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.07		$	0.03		$	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. 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, except for reimbursements related to securities lending transactions (Note 2).

(c)  Ratio is less than 0.01%.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

30

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 ("emerging markets"), which excludes countries that are included in the MSCI EAFE Index.

Throughout the year ended February 28, 2009, 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 fund") 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.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair

31

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 59.79% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

Indian regulators alleged in 2003 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 28, 2009. The valuation of this possible claim and all matters relating to the Fund's response to these allegations are subject to the 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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $18,263 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a

32

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund's securities in Thailand were subject to a premium adjustment upon exceeding foreign ownership limitations. The Fund valued various investment funds based on valuations provided by fund sponsors and adjusted the values for liquidity considerations as well as the timing of the receipt of information. The Fund valued certain private equity securities based on values of underlying securities to which the securities are linked, and certain other equity securities based on the last traded exchange price adjusted for the movement in a related index. The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	1,921,391,877	$	—
Level 2 - Other Significant Observable Inputs		3,411,109,476		1,904,936
Level 3 - Significant Unobservable Inputs		323,561,829		—
Total	$	5,656,063,182	$	1,904,936

*  Other financial instruments include forward currency contracts.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

33

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	1,017,388,971		$	—
Realized gain (loss)		(20,526,790	)		—
Change in unrealized appreciation/depreciation		(501,191,559	)		—
Net purchases (sales)		(172,108,793	)		—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	323,561,829		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

34

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

35

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

36

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where

37

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. As of February 28, 2009 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. For the year ended February 28, 2009, the Fund received $1,270,999 in foreign capital gains tax refund, 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. The CPMF tax has been included in the net realized gain (loss) on investments throughout the period. For the year ended February 28, 2009, the Fund incurred $21,092 in CPMF tax, which is included

38

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

in 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 that 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to losses on wash sale transactions, partnership interest tax allocation, post-October capital 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income			Distributions in Excess of Realized Gain		Paid-in Capital
$	(23,392,279	)	$	23,481,553	$	(89,274	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	153,846,203	$	563,852,184
Net long-term capital gain		2,341,080,823		3,030,792,260
Total distributions	$	2,494,927,026	$	3,594,644,444

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

39

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 17,042,086

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $1,670,327,437.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	9,102,590,554	$	199,833,580	$	(3,646,360,952	)	$	(3,446,527,372	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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

40

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

based on the relative net assets of each class. Shareholder service fees, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Fund incurs fees and expenses indirectly as a shareholder in the underlying fund.

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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 28, 2009, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.80% of the amount invested or redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund 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 Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Investment risks

Investments in securities of issuers in emerging countries present risks that are not presented by many other investments. Many emerging countries are subject to 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 expropriate or impose various types of foreign currency regulations or controls that impede the Fund's ability to repatriate amounts it receives. The Fund may acquire interests in securities of companies in some countries based on the Manager's expectations that conditions in those countries will improve. These factors may result in significant volatility in the values of the Fund's 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 the values it has placed on its holdings.

41

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.81% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.81% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, custodial 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).

42

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the GMO Special Purpose Holding Fund. For the year ended February 28, 2009, 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
< 0.001%		0.000	%	< 0.001%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $120,244 and $69,243, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	9,074,376	$	16,132,157
Investments (non-U.S. Government securities)		9,310,691,046		9,279,983,747

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, the Fund had no shareholders who individually held more than 10% of the Fund's outstanding shares.

As of February 28, 2009, 0.52% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 18.98% of the Fund's shares were held by accounts for which the Manager had investment discretion.

43

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		199,316,510		$	1,549,659,316			511,450		$	11,067,541
Shares issued to shareholders in reinvestment of distributions		54,047,677			611,126,733			41,256,239			944,580,044
Shares repurchased		(53,039,178	)		(662,859,942	)		(82,489,753	)		(1,996,490,628	)
Purchase premiums		—			3,747,220			—			34,924
Redemption fees		—			3,863,411			—			6,221,718
Net increase (decrease)		200,325,009		$	1,505,536,738			(40,722,064	)	$	(1,034,586,401	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		157,053,136		$	1,026,539,902			42,157,428		$	1,040,161,863
Shares issued to shareholders in reinvestment of distributions		40,848,201			475,454,559			35,738,546			808,409,341
Shares repurchased		(131,400,487	)		(1,282,059,060	)		(55,851,088	)		(1,362,248,327	)
Purchase premiums		—			482,899			—			4,000
Redemption fees		—			4,587,042			—			3,196,572
Net increase (decrease)		66,500,850		$	225,005,342			22,044,886		$	489,523,449
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class V:	Shares			Amount			Shares			Amount
Shares sold		196,888,178		$	1,458,962,017			36,562,016		$	922,567,536
Shares issued to shareholders in reinvestment of distributions		24,664,677			260,296,435			12,460,349			281,241,715
Shares repurchased		(152,881,388	)		(1,125,909,783	)		(23,612,498	)		(586,826,685	)
Purchase premiums		—			3,005,084			—			—
Redemption fees		—			607,872			—			2,262,707
Net increase (decrease)		68,671,467		$	596,961,625			25,409,867		$	619,245,273

44

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		244,681,931		$	2,170,286,504			25,646,673		$	584,700,516
Shares issued to shareholders in reinvestment of distributions		88,616,021			1,028,385,993			64,927,161			1,472,096,525
Shares repurchased		(426,960,691	)		(3,597,571,769	)		(49,478,255	)		(1,203,172,374	)
Purchase premiums		—			10,675,993			—			953,166
Redemption fees		—			11,819,980			—			6,273,038
Net increase (decrease)		(93,662,739	)	$	(376,403,299	)		41,095,579		$	860,850,871

8.  Investments in affiliated companies and other funds of the Trust

An affiliated company is a company in which the Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund's transactions with companies that are or were affiliates during the year ended February 28, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Value, end of period
Bakrie & Brothers Tbk PT*	$	52,163,380	$	—	$	30,662,144	$	—	$	763,236
Biomass Korea Co Ltd		4,806,682		—		—		—		662,925
Boryung Pharmaceutical Co Ltd		9,623,938		152,839		629,347		47,828		2,759,751
CBAY Systems Holdings Ltd		18,319,951		—		—		—		7,663,868
Daehan Pulp Co Ltd		3,241,894		—		—		—		1,825,376
Dimerco Express Taiwan Corp		13,447,262		—		—		154,262		6,639,875
Finetex EnE Inc*		9,225,369		—		—		—		1,529,543
In The F Co Ltd		11,011,120		—		—		—		1,677,571
Les Enphants Co Ltd		8,606,563		—		1,291,572		62,383		4,441,616
Millenium Information Technology		787,470		—		—		60,200		787,469
Pumyang Construction Co Ltd		13,435,930		—		—		—		5,161,915
Star Block Co Ltd (Foreign Registered)		987		—		—		—		859
Totals	$	144,670,546	$	152,839	$	32,583,063	$	324,673	$	33,914,004

*  No longer an affiliate as of February 28, 2009.

45

GMO Emerging Markets Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	10,161	$	—	$	—	$	—	$	18,263	$	5,887
Totals	$	10,161	$	—	$	—	$	—	$	18,263	$	5,887

46

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

47

GMO Emerging Markets Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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.

48

GMO Emerging Markets Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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		1.11	%	$	1,000.00	$	501.00	$	4.13
2) Hypothetical		1.11	%	$	1,000.00	$	1,019.29	$	5.56
Class IV
1) Actual		1.06	%	$	1,000.00	$	501.20	$	3.95
2) Hypothetical		1.06	%	$	1,000.00	$	1,019.54	$	5.31
Class V
1) Actual		1.04	%	$	1,000.00	$	501.30	$	3.87
2) Hypothetical		1.04	%	$	1,000.00	$	1,019.64	$	5.21
Class VI
1) Actual		1.01	%	$	1,000.00	$	501.20	$	3.76
2) Hypothetical		1.01	%	$	1,000.00	$	1,019.79	$	5.06

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

49

GMO Emerging Markets Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $2,341,080,023 from long-term capital gains.

During the year ended February 28, 2009, the Fund paid foreign taxes of $34,782,526 and recognized foreign source income of $301,861,827.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 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 28, 2009, $40,949,785 or if determined to be different, the qualified short term capital gains of such year.

50

GMO Emerging Markets 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.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

53

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

54

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

55

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -35.4% for the fiscal year ended February 28, 2009, as compared to -43.3% for the S&P 500 Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the S&P 500 Index. Stock selections within Energy, Consumer Discretionary, and Information Technology added to relative returns while stock selections within Health Care, Utilities, and Telecommunication Services detracted. Individual names adding to relative returns included overweight positions in Wal-Mart Stores and Johnson & Johnson and an underweight position in GE. Names detracting from relative returns included underweight positions in AT&T, Verizon Communications, and McDonald's.

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 underweight positions in Telecommunication Services, Utilities, and Consumer Discretionary.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		95.6	%
Short-Term Investments		1.5
Futures		(0.3	)
Other		3.2
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		27.3	%
Consumer Staples		19.0
Information Technology		17.9
Energy		15.4
Consumer Discretionary		7.7
Industrials		5.1
Financials		4.3
Materials		1.5
Telecommunication Services		1.2
Utilities		0.6
		100.0	%

1

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 95.6%
		Consumer Discretionary — 7.4%
	56,300	Abercrombie & Fitch Co.-Class A		1,238,037
	46,000	Advance Auto Parts, Inc.		1,759,500
	11,700	Apollo Group, Inc.-Class A *		848,250
	53,970	AutoZone, Inc. *		7,676,153
	192,100	Bed Bath & Beyond, Inc. *		4,091,730
	83,200	Best Buy Co., Inc.		2,397,824
	36,500	Cablevision Systems Corp.-Class A		474,135
	350,500	CBS Corp.-Class B (Non Voting)		1,496,635
	286,500	Coach, Inc. *		4,005,270
	719,900	Comcast Corp.-Class A		9,401,894
	83,600	DirecTV Group (The), Inc. *		1,666,984
	90,800	DISH Network Corp.-Class A *		1,021,500
	43,900	Dollar Tree, Inc. *		1,704,198
	61,800	Family Dollar Stores, Inc.		1,695,792
	172,800	Gannett Co., Inc.		559,872
	84,000	Gap (The), Inc.		906,360
	16,400	Genuine Parts Co.		461,496
	148,400	H&R Block, Inc.		2,834,440
	26,400	Harley-Davidson, Inc.		266,640
	66,800	Hasbro, Inc.		1,529,052
	1,112,204	Home Depot, Inc.		23,233,942
	35,700	Interpublic Group of Cos., Inc. *		136,017
	12,000	ITT Educational Services, Inc. *		1,362,000
	129,300	J. Crew Group, Inc. *		1,455,918
	35,500	Johnson Controls, Inc.		403,990
	150,000	Kohl's Corp. *		5,271,000
	63,100	Leggett & Platt, Inc.		721,233
	112,100	Limited Brands, Inc.		862,049
	611,100	Lowe's Cos., Inc.		9,679,824
	13,900	Mattel, Inc.		164,576
	126,400	McDonald's Corp.		6,604,400
	22,900	McGraw-Hill Cos. (The), Inc.		451,817

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	4,200	Mohawk Industries, Inc. *		94,878
	150,700	News Corp.-Class A		837,892
	1,721	NVR, Inc. *		572,697
	6,100	O'Reilly Automotive, Inc. *		203,496
	54,000	PetSmart, Inc.		1,082,160
	27,100	Polo Ralph Lauren Corp.		934,137
	78,700	Ross Stores, Inc.		2,323,224
	20,900	Sears Holdings Corp. *		768,284
	40,000	Sherwin-Williams Co. (The)		1,838,000
	364,200	Staples, Inc.		5,808,990
	117,000	Target Corp.		3,312,270
	118,400	Time Warner Cable, Inc.-Class A *		2,158,432
	123,800	TJX Cos. (The), Inc.		2,757,026
	111,500	Urban Outfitters, Inc. *		1,855,360
	5,300	Whirlpool Corp.		117,819
	29,600	Yum! Brands, Inc.		777,888
		Total Consumer Discretionary		121,825,081
		Consumer Staples — 18.1%
	1,105,000	Altria Group, Inc.		17,061,200
	41,500	Archer-Daniels-Midland Co.		1,106,390
	82,500	Avon Products, Inc.		1,451,175
	77,300	Campbell Soup Co.		2,069,321
	11,300	Church & Dwight Co., Inc.		552,796
	46,200	Clorox Co.		2,245,320
	835,700	Coca-Cola Co. (The)		34,138,345
	185,100	Colgate-Palmolive Co.		11,139,318
	31,300	Costco Wholesale Corp.		1,325,242
	13,200	Dean Foods Co. *		269,940
	91,100	Estee Lauder Cos. (The), Inc.-Class A		2,063,415
	7,000	Flowers Foods, Inc.		156,170
	266,600	General Mills, Inc.		13,991,168
	76,000	Hershey Co. (The)		2,560,440
	84,600	HJ Heinz Co.		2,763,882

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — continued
	8,100	Hormel Foods Corp.		257,823
	16,800	JM Smucker Co. (The)		623,616
	80,600	Kellogg Co.		3,136,952
	137,000	Kimberly-Clark Corp.		6,454,070
	108,600	Kraft Foods, Inc.-Class A		2,473,908
	161,700	Kroger Co. (The)		3,342,339
	13,900	McCormick & Co., Inc. (Non Voting)		435,765
	772,700	PepsiCo, Inc.		37,197,778
	667,900	Philip Morris International, Inc.		22,354,613
	636,700	Procter & Gamble Co. (The)		30,669,839
	36,525	Supervalu, Inc.		570,155
	16,800	Sysco Corp.		361,200
	18,400	Tyson Foods, Inc.-Class A		155,112
	1,582,400	Wal-Mart Stores, Inc.		77,917,376
	884,300	Walgreen Co.		21,099,398
		Total Consumer Staples		299,944,066
		Energy — 14.7%
	49,900	Anadarko Petroleum Corp.		1,744,005
	83,580	Apache Corp.		4,938,742
	27,200	Baker Hughes, Inc.		797,232
	156,600	BJ Services Co.		1,514,322
	36,600	Cabot Oil & Gas Corp.		745,542
	223,900	Chesapeake Energy Corp.		3,501,796
	979,300	Chevron Corp.		59,453,303
	46,900	Cimarex Energy Co.		921,585
	6,200	CNX Gas Corp. *		135,222
	592,268	ConocoPhillips		22,121,210
	77,100	Devon Energy Corp.		3,366,957
	6,800	Encore Acquisition Co. *		136,544
	40,100	ENSCO International, Inc.		985,658
	79,710	EOG Resources, Inc.		3,988,689
	1,292,400	Exxon Mobil Corp.		87,753,960
	15,700	Forest Oil Corp. *		222,626

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	191,000	Halliburton Co.		3,115,210
	55,700	Helmerich & Payne, Inc.		1,317,862
	83,930	Hess Corp.		4,590,132
	26,900	Murphy Oil Corp.		1,124,689
	170,700	Nabors Industries Ltd. *		1,657,497
	29,700	National Oilwell Varco, Inc. *		793,881
	42,600	Newfield Exploration Co. *		823,458
	40,100	Noble Corp.		986,059
	48,000	Noble Energy, Inc.		2,185,920
	337,400	Occidental Petroleum Corp.		17,500,938
	87,900	Patterson-UTI Energy, Inc.		755,061
	73,100	Pioneer Natural Resources Co.		1,066,529
	51,100	Plains Exploration & Production Co. *		978,054
	24,600	Range Resources Corp.		875,022
	105,300	Southwestern Energy Co. *		3,029,481
	78,400	Spectra Energy Corp.		1,019,200
	40,100	Sunoco, Inc.		1,341,345
	17,629	Transocean Ltd. *		1,053,685
	250,200	Valero Energy Corp.		4,848,876
	14,200	W&T Offshore, Inc.		114,310
	110,700	Weatherford International Ltd. *		1,181,169
	46,800	XTO Energy, Inc.		1,481,688
		Total Energy		244,167,459
		Financials — 4.1%
	39,700	Aflac, Inc.		665,372
	317,200	Allstate Corp. (The)		5,338,476
	9,800	American Financial Group, Inc.		152,488
	8,700	Aon Corp.		332,688
	22,600	Arthur J. Gallagher & Co.		358,662
	41,100	Assurant, Inc.		838,440
	745,177	Bank of America Corp.		2,943,449
	244,000	BB&T Corp.		3,935,720
	13,910	BlackRock, Inc.		1,346,627

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	9,600	Brown & Brown, Inc.		161,952
	47,500	Capital One Financial Corp.		572,375
	8,400	Capitol Federal Financial		311,052
	281,300	Chubb Corp.		10,981,952
	43,700	Comerica, Inc.		655,937
	4,000	Cullen/Frost Bankers, Inc.		172,160
	10,590	Goldman Sachs Group (The), Inc.		964,537
	7,500	HCC Insurance Holdings, Inc.		164,625
	250,800	Hudson City Bancorp, Inc.		2,600,796
	49,400	JPMorgan Chase & Co.		1,128,790
	282,900	Marsh & McLennan Cos., Inc.		5,072,397
	67,000	MetLife, Inc.		1,236,820
	67,200	Moody's Corp.		1,206,240
	23,700	Old Republic International Corp.		215,196
	51,300	People's United Financial, Inc.		893,133
	6,200	PNC Financial Services Group, Inc.		169,508
	260,400	Progressive Corp. (The) *		3,012,828
	16,900	Prudential Financial, Inc.		277,329
	19,600	SEI Investments Co.		232,064
	12,400	T. Rowe Price Group, Inc.		281,976
	29,400	Torchmark Corp.		605,640
	4,900	Transatlantic Holdings, Inc.		147,343
	352,100	Travelers Cos. (The), Inc.		12,728,415
	15,300	Unum Group		155,754
	200,800	US Bancorp		2,873,448
	10,800	Valley National Bancorp		123,444
	89,750	W.R. Berkley Corp.		1,867,698
	313,000	Wells Fargo & Co.		3,787,300
		Total Financials		68,512,631
		Health Care — 26.1%
	439,000	Abbott Laboratories		20,782,260
	115,300	AmerisourceBergen Corp.		3,661,928

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	972,600	Amgen, Inc. *		47,589,318
	15,900	Bard (C.R.), Inc.		1,276,134
	45,800	Baxter International, Inc.		2,331,678
	14,800	Becton, Dickinson & Co.		915,972
	71,800	Biogen Idec, Inc. *		3,305,672
	91,000	Boston Scientific Corp. *		638,820
	346,600	Bristol-Myers Squibb Co.		6,380,906
	175,600	Cardinal Health, Inc.		5,698,220
	39,800	Celgene Corp. *		1,780,254
	22,600	Cephalon, Inc. *		1,482,334
	22,900	Covance, Inc. *		869,742
	154,000	Coventry Health Care, Inc. *		1,774,080
	29,100	Covidien Ltd.		921,597
	3,700	DaVita, Inc. *		173,604
	15,400	Edwards Lifesciences Corp. *		856,394
	490,400	Eli Lilly & Co.		14,407,952
	114,600	Express Scripts, Inc. *		5,764,380
	552,800	Forest Laboratories, Inc. *		11,852,032
	35,900	Genentech, Inc. *		3,071,245
	10,200	Genzyme Corp. *		621,486
	424,200	Gilead Sciences, Inc. *		19,004,160
	37,700	Illumina, Inc. *		1,181,141
	1,289,700	Johnson & Johnson		64,485,000
	84,100	King Pharmaceuticals, Inc. *		617,294
	259,600	McKesson Corp.		10,648,792
	299,300	Medtronic, Inc.		8,856,287
	590,200	Merck & Co., Inc.		14,282,840
	69,200	Mylan, Inc. *		860,156
	7,900	Myriad Genetics, Inc. *		622,915
	44,800	Omnicare, Inc.		1,161,664
	30,500	Patterson Cos., Inc. *		551,135
	295,400	PDL BioPharma, Inc.		1,733,998
	5,228,780	Pfizer, Inc.		64,366,282
	12,500	Quest Diagnostics, Inc.		572,875

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	208,800	Schering-Plough Corp.		3,631,032
	47,700	Stryker Corp.		1,606,059
	1,971,372	UnitedHealth Group, Inc.		38,737,460
	45,600	Varian Medical Systems, Inc. *		1,391,256
	38,600	Vertex Pharmaceuticals, Inc. *		1,166,878
	449,700	WellPoint, Inc. *		15,253,824
	702,200	Wyeth		28,663,804
	467,300	Zimmer Holdings, Inc. *		16,364,846
		Total Health Care		431,915,706
		Industrials — 4.9%
	148,100	3M Co.		6,732,626
	169,310	Burlington Northern Santa Fe Corp.		9,950,349
	131,400	CH Robinson Worldwide, Inc.		5,437,332
	37,900	Copart, Inc. *		1,024,058
	254,200	CSX Corp.		6,273,656
	23,100	Danaher Corp.		1,172,556
	7,000	Dover Corp.		174,580
	2,300	Dun & Bradstreet Corp.		170,131
	31,100	Emerson Electric Co.		831,925
	110,600	Fastenal Co.		3,331,272
	17,350	Flowserve Corp.		875,654
	176,100	General Dynamics Corp.		7,716,702
	44,500	JB Hunt Transport Services, Inc.		906,910
	43,600	Joy Global, Inc.		761,256
	31,200	Kansas City Southern *		551,928
	18,000	L-3 Communications Holdings, Inc.		1,217,700
	7,470	Lockheed Martin Corp.		471,432
	12,000	Manpower, Inc.		334,560
	45,800	Masco Corp.		235,870
	223,600	Norfolk Southern Corp.		7,092,592
	12,300	Owens Corning, Inc. *		102,705
	21,300	Paccar, Inc.		533,991

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	25,900	Parker-Hannifin Corp.		864,283
	10,000	Robert Half International, Inc.		153,700
	17,400	Rockwell Collins, Inc.		542,880
	30,500	Ryder System, Inc.		697,230
	148,900	Southwest Airlines Co.		877,021
	10,730	SPX Corp.		475,124
	260,900	Tyco International Ltd.		5,231,045
	202,800	Union Pacific Corp.		7,609,056
	76,400	United Parcel Service, Inc.-Class B		3,146,152
	92,700	United Technologies Corp.		3,784,941
	4,800	W.W. Grainger, Inc.		317,568
	57,000	Waste Management, Inc.		1,539,000
		Total Industrials		81,137,785
		Information Technology — 17.1%
	115,000	Affiliated Computer Services, Inc.-Class A *		5,362,450
	12,900	Alliance Data Systems Corp. *		381,840
	79,000	Altera Corp.		1,211,070
	27,300	Automatic Data Processing, Inc.		932,295
	43,200	BMC Software, Inc. *		1,280,016
	2,813,200	Cisco Systems, Inc. *		40,988,324
	31,900	Citrix Systems, Inc. *		656,502
	140,200	Dell, Inc. *		1,195,906
	511,300	eBay, Inc. *		5,557,831
	24,300	Fiserv, Inc. *		792,666
	22,500	Global Payments, Inc.		690,300
	36,200	Google, Inc.-Class A *		12,235,238
	201,760	International Business Machines Corp.		18,567,973
	315,247	Lawson Software, Inc. *		1,210,548
	9,300	Linear Technology Corp.		202,740
	95,900	LSI Corp. *		278,110
	30,790	MasterCard, Inc.-Class A		4,865,744
	22,800	McAfee, Inc. *		637,260

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	4,460,000	Microsoft Corp.		72,029,000
	10,500	NCR Corp. *		83,160
	52,700	NetApp, Inc. *		708,288
	2,878,200	Oracle Corp. *		44,727,228
	1,628,600	Qualcomm, Inc.		54,444,098
	40,300	Red Hat, Inc. *		551,707
	26,800	Salesforce.com, Inc. *		750,400
	203,400	Symantec Corp. *		2,813,022
	589,500	VeriFone Holdings, Inc. *		2,558,430
	3,600	Visa, Inc.-Class A		204,156
	88,200	Western Digital Corp. *		1,204,812
	353,100	Western Union Co.		3,940,596
	99,400	Xilinx, Inc.		1,757,392
		Total Information Technology		282,819,102
		Materials — 1.4%
	230,600	Alcoa, Inc.		1,436,638
	191,400	Barrick Gold Corp.		5,780,280
	7,900	Bemis Co., Inc.		146,703
	12,100	Crown Holdings, Inc. *		255,068
	3,076,174	Domtar Corp. *		2,430,177
	82,800	Dow Chemical Co. (The)		592,848
	12,300	FMC Corp.		497,289
	51,480	Monsanto Co.		3,926,380
	137,500	Nucor Corp.		4,626,875
	34,400	Pactiv Corp. *		544,552
	13,600	Reliance Steel & Aluminum Co.		323,544
	11,300	Sealed Air Corp.		126,108
	36,200	Sigma-Aldrich Corp.		1,292,340
	7,400	Sonoco Products Co.		142,598
	19,100	Vulcan Materials Co.		790,931
		Total Materials		22,912,331

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 28, 2009

Shares		Description	Value ($)
		Telecommunication Services — 1.2%
	395,767	AT&T, Inc.		9,407,381
	6,900	CenturyTel, Inc.		181,677
	66,400	Frontier Communications Corp.		478,080
	13,200	MetroPCS Communications, Inc. *		191,400
	322,622	Verizon Communications, Inc.		9,204,406
	20,700	Windstream Corp.		154,422
		Total Telecommunication Services		19,617,366
		Utilities — 0.6%
	9,900	Consolidated Edison, Inc.		358,479
	6,300	Dominion Resources, Inc./Virginia		190,134
	5,500	Energen Corp.		147,400
	22,400	Exelon Corp.		1,057,728
	66,900	FirstEnergy Corp.		2,847,264
	8,800	Hawaiian Electric Industries, Inc.		122,056
	27,900	MDU Resources Group, Inc.		422,406
	6,500	National Fuel Gas Co.		197,015
	5,200	NSTAR		167,284
	37,800	PG&E Corp.		1,444,716
	6,200	Piedmont Natural Gas Co., Inc.		149,668
	45,500	Southern Co.		1,379,105
	71,500	TECO Energy, Inc.		685,685
	9,900	Xcel Energy, Inc.		175,626
		Total Utilities		9,344,566
		TOTAL COMMON STOCKS (COST $2,339,798,846)		1,582,196,093

See accompanying notes to the financial statements.

11

GMO U.S. Core Equity Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.5%
		Money Market Funds — 0.3%
	5,933,603	State Street Institutional Treasury Money Market Fund-Institutional Class		5,933,603
		Other Short-Term Investments — 1.2%
	20,000,000	U.S. Treasury Bill, 0.35%, due 07/23/09 (a)		19,972,040
		TOTAL SHORT-TERM INVESTMENTS (COST $25,912,803)		25,905,643
		TOTAL INVESTMENTS — 97.1% (Cost $2,365,711,649)		1,608,101,736
		Other Assets and Liabilities (net) — 2.9%		47,306,952
		TOTAL NET ASSETS — 100.0%	$	1,655,408,688

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts	Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
1,210	S&P 500 E-Mini Index	March 2009	$	44,419,100	$	(4,979,701	)

As of February 28, 2009, 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 28, 2009

Assets:
Investments, at value (cost $2,365,711,649) (Note 2)	$	1,608,101,736
Cash		33,705,797
Receivable for investments sold		1,573,000
Receivable for Fund shares sold		3,588,459
Dividends and interest receivable		6,027,207
Receivable for collateral on open futures contracts (Note 2)		5,989,500
Receivable for expenses reimbursed by Manager (Note 3)		36,400
Total assets		1,659,022,099
Liabilities:
Payable for investments purchased		1,690,002
Payable for Fund shares repurchased		30,979
Payable to affiliate for (Note 3):
Management fee		432,226
Shareholder service fee		124,508
Administration fee – Class M		301
Trustees and Chief Compliance Officer of GMO Trust fees		6,319
Payable for 12b-1 fee – Class M		903
Payable for variation margin on open futures contracts (Note 2)		1,076,900
Accrued expenses		251,273
Total liabilities		3,613,411
Net assets	$	1,655,408,688

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 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	3,022,186,960
Accumulated undistributed net investment income		7,202,149
Accumulated net realized loss		(611,390,807	)
Net unrealized depreciation		(762,589,614	)
	$	1,655,408,688
Net assets attributable to:
Class III shares	$	509,119,539
Class IV shares	$	286,333,115
Class VI shares	$	858,170,448
Class M shares	$	1,785,586
Shares outstanding:
Class III		66,581,777
Class IV		37,529,937
Class VI		112,501,755
Class M		233,522
Net asset value per share:
Class III	$	7.65
Class IV	$	7.63
Class VI	$	7.63
Class M	$	7.65

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 28, 2009

Investment Income:
Dividends (net of withholding taxes of $14,124)	$	59,835,084
Interest		746,906
Total investment income		60,581,990
Expenses:
Management fee (Note 3)		8,713,227
Shareholder service fee – Class III (Note 3)		1,190,371
Shareholder service fee – Class IV (Note 3)		400,757
Shareholder service fee – Class VI (Note 3)		872,078
12b-1 fee – Class M (Note 3)		76,963
Administration fee – Class M (Note 3)		61,570
Custodian, fund accounting agent and transfer agent fees		471,272
Audit and tax fees		63,403
Legal fees		76,768
Trustees fees and related expenses (Note 3)		35,846
Registration fees		36,967
Miscellaneous		36,356
Total expenses		12,035,578
Fees and expenses reimbursed by Manager (Note 3)		(657,777	)
Expense reductions (Note 2)		(29,279	)
Net expenses		11,348,522
Net investment income (loss)		49,233,468
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(553,306,259	)
Closed futures contracts		(26,279,332	)
Net realized gain (loss)		(579,585,591	)
Change in net unrealized appreciation (depreciation) on:
Investments		(500,014,618	)
Open futures contracts		(3,515,378	)
Net unrealized gain (loss)		(503,529,996	)
Net realized and unrealized gain (loss)		(1,083,115,587	)
Net increase (decrease) in net assets resulting from operations	$	(1,033,882,119	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	49,233,468		$	72,698,949
Net realized gain (loss)		(579,585,591	)		349,051,892
Change in net unrealized appreciation (depreciation)		(503,529,996	)		(613,657,620	)
Net increase (decrease) in net assets from operations		(1,033,882,119	)		(191,906,779	)
Distributions to shareholders from:
Net investment income
Class III		(13,415,542	)		(28,161,365	)
Class IV		(7,250,680	)		(10,426,216	)
Class VI		(29,721,224	)		(43,036,312	)
Class M		(406,196	)		(1,560,161	)
Total distributions from net investment income		(50,793,642	)		(83,184,054	)
Net realized gains
Class III		—			(171,156,746	)
Class IV		—			(61,162,205	)
Class VI		—			(291,784,061	)
Class M		—			(10,886,017	)
Total distributions from net realized gains		—			(534,989,029	)
		(50,793,642	)		(618,173,083	)
Net share transactions (Note 7):
Class III		(333,388,149	)		(378,601,907	)
Class IV		(29,109,705	)		(15,629,517	)
Class VI		(550,731,373	)		(1,232,938,512	)
Class M		(44,651,124	)		(60,272,243	)
Increase (decrease) in net assets resulting from net share transactions		(957,880,351	)		(1,687,442,179	)
Total increase (decrease) in net assets		(2,042,556,112	)		(2,497,522,041	)
Net assets:
Beginning of period		3,697,964,800			6,195,486,841
End of period (including accumulated undistributed net investment income of $7,202,149 and $8,762,323, respectively)	$	1,655,408,688		$	3,697,964,800

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	12.05		$	14.77		$	14.50		$	14.28		$	13.54
Income (loss) from investment operations:
Net investment income (loss)†		0.18			0.22			0.22			0.24			0.19
Net realized and unrealized gain (loss)		(4.40	)		(1.10	)		0.64			0.54			0.73
Total from investment operations		(4.22	)		(0.88	)		0.86			0.78			0.92
Less distributions to shareholders:
From net investment income		(0.18	)		(0.25	)		(0.22	)		(0.24	)		(0.18	)
From net realized gains		—			(1.59	)		(0.37	)		(0.32	)		—
Total distributions		(0.18	)		(1.84	)		(0.59	)		(0.56	)		(0.18	)
Net asset value, end of period	$	7.65		$	12.05		$	14.77		$	14.50		$	14.28
Total Return(a)		(35.39	)%		(7.33	)%		5.97	%		5.60	%		6.89	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	509,120		$	1,131,800		$	1,789,872		$	2,841,959		$	1,739,392
Net expenses to average daily net assets		0.46	%(b)		0.46	%(b)		0.46	%		0.47	%		0.48	%
Net investment income to average daily net assets		1.70	%		1.55	%		1.51	%		1.69	%		1.46	%
Portfolio turnover rate		62	%		71	%		78	%		65	%		65	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

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

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

†  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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	12.02		$	14.75		$	14.48		$	14.26		$	13.52
Income (loss) from investment operations:
Net investment income (loss)†		0.19			0.22			0.22			0.25			0.20
Net realized and unrealized gain (loss)		(4.39	)		(1.10	)		0.65			0.54			0.73
Total from investment operations		(4.20	)		(0.88	)		0.87			0.79			0.93
Less distributions to shareholders:
From net investment income		(0.19	)		(0.26	)		(0.23	)		(0.25	)		(0.19	)
From net realized gains		—			(1.59	)		(0.37	)		(0.32	)		—
Total distributions		(0.19	)		(1.85	)		(0.60	)		(0.57	)		(0.19	)
Net asset value, end of period	$	7.63		$	12.02		$	14.75		$	14.48		$	14.26
Total Return(a)		(35.36	)%		(7.36	)%		6.05	%		5.66	%		6.96	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	286,333		$	478,084		$	602,048		$	749,822		$	866,206
Net expenses to average daily net assets		0.41	%(b)		0.41	%(b)		0.41	%		0.43	%		0.44	%
Net investment income to average daily net assets		1.78	%		1.57	%		1.55	%		1.76	%		1.49	%
Portfolio turnover rate		62	%		71	%		78	%		65	%		65	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

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

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

†  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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	12.02		$	14.75		$	14.47		$	14.26		$	13.52
Income (loss) from investment operations:
Net investment income (loss)†		0.19			0.23			0.23			0.25			0.21
Net realized and unrealized gain (loss)		(4.38	)		(1.11	)		0.65			0.54			0.72
Total from investment operations		(4.19	)		(0.88	)		0.88			0.79			0.93
Less distributions to shareholders:
From net investment income		(0.20	)		(0.26	)		(0.23	)		(0.26	)		(0.19	)
From net realized gains		—			(1.59	)		(0.37	)		(0.32	)		—
Total distributions		(0.20	)		(1.85	)		(0.60	)		(0.58	)		(0.19	)
Net asset value, end of period	$	7.63		$	12.02		$	14.75		$	14.47		$	14.26
Total Return(a)		(35.33	)%		(7.32	)%		6.17	%		5.64	%		7.01	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	858,170		$	2,031,659		$	3,671,926		$	2,543,300		$	1,750,325
Net expenses to average daily net assets		0.37	%(b)		0.37	%(b)		0.37	%		0.38	%		0.39	%
Net investment income to average daily net assets		1.78	%		1.63	%		1.61	%		1.78	%		1.56	%
Portfolio turnover rate		62	%		71	%		78	%		65	%		65	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

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

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

†  Calculated using average shares outstanding throughout the period.

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	12.03		$	14.75		$	14.47		$	14.26		$	13.52
Income (loss) from investment operations:
Net investment income (loss)†		0.15			0.18			0.18			0.20			0.16
Net realized and unrealized gain (loss)		(4.40	)		(1.11	)		0.64			0.53			0.72
Total from investment operations		(4.25	)		(0.93	)		0.82			0.73			0.88
Less distributions to shareholders:
From net investment income		(0.13	)		(0.20	)		(0.17	)		(0.20	)		(0.14	)
From net realized gains		—			(1.59	)		(0.37	)		(0.32	)		—
Total distributions		(0.13	)		(1.79	)		(0.54	)		(0.52	)		(0.14	)
Net asset value, end of period	$	7.65		$	12.03		$	14.75		$	14.47		$	14.26
Total Return(a)		(35.61	)%		(7.64	)%		5.73	%		5.22	%		6.61	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,786		$	56,422		$	131,640		$	157,009		$	171,316
Net expenses to average daily net assets		0.76	%(b)		0.76	%(b)		0.76	%		0.77	%		0.78	%
Net investment income to average daily net assets		1.29	%		1.23	%		1.22	%		1.41	%		1.17	%
Portfolio turnover rate		62	%		71	%		78	%		65	%		65	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.02	%		0.02	%		0.02	%		0.02	%

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

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

†  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 28, 2009

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 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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

21

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the security were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	1,602,168,133	$	—
Level 2 - Other Significant Observable Inputs		5,933,603		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	1,608,101,736	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(4,979,701	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(4,979,701	)

*  Other financial instruments include futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

22

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces

23

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

24

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing

25

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, losses on wash sale transactions and post-October capital losses.

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	50,793,642	$	241,940,523
Net long-term capital gain		—		376,232,560
Total distributions	$	50,793,642	$	618,173,083

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 7,202,149

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $277,985,666.

As of February 28, 2009, 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:

2/28/2017	$	(253,190,292	)
Total	$	(253,190,292	)

26

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	2,450,906,198	$	3,349,247	$	(846,153,709	)	$	(842,804,462	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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, 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity.

27

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.31% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares, 0.10% for Class IV shares and 0.055% for Class VI shares.

Holders of Class M shares of the Fund pay GMO an administration fee for support services provided to Class M shareholders. That fee is paid monthly at the annual rate of 0.20% of the average daily net assets of Class M shares. Pursuant to a Rule 12b-1 distribution and service plan adopted by the Fund, holders of Class M shares of the Fund may pay a fee, at the annual rate of up to 1.00% of average daily net assets of Class M shares for any activities or expenses primarily intended to result in the sale of Class M shares of the Fund and/or the provision of services to Class M shareholders. The Trustees currently limit payments on Class M shares to 0.25% of the Fund's average daily net assets of Class M shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.31% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, administration and distribution (12b-1) 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).

28

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fee paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $32,360 and $20,292, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $1,688,973,652 and $2,570,677,692, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 33.38% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. One of the shareholders is another fund of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 57.13% of the Fund's shares were held by accounts for which the Manager had investment discretion.

29

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		10,238,738		$	93,997,492			10,821,336		$	155,921,642
Shares issued to shareholders in reinvestment of distributions		1,047,915			11,222,375			13,691,161			193,621,517
Shares repurchased		(38,645,942	)		(438,608,016	)		(51,723,168	)		(728,145,066	)
Net increase (decrease)		(27,359,289	)	$	(333,388,149	)		(27,210,671	)	$	(378,601,907	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		10,729,862		$	87,517,393			7,471,098		$	107,806,250
Shares issued to shareholders in reinvestment of distributions		656,519			6,901,870			5,018,252			70,729,411
Shares repurchased		(13,623,143	)		(123,528,968	)		(13,542,835	)		(194,165,178	)
Net increase (decrease)		(2,236,762	)	$	(29,109,705	)		(1,053,485	)	$	(15,629,517	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		39,043,308		$	402,535,356			51,884,829		$	705,180,355
Shares issued to shareholders in reinvestment of distributions		2,776,239			29,721,224			23,622,907			334,820,373
Shares repurchased		(98,313,498	)		(982,987,953	)		(155,480,537	)		(2,272,939,240	)
Net increase (decrease)		(56,493,951	)	$	(550,731,373	)		(79,972,801	)	$	(1,232,938,512	)

30

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class M:	Shares			Amount			Shares			Amount
Shares sold		10,515		$	128,124			124,923		$	1,799,606
Shares issued to shareholders in reinvestment of distributions		36,243			406,197			874,683			12,446,178
Shares repurchased		(4,504,666	)		(45,185,445	)		(5,233,840	)		(74,518,027	)
Net increase (decrease)		(4,457,908	)	$	(44,651,124	)		(4,234,234	)	$	(60,272,243	)

31

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

32

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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.

33

GMO U.S. Core Equity Fund

(A Series of GMO Trust)

Fund Expenses — (Continued)
February 28, 2009 (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	$	654.60	$	1.89
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31
Class IV
1) Actual		0.41	%	$	1,000.00	$	654.70	$	1.68
2) Hypothetical		0.41	%	$	1,000.00	$	1,022.76	$	2.06
Class VI
1) Actual		0.37	%	$	1,000.00	$	654.90	$	1.52
2) Hypothetical		0.37	%	$	1,000.00	$	1,022.96	$	1.86
Class M
1) Actual		0.76	%	$	1,000.00	$	653.60	$	3.12
2) Hypothetical		0.76	%	$	1,000.00	$	1,021.03	$	3.81

*  Expenses are calculated using each Class's annualized net expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

34

GMO U.S. Core Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

37

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

38

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

39

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Portfolio Management

Day-to-day management of the Fund's portfolio is the responsibility of the Quantitative Equity 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 -38.8% for the fiscal year ended February 28, 2009, as compared to -43.7% for the Russell 2500 Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the Russell 2500 Value Index. Stock selections within Financials, Consumer Discretionary, and Materials added to relative returns while stock selections within Utilities, Health Care, and Energy detracted. In terms of individual names, overweight positions in Philadelphia Consolidated, Advance Auto Parts, and Dollar Tree added to relative returns. Overweight positions in Patterson-UTI Energy and Cimarex Energy and an underweight in People's United Financial detracted.

Sector selection detracted from returns relative to the Russell 2500 Value Index. Sector weightings positively impacting relative performance included an overweight position in Health Care and an underweight in Materials. Sector weightings negatively impacting relative performance included an underweight in Utilities and overweight positions in Energy and Consumer Discretionary.

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

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		96.5	%
Short-Term Investments		3.6
Futures		(0.4	)
Other		0.3
		100.0	%
Industry Sector Summary	% of Equity Investments
Financials		30.7	%
Consumer Discretionary		19.9
Health Care		11.4
Information Technology		11.2
Industrials		8.8
Consumer Staples		5.1
Energy		4.7
Materials		4.2
Utilities		3.2
Telecommunication Services		0.8
		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 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 96.5%
		Consumer Discretionary — 19.2%
	700	99 Cents Only Stores *		5,768
	1,200	Aaron Rents, Inc.		28,836
	1,500	Abercrombie & Fitch Co.-Class A		32,985
	3,100	Advance Auto Parts, Inc.		118,575
	2,000	Aeropostale, Inc. *		46,380
	3,400	America's Car-Mart, Inc. *		37,332
	7,800	American Eagle Outfitters, Inc.		76,128
	600	Asbury Automotive Group, Inc.		1,710
	3,000	Autoliv, Inc.		44,640
	12,500	AutoNation, Inc. *		124,750
	400	Barnes & Noble, Inc.		7,176
	2,100	Black & Decker Corp.		49,707
	1,125	Blyth, Inc.		22,961
	3,500	Brinker International, Inc.		38,500
	2,700	Career Education Corp. *		66,609
	1,500	Carter's, Inc. *		24,465
	1,050	CEC Entertainment, Inc. *		24,517
	300	Childrens Place Retail Stores (The), Inc. *		5,484
	1,700	Columbia Sportswear Co.		46,104
	1,800	Core-Mark Holding Co., Inc. *		30,798
	1,300	Cracker Barrel Old Country Store, Inc.		29,094
	200	Darden Restaurants, Inc.		5,428
	1,500	Dollar Tree, Inc. *		58,230
	2,700	Dress Barn, Inc. *		26,784
	2,900	Ethan Allen Interiors, Inc.		27,666
	6,600	Family Dollar Stores, Inc.		181,104
	9,700	Foot Locker, Inc.		80,607
	1,700	Fred's, Inc.-Class A		15,657
	8,100	Gannett Co., Inc.		26,244
	1,300	Genesco, Inc. *		18,590
	2,500	Group 1 Automotive, Inc.		26,750
	1,600	Harman International Industries, Inc.		16,992

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	3,300	Harte-Hanks, Inc.		18,513
	2,000	Hasbro, Inc.		45,780
	1,200	Helen of Troy Ltd. *		12,048
	700	ITT Educational Services, Inc. *		79,450
	500	Jakks Pacific, Inc. *		6,335
	500	Jo-Ann Stores, Inc. *		6,020
	9,000	Jones Apparel Group, Inc.		24,210
	1,000	Jos. A. Bank Clothiers, Inc. *		22,600
	5,500	Leggett & Platt, Inc.		62,865
	600	Marvel Entertainment, Inc. *		15,516
	124	MDC Holdings, Inc.		3,129
	2,500	Men's Wearhouse (The), Inc.		26,700
	1,800	Meredith Corp.		23,130
	1,100	Mohawk Industries, Inc. *		24,849
	200	Monro Muffler, Inc.		4,706
	400	National Presto Industries, Inc.		24,204
	151	NVR, Inc. *		50,248
	1,700	O'Reilly Automotive, Inc. *		56,712
	2,700	Oxford Industries, Inc.		12,609
	10,100	Penske Auto Group, Inc.		57,166
	1,300	PetMed Express, Inc. *		17,914
	700	PetSmart, Inc.		14,028
	700	Polaris Industries, Inc.		12,887
	3,100	Pomeroy IT Solutions, Inc. *		11,160
	500	Pre-Paid Legal Services, Inc. *		15,955
	6,500	RadioShack Corp.		47,645
	1,200	RC2 Corp. *		5,628
	3,300	Regis Corp.		41,580
	6,300	Rent-A-Center, Inc. *		110,376
	1,600	Ross Stores, Inc.		47,232
	1,000	Snap-On, Inc.		23,590
	2,000	Stanley Works (The)		53,520
	1,300	Steven Madden, Ltd. *		21,086
	110	Strayer Education, Inc.		18,673

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	2,400	Thor Industries, Inc.		25,704
	2,700	Timberland Co.-Class A *		30,375
	1,200	Toll Brothers, Inc. *		19,020
	700	Tractor Supply Co. *		21,868
	300	Universal Technical Institute, Inc. *		3,309
	1,300	Urban Outfitters, Inc. *		21,632
	400	Weight Watchers International, Inc.		7,240
	3,000	Williams-Sonoma, Inc.		26,190
		Total Consumer Discretionary		2,519,973
		Consumer Staples — 4.9%
	3,300	BJ's Wholesale Club, Inc. *		98,604
	1,300	Casey's General Stores, Inc.		25,883
	100	Chattem, Inc. *		6,343
	200	Chiquita Brands International, Inc. *		984
	2,300	Dean Foods Co. *		47,035
	900	Del Monte Foods Co.		6,435
	100	Energizer Holdings, Inc. *		4,219
	800	Flowers Foods, Inc.		17,848
	200	Fresh Del Monte Produce, Inc. *		3,756
	2,200	Ingles Markets, Inc.-Class A		29,876
	300	J&J Snack Foods Corp.		9,471
	600	JM Smucker Co. (The)		22,272
	1,100	McCormick & Co., Inc. (Non Voting)		34,485
	1,400	Nash Finch Co.		48,776
	4,700	NBTY, Inc. *		69,889
	1,200	Nu Skin Enterprises, Inc.-Class A		11,280
	2,100	Pantry, Inc. *		32,466
	1,500	Prestige Brands Holdings, Inc. *		8,205
	300	Ralcorp Holdings, Inc. *		18,180
	400	Spartan Stores, Inc.		6,120
	1,700	Supervalu, Inc.		26,537
	300	Tootsie Roll Industries, Inc.		6,426
	8,200	Tyson Foods, Inc.-Class A		69,126

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — continued
	900	United Natural Foods, Inc. *		13,392
	400	WD-40 Co.		9,844
	1,500	Winn-Dixie Stores, Inc. *		14,505
		Total Consumer Staples		641,957
		Energy — 4.5%
	4,400	Cimarex Energy Co.		86,460
	600	Encore Acquisition Co. *		12,048
	1,700	Helmerich & Payne, Inc.		40,222
	1,000	Holly Corp.		23,310
	104	Kinder Morgan Management, LLC. *		4,339
	900	Lufkin Industries, Inc.		29,565
	1,900	Oil States International, Inc. *		25,308
	700	Overseas Shipholding Group, Inc.		18,004
	14,800	Patterson-UTI Energy, Inc.		127,132
	1,100	Pioneer Drilling Co. *		4,224
	900	St. Mary Land & Exploration Co.		12,222
	1,700	Stone Energy Corp. *		6,732
	1,300	Swift Energy Co. *		9,347
	700	Tidewater, Inc.		24,724
	4,000	Unit Corp. *		85,480
	800	VAALCO Energy, Inc. *		4,560
	2,100	W&T Offshore, Inc.		16,905
	2,200	World Fuel Services Corp.		63,822
		Total Energy		594,404
		Financials — 29.7%
	200	Allied World Assurance Co. Holdings Ltd.		7,682
	2,100	American Equity Investment Life Holding Co.		8,064
	6,150	American Financial Group, Inc.		95,694
	400	American Physicians Capital, Inc.		16,948
	300	Amerisafe, Inc. *		4,350
	1,600	Annaly Capital Management, Inc. REIT		22,240
	2,900	Arch Capital Group Ltd. *		156,600

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	800	Arthur J. Gallagher & Co.		12,696
	4,400	Aspen Insurance Holdings Ltd.		95,876
	7,600	Associated Banc Corp.		109,896
	800	Assurant, Inc.		16,320
	2,250	Astoria Financial Corp.		16,087
	9,300	Axis Capital Holdings Ltd.		208,134
	300	Bancfirst Corp.		10,467
	1,900	Bancorpsouth, Inc.		35,397
	1,400	Bank of Hawaii Corp.		44,856
	100	Bank of the Ozarks, Inc.		2,075
	800	BOK Financial Corp.		24,080
	2,900	Brown & Brown, Inc.		48,923
	200	Capitol Federal Financial		7,406
	2,400	Cathay General Bancorp		23,328
	800	Center Financial Corp.		2,360
	1,100	Chemical Financial Corp.		21,032
	500	Cincinnati Financial Corp.		10,270
	1,200	City Holding Co.		31,464
	1,800	City National Corp.		57,744
	2,300	CNA Surety Corp. *		33,465
	1,400	Comerica, Inc.		21,014
	2,230	Commerce Bancshares, Inc.		77,448
	1,900	Community Bank System, Inc.		32,509
	300	Community Trust Bancorp		7,773
	400	Cullen/Frost Bankers, Inc.		17,216
	1,200	Delphi Financial Group, Inc.-Class A		13,008
	2,000	Dime Community Bancshares		19,720
	1,500	Encore Capital Group, Inc. *		5,955
	4,100	Endurance Specialty Holdings Ltd.		91,717
	200	Entertainment Properties Trust REIT		2,982
	500	Erie Indemnity Co.-Class A		15,020
	600	FBL Financial Group, Inc.-Class A		1,818
	500	Financial Federal Corp.		9,500
	3,416	First American Corp.		79,149

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	300	First Financial Bankshares, Inc.		12,906
	100	First Merchants Corp.		1,005
	2,900	First Niagara Financial Group, Inc.		33,698
	3,000	FirstMerit Corp.		44,130
	1,800	Flushing Financial Corp.		11,052
	600	FPIC Insurance Group, Inc. *		22,260
	6,800	Fulton Financial Corp.		42,296
	1,200	Hancock Holding Co.		34,032
	1,000	Hanover Insurance Group (The), Inc.		35,170
	1,000	Harleysville Group, Inc.		29,760
	7,100	HCC Insurance Holdings, Inc.		155,845
	200	Health Care REIT, Inc.		6,154
	300	Home Properties, Inc. REIT		7,962
	3,400	Horace Mann Educators Corp.		26,146
	900	Infinity Property & Casualty Corp.		31,977
	1,400	Inland Real Estate Corp. REIT		10,920
	5,320	International Bancshares Corp.		53,253
	1,300	IPC Holdings Ltd.		33,033
	273	Kansas City Life Insurance Co.		6,495
	1,600	Knight Capital Group, Inc.-Class A *		28,144
	1,400	Liberty Property Trust REIT		25,578
	800	LTC Properties, Inc. REIT		13,648
	600	Mack-Cali Realty Corp. REIT		10,248
	100	MainSource Financial Group, Inc.		559
	100	Markel Corp. *		26,581
	1,900	Max Capital Group Ltd.		31,350
	1,600	Mercury General Corp.		43,136
	2,800	Montpelier Re Holdings, Ltd.		35,560
	1,900	Nara Bancorp, Inc.		5,073
	500	Navigators Group, Inc. *		26,115
	1,100	NBT Bancorp, Inc.		21,615
	200	Northwest Bancorp, Inc.		3,036
	600	OceanFirst Financial Corp.		5,688
	800	Odyssey Re Holdings Corp.		37,168

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	3,800	Old National Bancorp		44,346
	5,675	Old Republic International Corp.		51,529
	800	Park National Corp.		38,680
	2,800	PartnerRe Ltd.		173,320
	2,500	Platinum Underwriters Holdings Ltd.		70,100
	2,300	Popular, Inc.		5,175
	2,000	Presidential Life Corp.		13,200
	200	ProAssurance Corp. *		9,558
	4,300	Protective Life Corp.		16,254
	2,100	Provident Financial Services, Inc.		19,614
	300	PS Business Parks, Inc. REIT		10,320
	300	Raymond James Financial, Inc.		4,188
	3,200	Reinsurance Group of America, Inc.		87,040
	1,900	RenaissanceRe Holdings Ltd.		85,557
	1,500	RLI Corp.		73,470
	1,000	S&T Bancorp		22,690
	500	S.Y. Bancorp, Inc.		11,805
	2,200	Safety Insurance Group, Inc.		68,794
	2,800	SEI Investments Co.		33,152
	3,600	Selective Insurance Group, Inc.		43,308
	2,400	StanCorp Financial Group, Inc.		43,176
	1,200	State Auto Financial Corp.		20,064
	310	Student Loan Corp.		11,693
	200	SVB Financial Group *		3,270
	2,800	TCF Financial Corp.		34,328
	2,700	Transatlantic Holdings, Inc.		81,189
	3,200	Trustmark Corp.		56,928
	188	UDR, Inc. REIT		1,487
	500	UMB Financial Corp.		18,965
	1,100	United Bankshares, Inc.		16,940
	400	United Fire & Casualty Co.		6,784
	1,100	Unitrin, Inc.		11,858
	700	Urstadt Biddle Properties, Inc. REIT		8,477
	6,000	W.R. Berkley Corp.		124,860

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	700	Westamerica Bancorporation		27,909
	2,500	Whitney Holding Corp.		27,625
	2,800	Wilmington Trust Corp.		25,200
	900	Wilshire Bancorp, Inc.		4,284
	2,500	Zenith National Insurance Corp.		54,975
		Total Financials		3,891,988
		Health Care — 11.0%
	1,600	AMERIGROUP Corp. *		39,648
	400	Catalyst Health Solutions, Inc. *		8,432
	3,100	Centene Corp. *		52,638
	800	Conmed Corp. *		10,872
	500	Cooper Cos (The), Inc.		10,995
	800	Covance, Inc. *		30,384
	2,200	Coventry Health Care, Inc. *		25,344
	5,200	Endo Pharmaceuticals Holdings, Inc. *		98,696
	700	Hanger Orthopedic Group, Inc. *		9,310
	4,900	Health Net, Inc. *		64,680
	200	Henry Schein, Inc. *		7,336
	900	Hill-Rom Holdings, Inc.		8,838
	600	Idexx Laboratories, Inc. *		18,060
	400	Immucor, Inc. *		8,976
	2,500	IMS Health, Inc.		31,300
	1,600	Invacare Corp.		25,664
	2,800	Kindred Healthcare, Inc. *		40,292
	27,000	King Pharmaceuticals, Inc. *		198,180
	300	Landauer, Inc.		15,003
	4,400	LifePoint Hospitals, Inc. *		92,488
	1,700	Lincare Holdings, Inc. *		35,819
	400	Mednax, Inc. *		11,840
	2,100	Molina Healthcare, Inc. *		39,333
	4,300	Mylan, Inc. *		53,449
	2,200	Odyssey HealthCare, Inc. *		22,792
	7,300	Omnicare, Inc.		189,289

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	1,300	Owens & Minor, Inc.		43,823
	2,400	Patterson Cos., Inc. *		43,368
	200	Res-Care, Inc. *		2,446
	400	ResMed, Inc. *		14,752
	600	Techne Corp.		29,310
	400	Teleflex, Inc.		19,000
	4,500	Tenet Healthcare Corp. *		4,995
	1,400	Universal Health Services, Inc.-Class B		51,562
	1,300	Valeant Pharmaceuticals International *		22,620
	1,200	VCA Antech, Inc. *		24,948
	800	Viropharma, Inc. *		3,320
	900	Waters Corp. *		31,698
	800	WellCare Health Plans, Inc. *		7,224
		Total Health Care		1,448,724
		Industrials — 8.5%
	300	A.O. Smith Corp.		7,659
	1,000	ABM Industries, Inc.		12,230
	200	Alliant Techsystems, Inc. *		14,132
	500	Argon ST, Inc. *		8,505
	1,200	Arkansas Best Corp.		20,904
	100	Brady Corp.-Class A		1,713
	600	Carlisle Cos., Inc.		11,892
	2,500	Ceradyne, Inc. *		42,900
	2,800	Cintas Corp.		56,812
	700	Con-way, Inc.		10,577
	2,500	Copart, Inc. *		67,550
	300	Crane Co.		4,524
	2,700	Deluxe Corp.		20,844
	1,500	EMCOR Group, Inc. *		23,115
	800	Encore Wire Corp.		14,400
	2,000	Ennis, Inc.		16,360
	1,500	EnPro Industries, Inc. *		24,675
	2,900	Gardner Denver, Inc. *		54,868

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	900	GATX Corp.		16,443
	200	Genesee & Wyoming, Inc.-Class A *		4,178
	900	Granite Construction, Inc.		32,022
	600	Griffon Corp. *		4,362
	2,800	HNI Corp.		27,468
	800	HUB Group Inc.-Class A *		14,368
	400	Insituform Technologies, Inc.-Class A *		4,872
	1,000	Insteel Industries, Inc.		6,300
	4,600	Kelly Services, Inc.-Class A		34,960
	4,000	Manpower, Inc.		111,520
	300	Marten Transport Ltd. *		4,968
	1,500	MPS Group, Inc. *		7,455
	800	MSC Industrial Direct Co., Inc.-Class A		24,472
	2,000	Mueller Industries, Inc.		36,140
	1,200	NCI Building Systems, Inc. *		6,072
	2,600	Pacer International, Inc.		7,618
	1,400	R.R. Donnelley & Sons Co.		10,906
	1,700	Ryder System, Inc.		38,862
	40	Seaboard Corp.		35,200
	700	Simpson Manufacturing Co., Inc.		10,892
	3,500	Skywest, Inc.		35,840
	1,200	Standex International Corp.		12,996
	500	Terex Corp. *		4,460
	1,400	Tredegar Corp.		23,380
	2,700	TrueBlue, Inc. *		18,981
	1,900	United Rentals, Inc. *		7,695
	1,300	United Stationers, Inc. *		28,249
	600	Universal Forest Products, Inc.		13,074
	2,000	Volt Information Sciences, Inc. *		15,600
	600	Wabtec Corp.		16,056
	600	Watsco, Inc.		20,598
	200	Watson Wyatt Worldwide, Inc.		9,822
	1,600	Werner Enterprises, Inc.		21,792
	2,000	WESCO International, Inc. *		33,200
		Total Industrials		1,114,481

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 28, 2009

Shares		Description	Value ($)
		Information Technology — 10.8%
	100	Actel Corp. *		907
	3,100	Acxiom Corp.		25,668
	1,500	Affiliated Computer Services, Inc.-Class A *		69,945
	600	Anixter International, Inc. *		17,646
	3,300	Arrow Electronics, Inc. *		54,879
	1,400	Avnet, Inc. *		24,178
	1,600	Avocent Corp. *		19,168
	1,900	Benchmark Electronics, Inc. *		18,563
	900	Black Box Corp.		17,856
	100	CACI International, Inc.-Class A *		4,277
	1,300	Cognex Corp.		14,300
	7,400	Convergys Corp. *		47,730
	2,600	CSG Systems International, Inc. *		35,152
	900	Diebold, Inc.		19,908
	550	Factset Research Systems, Inc.		21,197
	1,200	Fair Isaac Corp.		13,140
	1,400	FLIR Systems, Inc. *		28,574
	2,200	Global Payments, Inc.		67,496
	1,700	IAC/InterActiveCorp *		25,381
	1,500	Imation Corp.		12,060
	15,450	Ingram Micro, Inc.-Class A *		168,251
	2,000	Insight Enterprises, Inc. *		5,260
	2,900	j2 Global Communications, Inc. *		54,317
	6,200	Jabil Circuit, Inc.		25,668
	1,400	Lam Research Corp. *		27,384
	7,500	Lexmark International, Inc. *		128,550
	370	Mettler-Toledo International, Inc. *		19,725
	1,800	MKS Instruments, Inc. *		22,662
	2,100	ModusLink Global Solutions, Inc. *		3,990
	100	Molex, Inc.		1,137
	3,500	Perot Systems Corp.-Class A *		39,830
	600	Plantronics, Inc.		5,154
	9,300	QLogic Corp. *		85,746
	500	Quest Software, Inc. *		5,650

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	2,000	RealNetworks, Inc. *		4,600
	500	Rogers Corp. *		9,125
	1,300	SAIC, Inc. *		24,583
	3,900	Silicon Image, Inc. *		9,048
	1,300	Sybase, Inc. *		35,334
	3,300	SYNNEX Corp. *		48,906
	5,597	Tech Data Corp. *		96,772
	500	Tekelec *		6,130
	4,100	Western Digital Corp. *		56,006
		Total Information Technology		1,421,853
		Materials — 4.1%
	2,700	Ashland, Inc.		15,957
	1,800	Ball Corp.		72,522
	2,200	Bemis Co., Inc.		40,854
	1,000	Cabot Corp.		10,480
	400	Carpenter Technology Corp.		5,480
	3,300	Commercial Metals Co.		33,693
	400	Cytec Industries, Inc.		6,160
	1,000	Eastman Chemical Co.		20,540
	600	FMC Corp.		24,258
	1,600	Headwaters, Inc. *		3,168
	400	Innophos Holdings, Inc.		4,248
	600	Olin Corp.		6,264
	2,000	Pactiv Corp. *		31,660
	4,400	Reliance Steel & Aluminum Co.		104,676
	100	Rock-Tenn Co.-Class A		2,761
	900	Schnitzer Steel Industries, Inc.-Class A		25,776
	1,700	Sealed Air Corp.		18,972
	500	Sigma-Aldrich Corp.		17,850
	1,900	Sonoco Products Co.		36,613
	558	Stepan Co.		15,836
	1,000	Valspar Corp.		16,700

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 28, 2009

Shares		Description	Value ($)
		Materials — continued
	600	Wausau Paper Corp.		3,330
	1,200	Westlake Chemical Corp.		14,988
		Total Materials		532,786
		Telecommunication Services — 0.7%
	3,000	CenturyTel, Inc.		78,990
	200	Telephone & Data Systems, Inc.		5,900
	1,200	USA Mobility, Inc. *		10,968
		Total Telecommunication Services		95,858
		Utilities — 3.1%
	1,000	Energen Corp.		26,800
	4,100	Hawaiian Electric Industries, Inc.		56,867
	400	IDACORP, Inc.		9,736
	500	Integrys Energy Group, Inc.		12,025
	400	Laclede Group (The), Inc.		15,832
	2,200	MDU Resources Group, Inc.		33,308
	300	MGE Energy, Inc.		9,024
	600	National Fuel Gas Co.		18,186
	800	New Jersey Resources Corp.		28,056
	1,000	Nicor, Inc.		31,380
	1,200	NSTAR		38,604
	900	Piedmont Natural Gas Co., Inc.		21,726
	500	South Jersey Industries, Inc.		18,030
	400	Southwest Gas Corp.		7,796
	3,000	TECO Energy, Inc.		28,770
	300	UIL Holdings Corp.		6,156
	600	Vectren Corp.		12,516
	200	WGL Holdings, Inc.		6,072
	600	Wisconsin Energy Corp.		23,892
		Total Utilities		404,776
		TOTAL COMMON STOCKS (COST $20,465,624)		12,666,800

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 28, 2009

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 3.6%
		Money Market Funds — 3.6%
	471,202	State Street Institutional Treasury Money Market Fund-Institutional Class		471,202
		TOTAL SHORT-TERM INVESTMENTS (COST $471,202)		471,202
		TOTAL INVESTMENTS — 100.1% (Cost $20,936,826)		13,138,002
		Other Assets and Liabilities (net) — (0.1%)		(18,982	)
		TOTAL NET ASSETS — 100.0%	$	13,119,020

See accompanying notes to the financial statements.

15

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	3	Russell 2000 Mini	March 2009	$	116,550	$	(25,100	)
	4	S&P Midcap 400 E-Mini	March 2009		179,560		(29,227	)
				$	296,110	$	(54,327	)

As of February 28, 2009, 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.

See accompanying notes to the financial statements.

16

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $20,936,826) (Note 2)	$	13,138,002
Dividends and interest receivable		25,658
Receivable for collateral on open futures contracts (Note 2)		42,900
Receivable for expenses reimbursed by Manager (Note 3)		6,449
Total assets		13,213,009
Liabilities:
Payable to affiliate for (Note 3):
Management fee		3,436
Shareholder service fee		1,663
Trustees and Chief Compliance Officer of GMO Trust fees		48
Payable for variation margin on open futures contracts (Note 2)		3,500
Accrued expenses		85,342
Total liabilities		93,989
Net assets	$	13,119,020
Net assets consist of:
Paid-in capital	$	29,933,497
Accumulated undistributed net investment income		26,224
Accumulated net realized loss		(8,987,550	)
Net unrealized depreciation		(7,853,151	)
	$	13,119,020
Net assets attributable to:
Class III shares	$	13,119,020
Shares outstanding:
Class III		2,951,670
Net asset value per share:
Class III	$	4.44

See accompanying notes to the financial statements.

17

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $162)	$	433,595
Interest		7,940
Total investment income		441,535
Expenses:
Management fee (Note 3)		71,313
Shareholder service fee – Class III (Note 3)		34,506
Custodian, fund accounting agent and transfer agent fees		41,814
Audit and tax fees		56,133
Legal fees		422
Trustees fees and related expenses (Note 3)		244
Miscellaneous		1,119
Total expenses		205,551
Fees and expenses reimbursed by Manager (Note 3)		(99,314	)
Net expenses		106,237
Net investment income (loss)		335,298
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(5,615,990	)
Closed futures contracts		(223,204	)
Foreign currency, forward contracts and foreign currency related transactions		(10	)
Net realized gain (loss)		(5,839,204	)
Change in net unrealized appreciation (depreciation) on:
Investments		(2,843,492	)
Open futures contracts		(54,327	)
Net unrealized gain (loss)		(2,897,819	)
Net realized and unrealized gain (loss)		(8,737,023	)
Net increase (decrease) in net assets resulting from operations	$	(8,401,725	)

See accompanying notes to the financial statements.

18

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	335,298		$	737,962
Net realized gain (loss)		(5,839,204	)		(1,023,435	)
Change in net unrealized appreciation (depreciation)		(2,897,819	)		(9,361,725	)
Net increase (decrease) in net assets from operations		(8,401,725	)		(9,647,198	)
Distributions to shareholders from:
Net investment income
Class III		(339,148	)		(739,082	)
Net realized gains
Class III		—			(4,151,014	)
		(339,148	)		(4,890,096	)
Net share transactions (Note 7):
Class III		(13,439,111	)		(8,753,035	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		68,983			68,226
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		(13,370,128	)		(8,684,809	)
Total increase (decrease) in net assets		(22,111,001	)		(23,222,103	)
Net assets:
Beginning of period		35,230,021			58,452,124
End of period (including accumulated undistributed net investment income of $26,224 and $31,207, respectively)	$	13,119,020		$	35,230,021

See accompanying notes to the financial statements.

19

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	7.36		$	10.01		$	10.52		$	12.38		$	15.51
Income (loss) from investment operations:
Net investment income (loss)†		0.10			0.13			0.15			0.20			0.19
Net realized and unrealized gain (loss)		(2.92	)		(1.87	)		0.68			1.11			1.32
Total from investment operations		(2.82	)		(1.74	)		0.83			1.31			1.51
Less distributions to shareholders:
From net investment income		(0.10	)		(0.13	)		(0.20	)		(0.21	)		(0.16	)
From net realized gains		—			(0.78	)		(1.14	)		(2.96	)		(4.48	)
Total distributions		(0.10	)		(0.91	)		(1.34	)		(3.17	)		(4.64	)
Net asset value, end of period	$	4.44		$	7.36		$	10.01		$	10.52		$	12.38
Total Return(a)		(38.76	)%		(18.73	)%		8.71	%		11.67	%		14.98	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	13,119		$	35,230		$	58,452		$	53,389		$	80,084
Net expenses to average daily net assets		0.46	%		0.46	%		0.46	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.46	%		1.44	%		1.46	%		1.71	%		1.48	%
Portfolio turnover rate		73	%		63	%		79	%		48	%		66	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.43	%		0.19	%		0.22	%		0.19	%		0.12	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.02		$	0.01		$	0.02		$	0.04		$	0.09

(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.

20

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, 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 Value Index. The Fund typically makes equity investments in U.S. companies that issue stocks included in the Russell 2500 Index, and in companies with similar market capitalizations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset

21

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	12,666,800	$	—
Level 2 - Other Significant Observable Inputs		471,202		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	13,138,002	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	(54,327	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(54,327	)

*  Other financial instruments include futures contracts.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. In addition,

22

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

23

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing

24

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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

25

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(1,133	)	$	1,133	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	339,148	$	1,572,310
Net long-term capital gain		—		3,317,786
Total distributions	$	339,148	$	4,890,096

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 26,224

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $2,570,608.

As of February 28, 2009, 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:

2/28/2017	$	(5,940,234	)
Total	$	(5,940,234	)

26

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	21,467,861	$	137,349	$	(8,467,208	)	$	(8,329,859	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

27

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Purchases and redemptions of Fund shares

As of February 28, 2009, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.50% of the amount invested or redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.31% of the Fund's average daily net assets. Excluded Expenses include 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

28

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 fee paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $244 and $120, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $16,361,317 and $28,523,282, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 57.46% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.15% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 95.79% of the Fund's shares were held by accounts for which the Manager had investment discretion.

29

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,941		$	32,066			3,584		$	31,432
Shares issued to shareholders in reinvestment of distributions		47,015			308,041			541,777			4,846,264
Shares repurchased		(1,889,957	)		(13,779,218	)		(1,595,273	)		(13,630,731	)
Purchase premiums		—			123			—			114
Redemption fees		—			68,860			—			68,112
Net increase (decrease)		(1,838,001	)	$	(13,370,128	)		(1,049,912	)	$	(8,684,809	)

30

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 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

31

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.46	%	$	1,000.00	$	591.30	$	1.81
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

32

GMO U.S. Small/Mid Cap Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

35

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

36

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

37

GMO Flexible Equities Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a private placement memorandum, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The private placement memorandum can be obtained by calling 1-617-346-7646 (collect).

GMO Flexible Equities 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

Since its inception on December 12, 2008, the Class III shares of the GMO Flexible Equities Fund returned -23.0% for the period ended February 28, 2009, as compared to -14.8% for the Fund's benchmark, the MSCI World Index.

Implementation detracted from performance, driven by positions in Japanese equities.

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 Flexible Equities Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		1.1
Other		1.0
		100.0	%
Country Summary	% of Equity Investments
Japan		100.0	%
		100.0	%
Industry Sector Summary	% of Equity Investments
Financials		24.3	%
Consumer Staples		15.9
Consumer Discretionary		15.9
Industrials		14.3
Utilities		13.9
Telecommunication Services		8.5
Materials		3.8
Health Care		1.8
Information Technology		1.6
		100.0	%

1

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Japan — 97.9%
	36,100	ABC-Mart Inc		790,250
	314	Accordia Golf Co Ltd		183,163
	52,580	Acom Co Ltd		1,286,353
	141,000	Aeon Credit Service Co Ltd		1,078,636
	12,000	Aeon Delight Co Ltd		155,053
	55,500	Aica Kogyo Co Ltd		473,510
	388,950	Aiful Corp		401,475
	19,200	Alfresa Holdings Corp		747,840
	33,800	Alpen Co Ltd		539,679
	1,273,000	Aozora Bank Ltd		1,426,818
	21,000	Arcs Co Ltd		302,830
	12,000	Ariake Japan Co Ltd		184,378
	75,900	Asahi Breweries Ltd		950,377
	228,000	Asahi Glass Co Ltd		986,045
	17,900	Asatsu-DK Inc		337,789
	164,500	Atrium Co Ltd *		179,111
	24,000	Autobacs Seven Co Ltd		611,844
	22,000	Awa Bank Ltd (The)		125,575
	4,800	Bank of Ikeda Ltd (The) *		186,780
	6,200	Bank of Okinawa Ltd (The)		216,665
	39,000	Bank of Saga Ltd (The)		126,291
	22,200	Bank of the Ryukyus Ltd		186,455
	385,000	Bank of Yokohama Ltd (The)		1,630,511
	93,900	Belluna Co Ltd		218,933
	68,000	Best Denki Co Ltd		185,869
	2,707	BIC Camera Inc		474,570
	11,000	BML Inc		219,809
	31,000	Bunka Shutter Co Ltd		92,707
	19,500	Canon Marketing Japan Inc		270,363
	19,100	Cawachi Ltd		315,494
	290,000	Central Glass Co Ltd		752,942
	33	Central Japan Railway Co		200,479

See accompanying notes to the financial statements.

2

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	55,400	Century Leasing System Inc		297,953
	291,000	Chiba Bank Ltd		1,365,965
	28,600	Chiba Kogyo Bank Ltd *		282,651
	12,500	Chiyoda Co Ltd		162,622
	30,300	Chiyoda Integre Co Ltd		332,969
	152,800	Chubu Electric Power Co Inc		3,767,268
	123,000	Chugai Ro Co Ltd		279,886
	64,400	Chugoku Electric Power Co Inc		1,542,908
	615,000	Chuo Mitsui Trust Holdings Inc		1,864,257
	76,300	Circle K Sunkus Co Ltd		1,172,731
	9,000	Coca-Cola Central Japan Co Ltd		123,821
	6,500	Cocokara Fine Holdings Inc *		60,018
	137,000	COMSYS Holdings Corp		980,823
	124,600	Credit Saison Co Ltd		810,685
	74,100	CSK Holdings Corp *		130,371
	108,400	Culture Convenience Club Co Ltd		747,946
	447	CyberAgent Inc		203,209
	190	DA Office Investment Corp		247,870
	32,000	Dai Nippon Printing Co Ltd		270,419
	25,800	Daidoh Ltd		134,151
	256,300	Daiei Inc *		797,396
	12,400	Daiichikosho Co Ltd		116,076
	34,000	Daiken Corp		57,856
	983,000	Daikyo Inc		433,977
	39,000	Daimei Telecom Engineering Corp		312,744
	91,000	Daio Paper Corp		705,993
	20,500	Daiseki Co Ltd		287,644
	66,000	Daishi Bank Ltd (The)		260,296
	65,600	Daito Trust Construction Co Ltd		2,065,832
	47,000	Daiwa House Industry Co Ltd		308,345
	558,000	Daiwa Securities Group Inc		1,916,790
	92,600	DCM Japan Holdings Co Ltd		421,185
	97,700	Don Quijote Co Ltd		1,152,685
	23,900	Doshisha Co Ltd		267,418

See accompanying notes to the financial statements.

3

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	17,600	DTS Corp		112,348
	201,400	Edion Corp		500,557
	13,000	Electric Power Development Co Ltd		415,368
	23,000	Ezaki Glico Co Ltd		210,093
	58,100	FamilyMart Co Ltd		1,959,965
	117,500	Fast Retailing Co Ltd		11,802,880
	3,000	FP Corp		136,525
	33	Frontier Real Estate Investment Corp		157,577
	1,034,000	Fuji Electric Holdings Co Ltd		925,321
	102,400	Fuji Oil Co Ltd		1,287,317
	18,000	Fuji Soft Inc		263,930
	11,000	Fujicco Co Ltd		123,710
	44,100	Fuyo General Lease Co Ltd		515,584
	863	Geo Corp		550,661
	52	Global One REIT Co Ltd		322,570
	62,700	GMO internet Inc		239,407
	49,220	Goldcrest Co Ltd		874,679
	75	Gourmet Navigator Inc		150,059
	181,000	GS Yuasa Corp		743,457
	23,760	Gulliver International Co Ltd		307,640
	41,400	H.I.S. Co Ltd		591,554
	193,000	Hachijuni Bank Ltd (The)		1,066,663
	13,120	Hakuhodo DY Holdings Inc		568,397
	46,000	Hankyu Hanshin Holdings Inc		211,902
	3,892,000	Haseko Corp		1,329,031
	15,200	Heiwado Co Ltd		208,586
	62,000	Higashi-Nippon Bank Ltd (The)		167,072
	70,900	Hikari Tsushin Inc		1,142,403
	193,000	Hiroshima Bank Ltd (The)		720,304
	206,000	Hitachi Cable Ltd		311,827
	72,600	Hitachi Capital Corp		623,496
	17,000	Hitachi Software Engineering Co Ltd		196,624
	16,900	Hitachi Systems & Services Ltd		153,234
	29,800	Hitachi Transport System Ltd		271,679

See accompanying notes to the financial statements.

4

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	21,900	Hogy Medical Co Ltd		1,214,729
	145,100	Hokkaido Electric Power Co Inc		3,073,084
	71,000	Hokuetsu Bank Ltd (The)		120,160
	110,000	Hokuetsu Paper Mills Ltd		401,008
	38,000	Hokuriku Electric Power Co		1,007,694
	29,300	Hokuto Corp		571,923
	82,070	Honeys Co Ltd		364,291
	53,000	Hyakugo Bank Ltd (The)		275,870
	62,000	Hyakujushi Bank Ltd (The)		291,731
	22,000	IBJ Leasing Co Ltd		214,522
	71,000	Ito En Ltd		905,335
	128,000	Itoham Foods Inc		373,120
	20,100	Itoki Corp		53,636
	100,000	Iyo Bank Ltd (The)		1,048,883
	37,200	Izumi Co Ltd		387,716
	76,000	Izumiya Co Ltd		378,949
	170,000	J-Oil Mills Inc		454,745
	202,000	JACCS Co Ltd *		341,480
	8,800	Jafco Co Ltd		128,102
	110	Japan Retail Fund Investment Corp REIT		356,060
	610,200	Joint Corp		475,468
	38,000	Joshin Denki Co Ltd		212,265
	174,100	JS Group Corp		1,865,065
	63,200	K's Holdings Corp		755,317
	56,000	Kagoshima Bank Ltd (The)		394,805
	1,344,000	Kajima Corp		2,809,487
	329	Kakaku.com Inc		970,335
	169,000	Kamigumi Co Ltd		1,082,832
	72,000	Kandenko Co Ltd		455,659
	19,600	Kansai Electric Power Co Inc		471,256
	126,000	Kansai Urban Banking Corp		184,221
	63,500	Kanto Tsukuba Bank Ltd (The)		126,798
	32,000	Kasumi Co Ltd		128,240
	24,700	Kato Sangyo Co Ltd		353,005

See accompanying notes to the financial statements.

5

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	60,000	Keihan Electric Railway Co Ltd		247,612
	64,000	Keihin Electric Express Railway Co Ltd		450,590
	41,000	Keisei Electric Railway Co Ltd		190,300
	45,000	Keiyo Bank Ltd (The)		206,645
	39,400	Keiyo Co Ltd		207,732
	7,265	Kenedix Inc *		502,250
	52,000	Kinden Corp		365,786
	202,000	Kintetsu Corp		820,296
	155,000	Kiyo Holdings Inc		182,679
	14,422	KK daVinci Holdings *		361,528
	41,400	Kohnan Shoji Co Ltd		384,242
	30,700	Kojima Co Ltd		63,808
	14,900	Komeri Co Ltd		242,905
	193,000	Krosaki Harima Corp		339,344
	128,000	Kurabo Industries Ltd		172,424
	30,000	Kyodo Printing Co Ltd		62,598
	17,400	Kyoritsu Maintenance Co Ltd		300,092
	125,000	Kyowa Exeo Corp		1,022,067
	43,000	Kyudenko Corp		298,342
	105,900	Kyushu Electric Power Co Inc		2,508,003
	92,100	Lawson Inc		3,988,098
	157,700	Leopalace21 Corp		876,058
	225,000	Maeda Corp		688,731
	62,000	Maeda Road Construction Co Ltd		506,255
	19,200	Mandom Corp		325,313
	67,000	Marudai Food Co Ltd		154,661
	55,000	Maruetsu Inc (The) *		253,048
	590,000	Maruha Group Inc		698,945
	128,400	Marui Group Co Ltd		537,834
	22,000	Maruzen Showa Unyu Co Ltd		64,226
	20,800	Matsuda Sangyo Co Ltd		226,159
	152,700	Matsui Securities Co Ltd		872,967
	14,000	Matsumotokiyoshi Holdings Co Ltd		251,389
	131,800	Mediceo Paltac Holdings Co Ltd		1,386,594

See accompanying notes to the financial statements.

6

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	207,000	Meiji Dairies Corp		782,410
	53,000	Mercian Corp		80,598
	198	MID REIT Inc		321,549
	18,200	Mikuni Coca-Cola Bottling Co Ltd		133,535
	8,000	Ministop Co Ltd		126,454
	64,400	Miraca Holdings Inc		1,337,938
	374,000	Mitsubishi Electric Corp		1,477,556
	417,000	Mitsubishi Paper Mills Ltd		527,179
	1,864,400	Mitsubishi UFJ Financial Group Inc		8,422,658
	107,240	Mitsubishi UFJ Lease & Finance Co Ltd		1,866,239
	25,000	Mitsui Home Co Ltd		108,108
	8,019,300	Mizuho Financial Group Inc		15,114,698
	449,000	Mizuho Investors Securities		343,531
	77,000	Morinaga & Co Ltd		153,095
	193,000	Morinaga Milk Industry Co Ltd		582,508
	157,000	Nankai Electric Railway Co Ltd		688,643
	61,000	Nanto Bank Ltd (The)		317,888
	14,800	NEC Fielding Ltd		172,733
	14,300	NEC Networks & System Integration Corp		125,900
	652	Net One Systems Co Ltd		915,927
	427,000	Nichias Corp		871,453
	19,200	Nichiha Corp		116,222
	150,000	Nichirei Corp		495,269
	49,200	Nihon Unisys Ltd		345,766
	94,000	Nihon Yamamura Glass Co Ltd		200,809
	72,000	Nippon Corp		576,299
	47,000	Nippon Densetsu Kogyo Co Ltd		454,555
	365,000	Nippon Express Co Ltd		1,049,826
	124,000	Nippon Flour Mills Co Ltd		557,972
	44,000	Nippon Konpo Unyu Soko Co Ltd		373,647
	152,000	Nippon Meat Packers Inc		1,471,386
	168,200	Nippon Paper Group Inc		3,728,529
	256	Nippon Residential Investment Corp		99,882
	62,600	Nippon Signal Co Ltd (The)		317,177

See accompanying notes to the financial statements.

7

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	397,300	Nippon Suisan Kaisha Ltd		862,611
	454,600	Nippon Telegraph & Telephone Corp		19,438,450
	155,000	Nishi-Nippon City Bank Ltd (The)		314,748
	1,279,000	Nishimatsu Construction Co Ltd		1,089,249
	90,700	Nishimatsuya Chain Co Ltd		667,574
	65,000	Nissay Dowa General Insurance Co Ltd		271,392
	32,400	Nissen Holdings Co Ltd		141,694
	20,200	Nissha Printing Co Ltd		501,218
	228,000	Nisshin Oillio Group Ltd (The)		1,100,041
	110,500	Nisshin Seifun Group Inc		1,115,449
	34,000	Nisshinbo Industries Inc		242,645
	26,000	Nissin Corp		56,766
	14,600	Nissin Foods Holding Co Ltd		443,212
	47,350	Nitori Co Ltd		2,507,246
	424,000	Nitto Boseki Co Ltd		629,924
	19,900	Nitto Kogyo Corp		145,094
	6,423	NTT Docomo Inc		10,005,880
	1,024,000	Obayashi Corp		4,305,312
	5,390	Obic Co Ltd		711,032
	86,000	Odakyu Electric Railway Co Ltd		635,202
	33,000	Oita Bank Ltd (The)		179,026
	953,000	OJI Paper Co Ltd		3,524,804
	36,000	Okamura Corp		195,824
	50	Okinawa Cellular Telephone Co		89,742
	14,000	Okinawa Electric Power Co		854,938
	11,000	Okuwa Co Ltd		149,437
	242,700	OMC Card Inc *		348,771
	106,000	Onward Holdings Co Ltd		596,672
	11,700	Oracle Corp		365,754
	774,500	Orient Corp *		545,281
	38,200	Oriental Land Co Ltd		2,506,276
	174,030	ORIX Corp		3,535,264
	363,000	Osaka Gas Co Ltd		1,297,907
	18,000	Paris Miki Inc		131,059

See accompanying notes to the financial statements.

8

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	349	Pasona Group Inc		183,231
	437,000	Penta Ocean Construction Co Ltd *		523,470
	30,700	Pigeon Corp		593,184
	126	PILOT Corp		143,056
	35,500	PLENUS Co Ltd		496,555
	39,470	Point Inc		1,614,441
	1,911	Rakuten Inc		983,344
	86,000	Rengo Co Ltd		470,266
	704,800	Resona Holdings Inc		12,084,513
	20,000	Resorttrust Inc		174,273
	27,400	Ricoh Leasing Co Ltd		351,863
	34,700	Right On Co Ltd		338,806
	155,800	Round One Corp		903,890
	48,000	Ryohin Keikaku Co Ltd		1,688,974
	14,500	Ryoshoku Ltd		325,888
	50,000	Sagami Railway Co Ltd		201,772
	11,600	Saint Marc Holdings Co Ltd		292,503
	16,300	Sakata Seed Corp		214,088
	6,800	San-A Co Ltd		205,168
	38,000	San-In Godo Bank Ltd (The)		269,921
	21,600	Sanei-International Co Ltd		121,686
	57,000	Sanki Engineering		287,696
	149,000	Sankyo-Tateyama Holdings Inc		92,227
	213,000	Sankyu Inc		555,266
	27,100	Sanrio Co Ltd		255,956
	185,000	Sanwa Shutter Corp		463,023
	140,000	Sanyo Shokai Ltd		424,618
	8,491	SBI Holdings Inc		676,235
	151,000	Seiko Holdings Corp		264,851
	161,000	Seino Holdings Co Ltd		751,465
	64,400	Seiren Co Ltd		293,655
	257,000	Sekisui Chemical Co Ltd		1,093,945
	257,000	Sekisui House Ltd		1,683,843
	48,000	Senko Co Ltd		150,888

See accompanying notes to the financial statements.

9

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	19,900	Senshukai Co Ltd		125,888
	950,900	Seven & I Holdings Co Ltd		21,073,691
	373	Seven Bank Ltd		1,023,490
	38,000	Shikoku Bank Ltd (The)		157,020
	28,800	Shimamura Co Ltd		1,486,469
	376,000	Shimizu Corp		1,416,872
	533,000	Shinsei Bank Ltd		469,409
	62,000	Shizuoka Gas Co Ltd		395,202
	25,400	SHO-BOND Holdings Co Ltd		492,691
	44,000	Shoei Co Ltd		177,574
	35,000	Showa Sangyo Co Ltd		99,793
	105,000	Snow Brand Milk Products Co Ltd		282,457
	15,100	Sumisho Computer Systems Corp		162,796
	563,000	Sumitomo Electric Industries Ltd		4,374,845
	150,800	Sumitomo Forestry Co Ltd		877,704
	412,000	Sumitomo Osaka Cement Co Ltd		881,079
	1,361,000	Sumitomo Trust & Banking Co Ltd		4,495,069
	11,300	Sundrug Co Ltd		187,849
	33,000	Suruga Bank Ltd		254,496
	30,200	Suzuken Co Ltd		834,700
	781,000	SWCC Showa Holdings Co Ltd		457,008
	18,400	T&D Holdings Inc		411,811
	395	T-Gaia Corp		412,983
	101,000	Taihei Kogyo Co Ltd		225,836
	1,674,000	Taiheiyo Cement Co Ltd		2,371,257
	37,600	Taikisha Ltd		453,240
	1,771,000	Taisei Corp		3,135,453
	79,000	Takara Holdings Inc		320,287
	28,000	Takara Standard Co Ltd		160,024
	41,000	Takasago Thermal Engineering Co Ltd		223,474
	158,600	Takefuji Corp		523,625
	163,000	TOA Corp *		199,366
	29,000	Tochigi Bank Ltd (The)		144,449
	49,000	Toho Bank Ltd (The)		189,686

See accompanying notes to the financial statements.

10

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		Japan — continued
	157,000	Toho Gas Co Ltd		808,818
	51,300	Toho Pharmaceutical Co Ltd		494,874
	15,800	Tohoku Electric Power Co Inc		369,926
	226,000	Tokai Tokyo Securities Co Ltd		375,869
	18,050	Token Corp		372,781
	97,500	Tokio Marine Holdings Inc		2,214,318
	921,800	Tokyo Electric Power Co Inc (The)		26,022,453
	1,382,000	Tokyo Gas Co Ltd		5,536,216
	147,000	Tokyo Tatemono Co Ltd		324,923
	30,500	Tokyo Tomin Bank Ltd (The)		445,031
	57,760	Tokyu Construction Co Ltd		129,460
	105,000	Tokyu Land Corp		235,747
	53,200	Toppan Forms Co Ltd		574,937
	125,000	Toppan Printing Co Ltd		744,541
	52,000	Toshiba Plant Systems & Services Corp		491,799
	636,000	Toyo Construction Co Ltd *		205,702
	91,000	Toyo Securities Co Ltd		120,852
	97,000	Toyo Suisan Kaisha Ltd		2,295,659
	469,000	Toyobo Co Ltd		630,776
	18,000	Uchida Yoko Co Ltd		51,282
	12,000	Unicharm Petcare Corp		368,728
	49,300	United Arrows Ltd		245,475
	523,000	Unitika Ltd		322,623
	372,000	UNY Co Ltd		2,720,669
	44,390	USS Co Ltd		1,790,761
	34,400	Valor Co Ltd		259,313
	19,200	WATAMI Co Ltd		410,080
	16,000	Wood One Co Ltd		32,906
	46,700	Xebio Co Ltd		701,705
	11,900	Yachiyo Bank Ltd (The)		404,067
	2,092	Yahoo Japan Corp		598,420
	23,100	Yakult Honsha Co Ltd		372,013
	42,000	Yamaguchi Financial Group Inc		366,308
	142,000	Yamazaki Baking Co Ltd		1,789,129

See accompanying notes to the financial statements.

11

GMO Flexible Equities Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		Japan — continued
	7,000	Yaoko Co Ltd		200,875
	11,000	Yokohama Reito Co Ltd		67,367
	24,500	Yonekyu Corp		246,810
	17,000	Yurtec Corp		81,598
	29,100	Yusen Air & Sea Service Co Ltd		298,876
	56,900	Zensho Co Ltd		278,913
		Total Japan		346,329,272
		TOTAL COMMON STOCKS (COST $437,751,399)		346,329,272
		SHORT-TERM INVESTMENTS — 1.1%
	800,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		800,000
	800,000	Branch Banking & Trust Time Deposit, 0.13%, due 03/02/09		800,000
	700,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		700,000
	800,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		800,000
	36,291	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		36,291
	800,000	Societe Generale Time Deposit, 0.25%, due 03/02/09		800,000
		TOTAL SHORT-TERM INVESTMENTS (COST $3,936,291)		3,936,291
		TOTAL INVESTMENTS — 99.0% (Cost $441,687,690)		350,265,563
		Other Assets and Liabilities (net) — 1.0%		3,588,095
		TOTAL NET ASSETS — 100.0%	$	353,853,658

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*  Non-income producing security.

See accompanying notes to the financial statements.

12

GMO Flexible Equities Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $441,687,690) (Note 2)	$	350,265,563
Foreign currency, at value (cost $12,089) (Note 2)		11,700
Receivable for investments sold		5,313
Receivable for Fund shares sold		3,000,000
Dividends and interest receivable		859,940
Receivable for expenses reimbursed by Manager (Note 3)		66,164
Total assets		354,208,680
Liabilities:
Payable to affiliate for (Note 3):
Management fee		155,514
Shareholder service fee		18,947
Trustees and Chief Compliance Officer of GMO Trust fees		868
Accrued expenses		179,693
Total liabilities		355,022
Net assets	$	353,853,658
Net assets consist of:
Paid-in capital	$	446,246,527
Distributions in excess of net investment income		(932,281	)
Accumulated net realized loss		(14,250	)
Net unrealized depreciation		(91,446,338	)
	$	353,853,658
Net assets attributable to:
Class III shares	$	43,788,134
Class VI shares	$	310,065,524
Shares outstanding:
Class III		2,845,402
Class VI		20,142,389
Net asset value per share:
Class III	$	15.39
Class VI	$	15.39

See accompanying notes to the financial statements.

13

GMO Flexible Equities Fund

(A Series of GMO Trust)

Statement of Operations — Period from December 12, 2008
(commencement of operations) through February 28, 2009

Investment Income:
Dividends (net of withholding taxes of $66,715)	$	886,362
Interest		5,620
Total investment income		891,982
Expenses:
Management fee (Note 3)		378,481
Shareholder service fee – Class III (Note 3)		13,367
Shareholder service fee – Class VI (Note 3)		32,947
Custodian and fund accounting agent fees		102,570
Transfer agent fees		8,736
Audit and tax fees		62,088
Legal fees		2,134
Trustees fees and related expenses (Note 3)		1,162
Registration fees		3,108
Miscellaneous		2,358
Total expenses		606,951
Fees and expenses reimbursed by Manager (Note 3)		(180,164	)
Net expenses		426,787
Net investment income (loss)		465,195
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		1,204,865
Closed futures contracts		589,657
Foreign currency, forward contracts and foreign currency related transactions		(3,171,152	)
Net realized gain (loss)		(1,376,630	)
Change in net unrealized appreciation (depreciation) on:
Investments		(91,422,127	)
Foreign currency, forward contracts and foreign currency related transactions		(24,211	)
Net unrealized gain (loss)		(91,446,338	)
Net realized and unrealized gain (loss)		(92,822,968	)
Net increase (decrease) in net assets resulting from operations	$	(92,357,773	)

See accompanying notes to the financial statements.

14

GMO Flexible Equities Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Period from December 12, 2008 (commencement of operations) through February 28, 2009
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	465,195
Net realized gain (loss)		(1,376,630	)
Change in net unrealized appreciation (depreciation)		(91,446,338	)
Net increase (decrease) in net assets from operations		(92,357,773	)
Distributions to shareholders from:
Net investment income
Class III		(2,863	)
Class VI		(32,233	)
Total distributions from net investment income		(35,096	)
Net share transactions (Note 7):
Class III		55,644,468
Class VI		390,602,059
Increase (decrease) in net assets resulting from net share transactions		446,246,527
Total increase (decrease) in net assets		353,853,658
Net assets:
Beginning of period		—
End of period (including distributions in excess of net investment income of $932,281)	$	353,853,658

See accompanying notes to the financial statements.

15

GMO Flexible Equities Fund

(A Series of GMO Trust)

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

	Period from December 12, 2008 (commencement of operations) through February 28, 2009
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.02
Net realized and unrealized gain (loss)		(4.63	)
Total from investment operations		(4.61	)
Less distributions to shareholders:
From net investment income		(0.00	)(a)
Total distributions		(0.00	)
Net asset value, end of period	$	15.39
Total Return(b)		(23.04	)%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	43,788
Net expenses to average daily net assets		0.70	%*
Net investment income to average daily net assets		0.56	%*
Portfolio turnover rate		7	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.26	%*

(a)  Distributions from net investment income were 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.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

16

GMO Flexible Equities Fund

(A Series of GMO Trust)

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

	Period from December 12, 2008 (commencement of operations) through February 28, 2009
Net asset value, beginning of period	$	20.00
Income (loss) from investment operations:
Net investment income (loss)†		0.03
Net realized and unrealized gain (loss)		(4.64	)
Total from investment operations		(4.61	)
Less distributions to shareholders:
From net investment income		(0.00	)(a)
Total distributions		(0.00	)
Net asset value, end of period	$	15.39
Total Return(b)		(23.04	)%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	310,066
Net expenses to average daily net assets		0.61	%*
Net investment income to average daily net assets		0.69	%*
Portfolio turnover rate		7	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.26	%*

(a)  Distributions from net investment income were 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.

†  Calculated using average shares outstanding throughout the period.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

17

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

1.  Organization

GMO Flexible Equities Fund (the "Fund"), which commenced operations on December 12, 2008, 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 World Index. The Fund typically makes equity investments in companies from the world's developed markets, including the U.S.

For the period December 12, 2008 through February 28, 2009, 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.

Shares of the Fund are not publicly offered and are principally available only to other funds of the Trust and certain accredited investors as part of a broader asset allocation strategy offered by GMO.

The Fund currently limits subscriptions due to capacity considerations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 persons acting at their direction

18

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 97.87% of the net assets of the Fund were valued using fair value prices based on models used by a third party vendor.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	3,936,291	$	—
Level 2 - Other Significant Observable Inputs		346,329,272		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	350,265,563	$	—

19

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

The Fund held no investments or other financial instruments at February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. In addition,

20

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a

21

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

22

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

23

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the period from December 12, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

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

Foreign taxes paid by the Fund may be treated, to the extent permissible under the Code and if the Fund so elects, as if paid by the shareholders of the Fund.

The Fund may be subject to 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

24

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

U.S. GAAP and tax accounting differences primarily relate to net operating losses, foreign currency transactions, 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 28, 2009, the financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(1,362,380	)	$	1,362,380	$	—

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

	2/28/2009
Ordinary income (including any net short-term capital gain)	$	35,096
Total distributions	$	35,096

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

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October currency losses of $932,281.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	441,701,941	$	1,771,199	$	(93,207,577	)	$	(91,436,378	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

25

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

26

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.55% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on 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.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.55% of the Fund's average daily net assets. Excluded Expenses include 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).

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the period ended February 28, 2009, was $800 and $830, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the period ended February 28, 2009 aggregated $457,384,529 and $20,837,995, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

27

GMO Flexible Equities Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

6.  Principal shareholders and related parties

As of February 28, 2009, 68.52% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholders owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, no shares of the Fund were held by senior management of the Manager and GMO Trust officers and all of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Period from December 12, 2008, (commencement of operations) through February 28, 2009
Class III:	Shares			Amount
Shares sold		2,853,090		$	55,792,551
Shares issued to shareholders in reinvestment of distributions		92			1,917
Shares repurchased		(7,780	)		(150,000	)
Net increase (decrease)		2,845,402		$	55,644,468
	Period from December 12, 2008, (commencement of operations) through February 28, 2009
Class VI:	Shares			Amount
Shares sold		20,213,445		$	392,035,724
Shares issued to shareholders in reinvestment of distributions		1,571			32,233
Shares repurchased		(72,627	)		(1,465,898	)
Net increase (decrease)		20,142,389		$	390,602,059

28

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Flexible 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 Flexible Equities Fund (the "Fund") at February 28, 2009, the results of its operations, the changes in its net assets and the financial highlights for the period December 12, 2008 (commencement of operations) through February 28, 2009, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at February 28, 2009 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

29

GMO Flexible Equities Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, December 12, 2008 through February 28, 2009.

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		0.70	%	$	1,000.00	$	769.60	$	1.32	(a)
2) Hypothetical		0.70	%	$	1,000.00	$	1,021.32	$	3.51	(b)
Class VI
1) Actual		0.61	%	$	1,000.00	$	769.60	$	1.15	(a)
2) Hypothetical		0.61	%	$	1,000.00	$	1,021.77	$	3.06	(b)

(a)  For the period December 12, 2008 (commencement of operations) through February 28, 2009. Expense is calculated using each Class's annualized net expense ratio for the period ended February 28, 2009, multiplied by the average account value over the period, multiplied by 78 days in the period, divided by 365 days in the year.

(b)  For the period September 1, 2008 through February 28, 2009. Expense is calculated using each Class's annualized net expense ratio for the period ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

30

GMO Flexible Equities Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

During the year ended February 28, 2009, the Fund paid foreign taxes of $66,715 and recognized foreign source income of $953,077.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

33

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

34

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

35

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)
Annual Report
February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

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 Currency Hedged International Equity Fund returned -35.6% for the fiscal year ended February 28, 2009, as compared to -40.7% for the MSCI EAFE Index (Hedged). Consistent with the Fund's investment objectives and policies, 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 comes indirectly through investments in the GMO International Intrinsic Value Fund and the GMO International Growth Equity Fund. The Fund also holds currency hedges in addition to the shares of those Funds, which make predominantly unhedged investments.

Currency hedging had a positive impact on our international equity investing. The US dollar rose against most foreign currencies, but hedging insulated the Fund's return from those losses. In U.S. dollar terms the unhedged MSCI EAFE Index returned -50.2% during the period, almost 10% less than the hedged benchmark.

The Fund is fairly evenly allocated between the GMO International Intrinsic Value Fund which returned -48.0% and the GMO International Growth Equity Fund, which returned -43.5% during the period. The Fund outperformed as the Growth Fund and the Value Fund each outperformed their respective style benchmarks and the currency hedge protected from declining foreign currencies.

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 Currency Hedged International Equity Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		93.0	%
Short-Term Investments		4.2
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Preferred Stocks		0.0
Futures		(0.7	)
Other		3.2
		100.0	%
Country / Region Summary**	% of Investments
Japan		27.0	%
Euro Region***		26.6
United Kingdom		21.3
Switzerland		12.4
Canada		2.9
Australia		2.9
Hong Kong		2.5
Singapore		1.4
Denmark		1.4
Sweden		1.1
Norway		0.4
New Zealand		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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 98.3%
		United States — 98.3%
		Affiliated Issuers
	864,413	GMO International Growth Equity Fund, Class IV		12,499,409
	890,998	GMO International Intrinsic Value Fund, Class IV		12,473,977
		TOTAL MUTUAL FUNDS (COST $44,365,968)		24,973,386
		SHORT-TERM INVESTMENTS — 0.7%
		Short-Term Investments — 0.7%
	12	Brown Brothers Harriman Time Deposit, 0.05%-1.79%, due 03/02/09		12
	100,000	Royal Bank of Canada Time Deposit, 0.20%, due 03/02/09		100,000
	88,126	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		88,126
		TOTAL SHORT-TERM INVESTMENTS (COST $188,138)		188,138
		TOTAL INVESTMENTS — 99.0% (Cost $44,554,106)		25,161,524
		Other Assets and Liabilities (net) — 1.0%		255,617
		TOTAL NET ASSETS — 100.0%	$	25,417,141

See accompanying notes to the financial statements.

2

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
4/24/09	AUD		200,000	$	127,420	$	(2,073	)
4/24/09	CAD		552,000		433,924		(2,448	)
4/24/09	EUR		471,000		596,956		(7,389	)
4/24/09	GBP		63,000		90,182		(998	)
4/24/09	JPY		18,672,000		191,531		(1,761	)
4/24/09	NOK		446,000		63,331		(1,551	)
4/24/09	NZD		191,000		95,320		(2,300	)
4/24/09	SGD		174,000		112,382		(1,449	)
				$	1,711,046	$	(19,969	)
Sales
4/24/09	AUD		737,131	$	469,627	$	(1,401	)
4/24/09	AUD		1,180,131		751,862		767
4/24/09	CHF		645,140		552,093		(920	)
4/24/09	CHF		727,000		622,147		2,418
4/24/09	CHF		664,690		568,823		(2,426	)
4/24/09	CHF		1,030,140		881,565		(1,591	)
4/24/09	DKK		3,935,321		668,437		(2,626	)
4/24/09	DKK		2,085,321		354,204		(2,194	)
4/24/09	DKK		2,148,513		364,937		(2,227	)
4/24/09	EUR		534,730		677,729		(4,034	)
4/24/09	EUR		534,730		677,729		(4,194	)
4/24/09	EUR		534,730		677,729		(4,199	)
4/24/09	EUR		534,730		677,729		(2,953	)
4/24/09	EUR		534,730		677,729		(2,550	)
4/24/09	EUR		534,730		677,729		(5,835	)
4/24/09	EUR		2,891,730		3,665,044		5,493
4/24/09	GBP		275,835		394,845		(2,767	)
4/24/09	GBP		275,835		394,845		(2,574	)
4/24/09	GBP		275,835		394,845		(1,599	)
4/24/09	GBP		275,835		394,845		(1,516	)

See accompanying notes to the financial statements.

3

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Forward Currency Contracts — continued

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
4/24/09	GBP		275,835	$	394,845	$	(2,535	)
4/24/09	GBP		275,835		394,845		(1,456	)
4/24/09	GBP		937,835		1,342,465		805
4/24/09	HKD		1,008,000		130,034		(21	)
4/24/09	HKD		2,933,380		378,413		88
4/24/09	JPY		218,897,563		2,245,378		31,959
4/24/09	JPY		117,371,563		1,203,958		35,660
4/24/09	JPY		58,781,563		602,962		36,570
4/24/09	JPY		58,781,563		602,962		36,294
4/24/09	JPY		58,781,563		602,962		36,719
4/24/09	JPY		58,781,563		602,962		36,490
4/24/09	JPY		58,781,563		602,962		36,781
4/24/09	NOK		3,872,262		549,852		(788	)
4/24/09	NOK		2,288,262		324,928		941
4/24/09	NZD		126,000		62,881		699
4/24/09	SEK		1,693,000		187,957		278
4/24/09	SEK		2,015,899		223,805		6,968
4/24/09	SEK		2,852,899		316,729		8,527
4/24/09	SGD		118,584		76,590		1,101
				$	25,391,983	$	228,152

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.

4

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $188,138) (Note 2)	$	188,138
Investments in affiliated issuers, at value (cost $44,365,968) (Notes 2 and 8)		24,973,386
Receivable for Fund shares sold		7,122,195
Unrealized appreciation on open forward currency contracts (Note 2)		278,558
Receivable for expenses reimbursed by Manager (Note 3)		24,980
Total assets		32,587,257
Liabilities:
Payable for investments purchased		7,000,000
Payable to affiliate for (Note 3):
Management fee		7,995
Shareholder service fee		2,224
Trustees and Chief Compliance Officer of GMO Trust fees		31
Unrealized depreciation on open forward currency contracts (Note 2)		70,375
Accrued expenses		89,491
Total liabilities		7,170,116
Net assets	$	25,417,141
Net assets consist of:
Paid-in capital	$	43,588,527
Accumulated undistributed net investment income		2,534,055
Accumulated net realized loss		(1,521,042	)
Net unrealized depreciation		(19,184,399	)
	$	25,417,141
Net assets attributable to:
Class III shares	$	25,417,141
Shares outstanding:
Class III		11,251,086
Net asset value per share:
Class III	$	2.26

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 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	1,019,438
Interest		10,036
Total investment income		1,029,474
Expenses:
Management fee (Note 3)		136,868
Shareholder service fee – Class III (Note 3)		38,019
Custodian and fund accounting agent fees		64,652
Transfer agent fees		26,685
Audit and tax fees		65,928
Legal fees		462
Trustees fees and related expenses (Note 3)		218
Registration fees		6,180
Miscellaneous		2,541
Total expenses		341,553
Fees and expenses reimbursed by Manager (Note 3)		(166,294	)
Expense reductions (Note 2)		(1,243	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(125,593	)
Shareholder service fee waived (Note 3)		(22,076	)
Net expenses		26,347
Net investment income (loss)		1,003,127
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(1,643,694	)
Realized gains distributions from affiliated issuers (Note 8)		1,265,664
Foreign currency, forward contracts and foreign currency related transactions		2,194,132
Net realized gain (loss)		1,816,102
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(14,208,915	)
Foreign currency, forward contracts and foreign currency related transactions		1,042,206
Net unrealized gain (loss)		(13,166,709	)
Net realized and unrealized gain (loss)		(11,350,607	)
Net increase (decrease) in net assets resulting from operations	$	(10,347,480	)

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 February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,003,127		$	725,814
Net realized gain (loss)		1,816,102			33,909,730
Change in net unrealized appreciation (depreciation)		(13,166,709	)		(24,076,799	)
Net increase (decrease) in net assets from operations		(10,347,480	)		10,558,745
Distributions to shareholders from:
Net investment income
Class III		(1,457,990	)		—
Net realized gains
Class III		(8,027,267	)		(48,200,678	)
		(9,485,257	)		(48,200,678	)
Net share transactions (Note 7):
Class III		14,976,832			(159,181,264	)
Total increase (decrease) in net assets		(4,855,905	)		(196,823,197	)
Net assets:
Beginning of period		30,273,046			227,096,243
End of period (including accumulated undistributed net investment income of $2,534,055 and $794,785, respectively)	$	25,417,141		$	30,273,046

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	5.32		$	7.45		$	9.07		$	8.38		$	7.33
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.15			0.03			0.10			0.07			0.21
Net realized and unrealized gain (loss)		(1.60	)		(0.29	)		1.17			2.17			0.84
Total from investment operations		(1.45	)		(0.26	)		1.27			2.24			1.05
Less distributions to shareholders:
From net investment income		(0.20	)		—			(0.12	)		(0.71	)(b)		—
From net realized gains		(1.41	)		(1.87	)		(2.77	)		(0.84	)		—
Total distributions		(1.61	)		(1.87	)		(2.89	)		(1.55	)		—
Net asset value, end of period	$	2.26		$	5.32		$	7.45		$	9.07		$	8.38
Total Return(c)		(35.57	)%		(6.75	)%		15.60	%		28.42	%		14.32	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	25,417		$	30,273		$	227,096		$	728,814		$	580,905
Net expenses to average daily net assets(d)		0.11	%(e)		0.08	%(e)		0.07	%		0.05	%		0.04	%
Net investment income to average daily net assets(a)		3.96	%		0.42	%		1.23	%		0.82	%		2.64	%
Portfolio turnover rate		17	%		11	%		18	%		36	%		3	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		1.24	%		0.71	%		0.68	%		0.67	%		0.71	%

(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 28, 2009

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 total return greater than that of the MSCI EAFE Index (Europe, Australasia, and Far East) (Hedged). The Fund is a fund of funds and invests primarily 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, GMO International Small Companies Fund, and GMO Flexible Equities 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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

9

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 84.85% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	25,161,524	$	—
Level 2 - Other Significant Observable Inputs		—		278,558
Level 3 - Significant Unobservable Inputs		—		—
Total	$	25,161,524	$	278,558

*  Other financial instruments include forward currency contracts.

10

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(70,375	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(70,375	)

**  Other financial instruments include forward currency contracts.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the

11

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts during the period.

12

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar

13

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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

14

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary. Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain foreign jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to foreign currency transactions 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	2,194,133	$	(2,194,133	)	$	—

15

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	1,457,990	$	—
Net long-term capital gain		8,027,267		48,200,678
Total distributions	$	9,485,257	$	48,200,678

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 2,749,761

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	46,075,148	$	—	$	(20,913,624	)	$	(20,913,624	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or loss. Income is not

16

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

recognized on securities for which collection is not expected. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.54% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and

17

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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%.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.54% of the Fund's average daily net assets. Excluded Expenses include 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"). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 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 varying fees and expenses indirectly as a shareholder in the underlying funds because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions. For the year ended February 28, 2009, 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
	0.498	%		0.087	%		0.585	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $218 and $154, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

18

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $14,961,102 and $4,199,000, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 99.84% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.1% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 99.84% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		3,152,794		$	7,126,233			839,414		$	6,424,624
Shares issued to shareholders in reinvestment of distributions		2,760,917			9,207,751			7,433,717			47,788,021
Shares repurchased		(353,573	)		(1,357,152	)		(33,056,614	)		(213,393,909	)
Net increase (decrease)		5,560,138		$	14,976,832			(24,783,483	)	$	(159,181,264	)

19

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	15,047,067	$	7,386,840	$	2,519,000	$	483,829	$	488,011	$	12,499,409
GMO International Intrinsic Value Fund, Class IV		15,016,826		7,574,262		1,680,000		535,609		777,653		12,473,977
Totals	$	30,063,893	$	14,961,102	$	4,199,000	$	1,019,438	$	1,265,664	$	24,973,386

20

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

21

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	673.60	$	2.86
2) Hypothetical		0.69	%	$	1,000.00	$	1,021.37	$	3.46

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

22

GMO Currency Hedged International Equity Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $8,027,267 from long-term capital gains.

For taxable, non-corporate shareholders, 47.87% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

23

GMO Currency Hedged International Equity 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. 0.71% 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.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

26

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

27

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

28

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Equity Allocation Fund

(formerly 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 Equity Allocation Fund (formerly GMO Global (U.S.+) Equity Allocation Fund) returned -39.4% for the fiscal year ended February 28, 2009, as compared to -48.2% for the Fund's benchmark, the MSCI ACWI (All Country World Index) 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 positive, with U.S. Quality Equity Fund, U.S. Core Equity Fund, and Alpha Only Fund outperforming their benchmarks by large amounts and International Intrinsic Value Fund, International Growth Equity Fund, and International Core Equity Fund also outperforming. Emerging Markets Fund and Flexible Equities Fund underperformed their benchmarks.

Asset allocation was also positive, driven by the Fund's overweight to U.S. equities and underweight to overall equities.

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 .12% on the purchase and .12% 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 MSCI ACWI (All Country World Index) + Index represents 75% S&P 500 Index and 25% MSCI ACWI (All Country World Index) Index prior to 5/30/08 and MSCI ACWI (All Country World Index) Index thereafter.

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		92.3	%
Short-Term Investments		3.9
Cash and Cash Equivalents		2.9
Preferred Stocks		1.1
Investment Funds		0.3
Private Equity Securities		0.1
Debt Obligations		0.0
Convertible Securities		0.0
Rights and Warrants		0.0
Forward Currency Contracts		(0.1	)
Swaps		(1.3	)
Futures		(1.6	)
Other		2.4
		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 Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Country Summary**	% of Investments
United States		51.4	%
Japan		12.2
Euro Region***		10.7
United Kingdom		8.1
Switzerland		4.2
Brazil		1.7
Korea		1.7
Taiwan		1.3
Australia		1.1
China		1.1
Hong Kong		0.9
Canada		0.8
South Africa		0.7
Singapore		0.5
Sweden		0.5
Turkey		0.5
Denmark		0.4
Thailand		0.4
Russia		0.3
India		0.2
Malaysia		0.2
Norway		0.2
Chile		0.1
Czech Republic		0.1
Egypt		0.1
Hungary		0.1
Indonesia		0.1
Israel		0.1
Mexico		0.1
Philippines		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 Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		AFFILIATED ISSUERS — 100.0%
		Mutual Funds — 100.0%
	2,639,208	GMO Alpha Only Fund, Class IV		15,228,232
	6,223,360	GMO Emerging Markets Fund, Class VI		39,020,469
	539,898	GMO Flexible Equities Fund, Class VI		8,309,024
	5,010,203	GMO International Core Equity Fund, Class VI		90,834,974
	2,599,738	GMO International Growth Equity Fund, Class IV		37,592,210
	2,309,868	GMO International Intrinsic Value Fund, Class IV		32,338,156
	16,772	GMO Short-Duration Investment Fund, Class III		119,922
	3,788,516	GMO U.S. Core Equity Fund, Class VI		28,906,379
	1,333	GMO U.S. Growth Fund, Class III		13,953
	12,618,178	GMO U.S. Quality Equity Fund, Class VI		178,925,759
				431,289,078
		Private Investment Fund — 0.0%
	175	GMO SPV I, LLC (a)(b)		49
		TOTAL AFFILIATED ISSUERS (COST $631,300,623)		431,289,127
		SHORT-TERM INVESTMENTS — 0.0%
	24,943	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		24,943
		TOTAL SHORT-TERM INVESTMENTS (COST $24,943)		24,943
		TOTAL INVESTMENTS — 100.0% (Cost $631,325,566)		431,314,070
		Other Assets and Liabilities (net) — (0.0%)		(35,883	)
		TOTAL NET ASSETS — 100.0%	$	431,278,187

See accompanying notes to the financial statements.

3

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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.

See accompanying notes to the financial statements.

4

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $24,943) (Note 2)	$	24,943
Investments in affiliated issuers, at value (cost $631,300,623) (Notes 2 and 8)		431,289,127
Receivable for expenses reimbursed by Manager (Note 3)		10,052
Total assets		431,324,122
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,059
Accrued expenses		44,876
Total liabilities		45,935
Net assets	$	431,278,187
Net assets consist of:
Paid-in capital	$	647,912,797
Accumulated net realized loss		(16,623,114	)
Net unrealized depreciation		(200,011,496	)
	$	431,278,187
Net assets attributable to:
Class III shares	$	431,278,187
Shares outstanding:
Class III		81,452,202
Net asset value per share:
Class III	$	5.29

See accompanying notes to the financial statements.

5

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	14,474,949
Interest		339
Total investment income		14,475,288
Expenses:
Custodian, fund accounting agent and transfer agent fees		35,585
Audit and tax fees		33,380
Legal fees		8,378
Trustees fees and related expenses (Note 3)		4,891
Registration fees		9,929
Miscellaneous		4,459
Total expenses		96,622
Fees and expenses reimbursed by Manager (Note 3)		(89,320	)
Expense reductions (Note 2)		(2,263	)
Net expenses		5,039
Net investment income (loss)		14,470,249
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(25,254,379	)
Realized gains distributions from affiliated issuers (Note 8)		17,361,022
Net realized gain (loss)		(7,893,357	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(182,023,986	)
Net realized and unrealized gain (loss)		(189,917,343	)
Net increase (decrease) in net assets resulting from operations	$	(175,447,094	)

See accompanying notes to the financial statements.

6

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	14,470,249		$	6,114,741
Net realized gain (loss)		(7,893,357	)		65,404,358
Change in net unrealized appreciation (depreciation)		(182,023,986	)		(67,173,593	)
Net increase (decrease) in net assets from operations		(175,447,094	)		4,345,506
Distributions to shareholders from:
Net investment income
Class III		(15,018,150	)		(15,144,364	)
Net realized gains
Class III		(35,633,100	)		(46,141,439	)
		(50,651,250	)		(61,285,803	)
Net share transactions (Note 7):
Class III		300,532,912			59,195,425
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		319,677			32,563
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		300,852,589			59,227,988
Total increase (decrease) in net assets		74,754,245			2,287,691
Net assets:
Beginning of period		356,523,942			354,236,251
End of period (including accumulated undistributed net investment income of $0 and $3, respectively)	$	431,278,187		$	356,523,942

See accompanying notes to the financial statements.

7

GMO Global Equity Allocation Fund

(formerly 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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	10.25		$	11.96		$	11.89		$	11.63		$	10.86
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.34			0.20			0.23			0.23			0.23
Net realized and unrealized gain (loss)		(4.01	)		0.09	(b)		1.08			1.32			1.23
Total from investment operations		(3.67	)		0.29			1.31			1.55			1.46
Less distributions to shareholders:
From net investment income		(0.31	)		(0.49	)		(0.38	)		(0.34	)		(0.27	)
From net realized gains		(0.98	)		(1.51	)		(0.86	)		(0.95	)		(0.42	)
Total distributions		(1.29	)		(2.00	)		(1.24	)		(1.29	)		(0.69	)
Net asset value, end of period	$	5.29		$	10.25		$	11.96		$	11.89		$	11.63
Total Return(c)		(39.44	)%		1.01	%		11.56	%		13.91	%		13.70	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	431,278		$	356,524		$	354,236		$	326,032		$	335,819
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%(f)		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		4.27	%		1.63	%		1.90	%		1.99	%		2.11	%
Portfolio turnover rate		52	%		30	%		15	%		20	%		17	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.03	%		0.02	%		0.02	%		0.02	%		0.04	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.00	(g)	$	0.00	(g)	$	0.00	(g)	$	0.00	(g)

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

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

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

(d)  Net expenses 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 Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

1.   Organization

GMO Global Equity Allocation Fund (formerly 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 MSCI ACWI (All Country World Index) 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, GMO Flexible Equities Fund, and GMO Alternative Asset Opportunity Fund. Effective June 1, 2008, the Fund changed its benchmark from the GMO Global Equity Index (composite index computed by GMO consisting of: (i) the S&P 500 Index (75%) and (ii) the MSCI ACWI ex-U.S. Index (25%)) to the MSCI ACWI (All Country World Index) Index because the Manager expects that the Fund will tend to have a larger allocation to non-U.S. equities.

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 Flexible Equities Fund are not publicly available for direct purchase.

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

9

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 41.10% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered interest in certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

10

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	423,004,997	$	—
Level 2 - Other Significant Observable Inputs		8,309,024		—
Level 3 - Significant Unobservable Inputs		49		—
Total	$	431,314,070	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	49		$	—
Accrued discounts/premiums		—			—
Realized gain (loss)		—			—
Realized gain distributions received		171			—
Realized gain distributions paid		(171	)		—
Change in unrealized appreciation/depreciation		—			—
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	49		$	—

11

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received and losses on wash sale transactions.

12

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	547,898	$	(547,898	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	15,011,630	$	15,140,737
Net long-term capital gain		35,639,620		46,145,066
Total distributions	$	50,651,250	$	61,285,803

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed net long-term capital gain $ 3,638,604

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	651,587,283	$	49	$	(220,273,262	)	$	(220,273,213	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or

13

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the manager has a conflict in allocating among the underlying funds (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. 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

Effective June 30, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each changed to 0.11% of the amount invested or redeemed. Effective September 30, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.07% of the amount invested or redeemed. Effective October 8, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.08% of the amount invested or redeemed. Effective October 21, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.12% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases and fee on cash redemptions were each 0.12% of the amount invested or redeemed. The level of purchase premium 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). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption

14

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or a portion of the redemption fees may be waived at the Manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund an advisory fee or shareholder service fee, but it receives varying

15

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the managers asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.447	%		0.064	%		0.000	%		0.511	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $3,889 and $2,411, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $461,669,867 and $179,615,355, respectively.

16

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 31.08% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 20.80% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion

7.   Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		43,957,397		$	281,047,058			1,944,098		$	23,157,515
Shares issued to shareholders in reinvestment of distributions		5,687,137			43,314,729			4,518,134			52,432,161
Shares repurchased		(2,975,721	)		(23,828,875	)		(1,300,196	)		(16,394,251	)
Purchase premiums		—			310,403			—			23,181
Redemption fees		—			9,274			—			9,382
Net increase (decrease)		46,668,813		$	300,852,589			5,162,036		$	59,227,988

17

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	22,706,205	$	14,786,511	$	16,000,000	$	5,119,453	$	3,470,383	$	15,228,232
GMO Emerging Countries Fund, Class III		8,443,861		1,022,610		7,544,143		—		1,022,610		—
GMO Emerging Country Debt Fund, Class IV		1,702,519		—		1,711,767		—		—		—
GMO Emerging Markets Fund, Class VI		36,561,535		59,212,537		17,746,320		514,990		9,409,426		39,020,469
GMO Flexible Equities Fund, Class VI		—		10,073,353		—		307		—		8,309,024
GMO International Core Equity Fund, Class VI		—		155,422,896		1,452,813		3,421,860		665,818		90,834,974
GMO International Growth Equity Fund, Class IV		29,271,874		33,077,953		8,360,166		1,085,404		873,754		37,592,210
GMO International Intrinsic Value Fund, Class IV		28,827,179		30,386,468		8,312,833		1,234,893		1,384,494		32,338,156
GMO Short-Duration Investment Fund, Class III		135,936		5,007		—		5,007		—		119,922
GMO SPV I, LLC		49		—		—		—		171		49
GMO U.S. Core Equity Fund, Class VI		134,495,007		15,760,503		111,354,500		972,873		—		28,906,379
GMO U.S. Growth Fund, Class III		17,965		2,332		—		235		—		13,953
GMO U.S. Quality Equity Fund, Class VI		94,350,851		141,919,697		7,132,813		2,119,927		534,366		178,925,759
Totals	$	356,512,981	$	461,669,867	$	179,615,355	$	14,474,949	$	17,361,022	$	431,289,127

18

Report of Independent Registered Public Accounting Firm

To the Trustees of GMO Trust and the Shareholders of
GMO Global Equity Allocation Fund
(formerly 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 Equity Allocation Fund (formerly GMO Global (U.S.+) Equity Allocation Fund) (the "Fund") at February 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

19

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.50	%	$	1,000.00	$	644.30	$	2.04
2) Hypothetical		0.50	%	$	1,000.00	$	1,022.32	$	2.51

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

20

GMO Global Equity Allocation Fund

(formerly GMO Global (U.S.+) Equity Allocation Fund)
(A Series of GMO Trust)

Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $35,639,619 from long-term capital gains.

For taxable, non-corporate shareholders, 52.26% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 21.35% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

22

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

23

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

24

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

25

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

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 -26.8% for the fiscal year ended February 28, 2009, as compared to -37.2% for the Fund's benchmark, the GMO Strategic Opportunities Allocation Index (75% MSCI World Index / 25% Barclays Capital U.S. Aggregate Index) for the same period. During the fiscal year the Fund was exposed to global equity and fixed income securities through direct investment and indirectly through its investment in underlying GMO mutual funds. The Fund received fixed income securities from certain underlying GMO mutual funds during the year via an in-kind transaction.

Implementation was positive. The primary drivers of the outperformance were positive relative returns from the GMO U.S. Core Equity, GMO U.S. Quality Equity, GMO International Intrinsic Value, and GMO International Growth Funds.

Asset allocation also added value. The Fund's underweight to equities and overweights to fixed income 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. 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 .03% on the purchase and 2.00% 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% Barclays Capital U.S. Aggregate Index.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		70.0	%
Debt Obligations		17.6
Cash and Cash Equivalents		10.5
Short-Term Investments		9.6
Options Purchased		0.3
Loan Participations		0.0
Loan Assignments		0.0
Rights and Warrants		0.0
Preferred Stocks		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Forward Currency Contracts		(0.1	)
Written Options		(0.1	)
Futures		(4.9	)
Swaps		(5.2	)
Other		2.3
		100.0	%
Country / Region Summary**	% of Investments
United States		68.2	%
Japan		9.4
Euro Region***		8.1
United Kingdom		6.6
Switzerland		3.9
Canada		0.9
Hong Kong		0.7
Australia		0.6
Sweden		0.6
Denmark		0.4
Singapore		0.3
Emerging		0.2
Norway		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 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.

1

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 3.2%
		Asset-Backed Securities — 3.1%
		Auto Financing — 0.4%
	600,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		577,932
	600,000	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.81%, due 07/15/14		459,750
	500,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.30%, due 11/10/14		394,000
	300,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		195,000
	800,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.84%, due 07/15/12		600,240
	700,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		420,000
	300,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.66%, due 07/15/11		276,094
	300,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 06/17/13		284,556
	200,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.46%, due 05/15/12		162,000
	389,494	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		350,544
	500,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		335,000
	800,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		560,000
		Total Auto Financing		4,615,116
		Bank Loan Collateralized Debt Obligations — 0.2%
	949,217	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, 3 mo. LIBOR + .17%, 1.70%, due 06/20/25		902,053
	1,120,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 1.68%, due 07/05/11		992,387
		Total Bank Loan Collateralized Debt Obligations		1,894,440

See accompanying notes to the financial statements.

2

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Business Loans — 0.2%
	1,121,264	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.86%, due 01/25/36		716,712
	427,205	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.75%, due 05/15/32		304,503
	700,000	GE Dealer Floorplan Master Trust, Series 06-4, Class A, 1 mo. LIBOR + .01%, 0.48%, due 10/20/11		579,495
	855,184	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 09/25/30		410,489
	400,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.58%, due 02/25/13		343,160
		Total Business Loans		2,354,359
		CMBS — 0.2%
	600,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.59%, due 12/15/20		443,340
	500,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		458,759
	600,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .13%, 0.58%, due 03/06/20		447,540
	600,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45		528,144
	400,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39		348,625
	398,933	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.55%, due 09/15/21		279,253
		Total CMBS		2,505,661
		Credit Cards — 0.6%
	800,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.50%, due 02/15/13		760,192
	800,000	Cabela's Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.46%, due 09/15/14		658,200
	1,000,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 1.38%, due 06/16/14		899,799
	300,000	Capital One Multi-Asset Execution Trust, Series 07-A6, Class A6, 1 mo. LIBOR + .07%, 0.53%, due 05/15/13		284,094
	700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		481,663

See accompanying notes to the financial statements.

3

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — continued
EUR	600,000	Citibank Credit Card Issuance Trust, Series 04-A2, Class A, 3 mo. EUR LIBOR + 0.10%, 1.97%, due 05/24/13		687,148
	300,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		270,990
	1,200,000	Discover Card Master Trust I, Series 06-2, Class A2, 1 mo. LIBOR + .03%, 0.49%, due 01/16/14		1,053,768
	600,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.47%, due 06/15/13		547,500
	600,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 1.01%, due 07/15/13		499,875
	100,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, 1 mo. LIBOR + .15%, 0.61%, due 01/15/14		91,529
	500,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		392,500
	500,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, 1 mo. LIBOR + .18%, 0.64%, due 03/15/13		490,320
		Total Credit Cards		7,117,578
		Equipment Leases — 0.1%
	400,000	CNH Equipment Trust, Series 07-B, Class A3B, 1 mo. LIBOR + .60%, 1.06%, due 10/17/11		389,544
	400,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.71%, due 06/14/11		358,000
		Total Equipment Leases		747,544
		Insurance Premiums — 0.0%
	400,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 12/15/11		382,880
		Insured Auto Financing — 0.3%
	1,000,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.25%, due 06/06/14		545,690
	350,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		334,824
	876,137	Capital One Auto Finance Trust, Series 06-A, Class A4, AMBAC, 1 mo. LIBOR + .01%, 0.47%, due 12/15/12		794,043

See accompanying notes to the financial statements.

4

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	800,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 1.11%, due 10/15/14		544,824
	700,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		494,130
		Total Insured Auto Financing		2,713,511
		Insured Other — 0.1%
	1,100,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		770,000
	900,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		450,000
		Total Insured Other		1,220,000
		Insured Residential Asset-Backed Securities (United States) — 0.0%
	303,214	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.69%, due 11/25/35		70,042
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	827,419	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.61%, due 06/15/37		206,855
		Insured Time Share — 0.0%
	395,320	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.47%, due 09/20/19		242,432
		Investment Grade Corporate Collateralized Debt Obligations — 0.1%
	2,000,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, 3 mo. LIBOR + .40%, 1.93%, due 12/20/10		807,000
	1,100,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 1.82%, due 06/20/13		185,350
		Total Investment Grade Corporate Collateralized Debt Obligations		992,350

See accompanying notes to the financial statements.

5

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — 0.5%
	507,897	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 06/25/36		35,553
	716,465	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 11/25/36		374,575
	287,987	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.66%, due 03/25/36		143,994
	300,000	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 09/25/36		123,000
	900,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, 1 mo. LIBOR + .11%, 0.58%, due 10/25/36		785,700
	333,157	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.69%, due 05/25/37		224,415
	682,765	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.71%, due 05/28/39		455,677
	1,200,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 02/25/37		570,000
	36,554	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 1.01%, due 04/25/33		26,319
	1,600,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.61%, due 02/25/37		1,009,920
	1,100,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.59%, due 12/25/36		374,000
	400,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		160,000
	850,575	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 04/25/37		671,954
	756,241	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.72%, due 01/25/36		586,465
		Total Residential Asset-Backed Securities (United States)		5,541,572
		Residential Mortgage-Backed Securities (Australian) — 0.1%
	240,228	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 2.31%, due 12/08/36		184,978
	252,530	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 2.33%, due 03/09/36		220,245
	679,345	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 1.30%, due 05/21/38		575,887
		Total Residential Mortgage-Backed Securities (Australian)		981,110

See accompanying notes to the financial statements.

6

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — 0.2%
	300,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, 3 mo. LIBOR + .09%, 1.62%, due 03/20/30		268,800
	200,000	Arkle Master Issuer Plc, Series 06-1A, Class 3A, 144A, 3 mo. LIBOR + .05%, 1.29%, due 08/17/11		195,520
	600,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		484,380
	500,634	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .21%, 1.45%, due 05/15/34		462,401
	500,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 1.32%, due 02/12/16		437,000
	100,000	Permanent Financing Plc, Series 4, Class 3A, 3 mo. LIBOR + .14%, 2.33%, due 03/10/24		99,817
		Total Residential Mortgage-Backed Securities (European)		1,947,918
		Student Loans — 0.1%
	500,000	College Loan Corp. Trust, Series 06-1, Class A2, 3 mo. LIBOR + .02%, 1.18%, due 04/25/22		488,150
	123,110	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.61%, due 08/25/23		110,799
	117,297	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, 1 mo. LIBOR + .08%, 0.55%, due 08/26/19		107,913
	600,000	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 1.61%, due 12/23/19		546,354
		Total Student Loans		1,253,216
		Total Asset-Backed Securities		34,786,584
		Corporate Debt — 0.0%
	147,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		132,751
		U.S. Government Agency — 0.1%
	300,000	Agency for International Development Floater (Support of Morocco), 6 mo. U.S. Treasury Bill + .45%, 5.62%, due 11/15/14 (a)		284,357
	200,000	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 1.00%, due 01/01/12 (a)		191,979
		Total U.S. Government Agency		476,336
		TOTAL DEBT OBLIGATIONS (COST $37,970,425)		35,395,671

See accompanying notes to the financial statements.

7

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 95.6%
		Affiliated Issuers — 95.6%
	24,703,213	GMO Alpha Only Fund, Class IV		142,537,541
	6,340,885	GMO Domestic Bond Fund, Class VI		50,663,671
	781,384	GMO Emerging Country Debt Fund, Class IV		4,571,097
	1,501,441	GMO Flexible Equities Fund, Class VI		23,107,183
	1,255,553	GMO Inflation Indexed Plus Bond Fund, Class VI		18,670,080
	10,398,827	GMO International Growth Equity Fund, Class IV		150,367,034
	10,209,073	GMO International Intrinsic Value Fund, Class IV		142,927,020
	1,088,951	GMO Special Situations Fund, Class VI		27,779,151
	5,263,196	GMO Strategic Fixed Income Fund, Class VI		91,316,446
	6,526,064	GMO U.S. Core Equity Fund, Class VI		49,793,872
	24,673,504	GMO U.S. Quality Equity Fund, Class VI		349,870,292
	389,594	GMO World Opportunity Overlay Fund		7,149,055
		TOTAL MUTUAL FUNDS (COST $1,546,993,003)		1,058,752,442
		SHORT-TERM INVESTMENTS — 1.2%
		Money Market Funds — 1.2%
	13,052,307	State Street Institutional U.S. Government Money Market Fund- Institutional Class		13,052,307
		Other Short-Term Investments — 0.0%
	8,068	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		8,068
		TOTAL SHORT-TERM INVESTMENTS (COST $13,060,375)		13,060,375
		TOTAL INVESTMENTS — 100.0%(Cost $1,598,023,803)		1,107,208,488
		Other Assets and Liabilities (net) — 0.00%		49,261
		TOTAL NET ASSETS — 100.0%	$	1,107,257,749

See accompanying notes to the financial statements.

8

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

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.

CMBS - Collateralized Mortgage Backed Security

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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).

Currency Abbreviations:

EUR - Euro

See accompanying notes to the financial statements.

9

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $51,030,800) (Note 2)	$	48,456,046
Investments in affiliated issuers, at value (cost $1,546,993,003) (Notes 2 and 8)		1,058,752,442
Receivable for investments sold		33,333
Receivable for Fund shares sold		47,685,501
Dividends and interest receivable		66,971
Receivable for expenses reimbursed by Manager (Note 3)		10,388
Miscellaneous receivable		14,310
Total assets		1,155,018,991
Liabilities:
Payable for investments purchased		47,699,811
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		3,474
Accrued expenses		57,957
Total liabilities		47,761,242
Net assets	$	1,107,257,749
Net assets consist of:
Paid-in capital	$	1,607,995,689
Distributions in excess of net investment income		(2,367,089	)
Accumulated net realized loss		(7,555,536	)
Net unrealized depreciation		(490,815,315	)
	$	1,107,257,749
Net assets attributable to:
Class III shares	$	1,107,257,749
Shares outstanding:
Class III		77,044,584
Net asset value per share:
Class III	$	14.37

See accompanying notes to the financial statements.

10

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	85,938,127
Interest		1,051,827
Dividends		15,614
Total investment income		87,005,568
Expenses:
Custodian, fund accounting agent and transfer agent fees		45,839
Audit and tax fees		37,577
Legal fees		24,446
Chief Compliance Officer (Note 3)		7,843
Trustees fees and related expenses (Note 3)		18,861
Registration fees		7,637
Miscellaneous		5,046
Total expenses		147,249
Fees and expenses reimbursed by Manager (Note 3)		(120,545	)
Expense reductions (Note 2)		(12,605	)
Net expenses		14,099
Net investment income (loss)		86,991,469
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(71,906	)
Investments in affiliated issuers		(45,603,831	)
Realized gains distributions from affiliated issuers (Note 8)		60,642,365
Foreign currency, forward contracts and foreign currency related transactions		532
Net realized gain (loss)		14,967,160
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,574,754	)
Investments in affiliated issuers		(431,309,387	)
Net unrealized gain (loss)		(433,884,141	)
Net realized and unrealized gain (loss)		(418,916,981	)
Net increase (decrease) in net assets resulting from operations	$	(331,925,512	)

See accompanying notes to the financial statements.

11

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	86,991,469		$	32,758,480
Net realized gain (loss)		14,967,160			61,340,612
Change in net unrealized appreciation (depreciation)		(433,884,141	)		(89,711,146	)
Net increase (decrease) in net assets from operations		(331,925,512	)		4,387,946
Distributions to shareholders from:
Net investment income
Class III		(97,614,780	)		(43,466,039	)
Net realized gains
Class III		(55,458,846	)		(24,846,890	)
		(153,073,626	)		(68,312,929	)
Net share transactions (Note 7):
Class III		491,786,568			634,481,810
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		304,811			234,265
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		492,091,379			634,716,075
Total increase (decrease) in net assets		7,092,241			570,791,092
Net assets:
Beginning of period		1,100,165,508			529,374,416
End of period (including distributions in excess of net investment income of $2,367,089 and accumulated undistributed net investment income of $5,027,700, respectively)	$	1,107,257,749		$	1,100,165,508

See accompanying notes to the financial statements.

12

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	22.70		$	23.71		$	22.37		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		1.57			0.99			0.69			0.52
Net realized and unrealized gain (loss)		(7.23	)		(0.15	)		2.17			2.34
Total from investment operations		(5.66	)		0.84			2.86			2.86
Less distributions to shareholders:
From net investment income		(1.61	)		(1.02	)		(0.90	)		(0.47	)
From net realized gains		(1.06	)		(0.83	)		(0.62	)		(0.02	)
Total distributions		(2.67	)		(1.85	)		(1.52	)		(0.49	)
Net asset value, end of period	$	14.37		$	22.70		$	23.71		$	22.37
Total Return(c)		(26.75	)%		3.15	%		12.98	%		14.42	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,107,258		$	1,100,116		$	529,374		$	366,622
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%(f)		0.00	%		0.00	%*
Net investment income to average daily net assets(b)		8.05	%		4.05	%		2.98	%		3.22	%*
Portfolio turnover rate		34	%		47	%		23	%		10	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.01	%		0.02	%		0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	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 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.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

13

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

1.  Organization

GMO Strategic Opportunities 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 its benchmark, the GMO Strategic Opportunities Allocation Index. The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO consisting of: (i) the MSCI World Index, and (ii) the Barclays Capital U.S. Aggregate Index in the following proportions: 75% (MSCI World Index) and 25% (Barclays Capital U.S. Aggregate Index). The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds (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 Alternative Asset Opportunity Fund, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund. In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities.

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 Alternative Asset Opportunity Fund, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund are not publicly available for direct purchase.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

2.  Significant accounting policies

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

14

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 28.98% 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.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 4.90% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security

15

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: the Fund valued debt securities using bids received from primary pricing sources.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	1,000,725,121	$	—
Level 2 - Other Significant Observable Inputs		71,220,447		—
Level 3 - Significant Unobservable Inputs		35,262,920		—
Total	$	1,107,208,488	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

16

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	—		$	—
Accrued discounts/premiums		392,953			—
Realized gain (loss)		368,942			—
Change in unrealized appreciation/depreciation		(2,578,028	)		—
Net purchases (sales)		37,079,053			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	35,262,920		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

17

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

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, 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	3,228,522	$	(1,776,117	)	$	(1,452,405	)

18

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	97,617,350	$	44,599,754
Net long-term capital gain		55,456,276		23,713,175
Total distributions	$	153,073,626	$	68,312,929

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain)  $  8,439,095

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $3,243,689.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,613,101,576	$	5,564,944	$	(511,458,032	)	$	(505,893,088	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

19

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the Manager has a conflict in allocating among the underlying funds. (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective June 30, 2008, the premium on cash purchases of Fund shares was changed to 0.07% of the amount invested and the fee on cash redemptions remained at 0.04% of the amount redeemed. Effective September 30, 2008, the Fund no longer charged a premium on cash purchases or fee on cash redemptions of the amount invested or redeemed. Effective October 8, 2008, the fee on cash redemptions was changed to 0.22% of the amount redeemed. Effective October 21, 2008, the premium on cash purchases was changed to 0.03% of the amount invested and the fee on cash redemptions was changed to 0.50% of the amount redeemed. Effective November 24, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the premium on cash purchases was 0.03% of the amount invested and the fee on cash redemptions was 2.00% of the amount redeemed. The level of purchase premium 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). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or portion of the redemption fees may be waived at the manager's discretion under circumstances in which the Manager deems it equitable

20

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund a management fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

21

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.388	%		0.070	%		0.002	%		0.460	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $15,221 and $7,843, respectively. The compensation and expenses of the CCO are included expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $849,254,175 and $374,296,374, respectively. Cost of purchases and proceeds from sales of securities for in-kind transactions for the year ended February 28, 2009 were $53,926,966 and $53,926,966, respectively.

22

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 34.27% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 99.97% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		21,710,901		$	377,255,235			23,859,232		$	579,450,743
Shares issued to shareholders in reinvestment of distributions		8,772,878			152,047,372			2,788,898			67,229,949
Shares repurchased		(1,914,307	)		(37,516,039	)		(502,061	)		(12,198,882	)
Purchase premiums		—			100,056			—			232,499
Redemption fees		—			204,755			—			1,766
Net increase (decrease)		28,569,472		$	492,091,379			26,146,069		$	634,716,075

23

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	90,584,368	$	172,849,657	$	64,917,000	$	53,148,310	$	20,852,738	$	142,537,541
GMO Core Plus Bond Fund, Class IV		26,514,728		1,060,589		24,107,963		1,060,589		—		—
GMO Domestic Bond Fund, Class VI		—		76,396,191		17,978,726		2,362,184		107,501		50,663,671
GMO Emerging Country Debt Fund, Class IV		5,743,483		1,398,477		—		593,444		121,321		4,571,097
GMO Emerging Markets Fund, Class VI		—		43,592,103		41,304,113		—		—		—
GMO Emerging Markets Opportunities Fund, Class VI		103,926,197		24,950,520		98,007,614		516,691		24,433,829		—
GMO Flexible Equities Fund, Class VI		—		29,503,125		—		3,125		—		23,107,183
GMO Inflation Indexed Plus Bond Fund, Class VI		—		33,080,572		7,373,388		2,198,726		—		18,670,080
GMO International Bond Fund, Class III		5,569,426		413,051		4,885,337		413,051		—		—
GMO International Growth Equity Fund, Class IV		156,545,575		86,336,488		2,000,000		6,093,686		5,319,696		150,367,034
GMO International Intrinsic Value Fund, Class IV		159,656,664		92,573,960		5,323,371		6,948,146		8,446,880		142,927,020
GMO Special Situations Fund, Class VI		58,396,773		2,489,304		40,916,000		—		—		27,779,151

24

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Strategic Fixed Income Fund, Class VI	$	216,621,119	$	22,373,936	$	108,912,458	$	6,199,523	$	—	$	91,316,446
GMO U.S. Core Equity Fund, Class VI		69,986,654		9,095,736		3,000,000		1,158,720		—		49,793,872
GMO U.S. Quality Equity Fund, Class VI		206,637,036		253,895,823		3,510,000		5,241,932		1,360,400		349,870,292
GMO World Opportunity Overlay Fund		—		7,710,071		—		—		—		7,149,055
Totals	$	1,100,182,023	$	857,719,603	$	422,235,970	$	85,938,127	$	60,642,365	$	1,058,752,442

25

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

26

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.45	%	$	1,000.00	$	758.50	$	1.96
2) Hypothetical		0.45	%	$	1,000.00	$	1,022.56	$	2.26

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $55,456,276 from long-term capital gains.

For taxable, non-corporate shareholders, 18.85% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 7.77% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $9,335,780 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

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 -32.8% for the fiscal year ended February 28, 2009, compared with -11.8% for the JPMorgan Emerging Markets Bond Index Global (EMBIG).

The Fund underperformed the benchmark during the fiscal year by 21.0%. EMBIG spreads over U.S. Treasuries widened 366 basis points to 672 basis points, while the yield on the 10-year U.S. Treasury bond fell by 51 basis points to 3.0%.

The biggest gainers of the fiscal year in the index were Lebanon (+11.0%), Egypt (+6.8%), and China (+5.5%). The worst performing countries in the index for the year were Ecuador (-66.4%), Ukraine (-59.1%), and Argentina (-55.8%).

Market selection subtracted 401 basis points of relative value. Underperformance derived primarily from the Argentina and Ukraine overweights, and the Lebanon underweight which were offset in part by overweighting Russia and underweighting Ecuador. Security selection cost 1,269 basis points of alpha in total, with the largest loss coming from the sale of credit protection for Venezuela. Exposure to quasi-sovereign credits in Russia and negative bond selection in South Africa also had negative impacts. Further, non-index bonds from the Republic of Congo and Ivory Coast underperformed the EMBIG by a wide margin. Direct and indirect exposure to ABS securities also contributed negatively, costing 422 basis points of relative performance. Credit default swap protection helped in Mexico and Ukraine, offsetting a portion of the other Mexican and Ukraine positions' losses.

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 2.00% 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		89.5	%
Loan Participations		6.0
Short-Term Investments		2.1
Forward Currency Contracts		1.8
Loan Assignments		1.7
Options Purchased		0.4
Rights and Warrants		0.3
Promissory Notes		0.2
Futures		(0.0	)
Written Options		(0.1	)
Reverse Repurchase Agreements		(0.1	)
Swap Market Values, see Schedule of Investments for Notional Values		(6.1	)
Other		4.3
		100.0	%

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

1

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Country / Region Summary**	% of Investments
United States		13.8	%
Philippines		10.2
Russia		9.6
Venezuela		8.6
Brazil		5.6
Argentina		5.3
Colombia		4.6
Uruguay		4.3
Mexico		3.7
Ivory Coast		3.2
Vietnam		2.6
Peru		2.5
Indonesia		2.4
Dominican Republic		2.4
Ukraine		2.4
Turkey		1.8
Egypt		1.5
Kazakhstan		1.4
Congo		1.4
El Salvador		1.2
Iraq		1.2
Serbia		1.0
Aruba		1.0
Africa		0.8
Israel		0.8
Jamaica		0.8
Sri Lanka		0.8
Chile		0.5
Bosnia		0.5
Pakistan		0.5
Ecuador		0.5
Tunisia		0.5
Gabon		0.4
South Africa		0.4
India		0.4
Georgia		0.3
Costa Rica		0.3
South Korea		0.3
Malaysia		0.3
Nicaragua		0.2
Poland		0.1
Belize		0.1
Lebanon		(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 table

2

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

is based on duration-adjusted exposures, taking into account the market value of securities and the notional amounts of swaps and other derivative contracts. Duration is based on the Manager's models. The greater the duration of a bond, the greater its contribution to the concentration percentage. Credit default swap exposures (both positive and negative) are factored into the duration-adjusted exposure using the reference security and applying the same methodology to that security.

3

GMO Emerging Country Debt Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 84.6%
		Argentina — 6.8%
		Foreign Government Obligations — 5.2%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 3.00%, due 05/15/35		1,530,000
USD	10,000,000	Republic of Argentina, 8.88%, due 03/01/29 (a) (b)		1,121,566
USD	7,211,000	Republic of Argentina, Series BGLO, 8.38%, due 12/20/03 (b)		865,320
USD	46,000,000	Republic of Argentina, Series F, due 10/15/04 (b)		5,060,000
EUR	284,000,000	Republic of Argentina Par Bond, Step Up, 1.20%, due 12/31/38		59,406,769
EUR	7,367,096	Republic of Argentina Discount Bond, 7.82%, due 12/31/33		2,036,041
USD	21,000,000	Republic of Argentina Par Bond, Step Up, 1.33%, due 12/31/38		2,940,000
USD	23,391,698	Republic of Argentina Discount Bond, 8.28%, due 12/31/33 (a)		5,824,128
USD	2,587,924	Republic of Argentina Capitalization Bond, Series 2031, 12.00%, due 06/19/31 (a) (b)		237,308
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, 4.71%, due 03/31/23 (b)		1,117,156
EUR	214,800,000	Republic of Argentina GDP Linked, 1.99%, due 12/15/35 (d)		5,446,254
USD	71,474	Republic of Argentina GDP Linked, 2.28%, due 12/15/35 (d)		1,573
ARS	28,000,000	Republic of Argentina GDP Linked, 2.45%, due 12/15/35 (a) (d)		226,821
USD	24,819,166	Republic of Argentina Global Bond, Series 2018, 12.25%, due 06/19/18 (a) (b)		2,892,432
EUR	3,500,000	Republic of Argentina Global Bond, Series FEB, Step Down, 8.00%, due 02/26/08 (b)		454,805
DEM	5,000,000	Republic of Argentina Global Bond, Step Down, 9.00%, due 11/19/08 (a) (b)		259,276
ARS	28,000,000	Republic of Argentina Global Par Bond, Step Up, 0.63%, due 12/31/38 (a)		693,438
USD	31,390,000	Republic of Argentina Global Bond, EMTN, Reg S, 3 mo. LIBOR + .58%, 1.99%, due 04/06/49 (b)		3,452,900
USD	1,815,200	Republic of Argentina Pro 4, 2.00%, due 12/28/10 (b)		108,912
				93,674,699
		Judgements — 1.6%
USD	3,540,000	Republic of Argentina, 8.88%, due 03/01/29 (a) (b) (c)		397,034
USD	43,132,075	Republic of Argentina Capitalization Bond, Series 2031, 12.00%, due 06/19/31 (a) (b) (c)		3,955,130

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 28, 2009

Par Value		Description	Value ($)
		Judgements — continued
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, 3.40%, due 03/31/23 (b) (c)		14,400,000
USD	3,235,359	Republic of Argentina Global Bond, Series 2018, 12.25%, due 06/19/18 (a) (b) (c)		377,050
USD	26,545,000	Republic of Argentina Global Bond, 12.13%, due 02/25/19 (a) (b) (c)		2,389,050
USD	6,931,000	Republic of Argentina Global Bond, 12.00%, due 02/01/20 (a) (b) (c)		623,790
USD	8,000,000	Republic of Argentina Global Bond, 9.75%, due 09/19/27 (a) (b) (c)		720,000
USD	198,230	Republic of Argentina Global Bond, Series 2008, Step Up, 15.50%, due 12/19/49 (a) (b) (c)		17,841
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 (b) (c)		6,750,000
				29,629,895
		Total Argentina		123,304,594
		Aruba — 1.3%
		Foreign Government Obligations
USD	5,000,000	Government of Aruba, 6.19%, due 10/30/12 (a)		4,586,100
USD	17,500,000	Government of Aruba, Reg S, 6.40%, due 09/06/15		16,205,350
USD	3,752,000	Government of Aruba, 6.80%, due 04/02/14 (a)		3,398,172
		Total Aruba		24,189,622
		Belize — 0.1%
		Foreign Government Obligations
USD	4,023,400	Government of Belize, Reg S, Step Up, 4.25%, due 02/20/29		1,528,892
		Bosnia & Herzegovina — 0.4%
		Foreign Government Obligations
DEM	22,214,720	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 3.03%, due 12/11/17		6,767,702
		Brazil — 3.5%
		Corporate Debt — 0.4%
USD	7,000,000	Petrobras International Finance Co., 7.88%, due 03/15/19		7,026,250

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 28, 2009

Par Value		Description	Value ($)
		Foreign Government Obligations — 3.1%
USD	12,000,000	Brazilian Government International Bond, 5.88%, due 01/15/19		11,400,000
USD	329,548	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		329,548
USD	8,416,667	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		8,248,333
USD	12,500,000	Republic of Brazil, 8.00%, due 01/15/18		13,475,000
USD	22,000,000	Republic of Brazil, 8.25%, due 01/20/34		23,870,000
				57,322,881
		Total Brazil		64,349,131
		Colombia — 0.7%
		Foreign Government Obligations
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		8,560,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28		4,959,000
		Total Colombia		13,519,000
		Congo Republic (Brazzaville) — 1.4%
		Foreign Government Obligations
USD	109,865,600	Republic of Congo, 144A, 3.00%, due 06/30/29		25,818,416
USD	1,425,000	Republic of Congo, Reg S, 3.00%, due 06/30/29		334,875
		Total Congo Republic (Brazzaville)		26,153,291
		Costa Rica — 0.2%
		Foreign Government Obligations
USD	3,710,000	Republic of Costa Rica, Reg S, 10.00%, due 08/01/20		4,285,050
		Dominican Republic — 2.4%
		Asset-Backed Securities — 0.4%
USD	15,250,310	Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/24		7,320,149
		Foreign Government Obligations — 2.0%
USD	9,000,000	Dominican Republic, Reg S, 8.63%, due 04/20/27		5,670,000
USD	196,439	Dominican Republic Bond, Series RG, 6 mo. LIBOR + .81%, 2.63%, due 08/31/09		194,965

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 28, 2009

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
USD	2,206,784	Dominican Republic Bond, 6 mo. LIBOR + .81%, 2.59%, due 08/30/09		2,151,614
USD	42,557,000	Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 3.38%, due 08/30/24		28,513,190
				36,529,769
		Total Dominican Republic		43,849,918
		Ecuador — 0.3%
		Foreign Government Obligations
USD	2,233,332	Republic of Ecuador PDI (Global Bearer Capitalization Bond), PIK, 6 mo. LIBOR + .81%, 2.63%, due 02/27/15 (a)		504,956
USD	18,587,000	Republic of Ecuador, Step Up, 10.00%, due 08/15/30 (b)		5,576,100
		Total Ecuador		6,081,056
		Egypt — 0.1%
		Corporate Debt
USD	1,360,363	Petroleum Export, 144A, 5.27%, due 06/15/11		1,169,912
		El Salvador — 1.2%
		Foreign Government Obligations
USD	29,700,000	Republic of El Salvador, Reg S, 7.65%, due 06/15/35		21,087,000
		Gabon — 0.3%
		Foreign Government Obligations
USD	9,000,000	Gabonese Republic, Reg S, 8.20%, due 12/12/17		5,850,000
		Grenada — 0.1%
		Foreign Government Obligations
USD	6,000,000	Republic of Grenada, Reg S, Step Up, 2.50%, due 09/15/25		2,100,000
		Indonesia — 0.9%
		Foreign Government Agency
USD	31,000,000	Majapahit Holding BV, 144A, 7.88%, due 06/29/37		16,740,000

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 28, 2009

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		7,040,000
		Israel — 0.7%
		Foreign Government Agency
USD	13,000,000	Israel Electric Corp. Ltd., 144A, 7.25%, due 01/15/19 (a)		13,000,528
		Ivory Coast — 1.4%
		Foreign Government Obligations
FRF	37,500,000	Ivory Coast Discount Bond, Series FRF, Step Up, 4.00%, due 03/31/28 (b)		2,427,920
USD	69,850,000	Ivory Coast FLIRB, Step Up, 4.00%, due 03/31/18 (b)		9,779,000
FRF	85,905,000	Ivory Coast FLIRB, Series FRF, Step Up, 4.00%, due 03/31/18 (b)		5,644,892
FRF	256,889,500	Ivory Coast PDI, Series FRF, Step Up, 2.90%, due 03/30/18 (b)		6,950,765
		Total Ivory Coast		24,802,577
		Jamaica — 0.3%
		Foreign Government Agency — 0.2%
USD	6,500,000	Air Jamaica Ltd., Reg S, 9.38%, due 07/08/15		4,615,000
		Foreign Government Obligations — 0.1%
USD	2,500,000	Government of Jamaica, 8.00%, due 03/15/39		1,375,000
		Total Jamaica		5,990,000
		Malaysia — 1.3%
		Asset Backed Securities
MYR	45,000,000	Transshipment Megahub Berhad, Series C, 5.45%, due 11/03/09		11,688,469
MYR	50,000,000	Transshipment Megahub Berhad, Series F, 6.70%, due 11/02/12		11,712,745
		Total Malaysia		23,401,214
		Mexico — 6.0%
		Foreign Government Agency — 3.6%
GBP	7,689,000	Pemex Project Funding Master Trust, EMTN, 7.50%, due 12/18/13		10,732,385
EUR	30,000,000	Pemex Project Funding Master Trust, Reg S, 6.38%, due 08/05/16		33,468,603
EUR	26,500,000	Pemex Project Funding Master Trust, Reg S, 5.50%, due 02/24/25		21,836,995
				66,037,983

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 28, 2009

Par Value		Description	Value ($)
		Foreign Government Obligations — 2.4%
GBP	29,994,000	United Mexican States, GMTN, 6.75%, due 02/06/24		37,571,991
USD	8,000,000	United Mexican States, 6.05%, due 01/11/40		6,600,000
				44,171,991
		Total Mexico		110,209,974
		Nicaragua — 0.2%
		Foreign Government Obligations
USD	4,926,395	Republic of Nicaragua BPI, Series E, 5.00%, due 02/01/11		4,359,860
		Pakistan — 0.4%
		Foreign Government Obligations
USD	20,000,000	Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36		8,000,000
		Peru — 1.6%
		Foreign Government Obligations
USD	12,452,000	Peru Enhanced Pass-Through Finance Ltd., Reg S, 0.00%, due 06/02/25		3,113,000
USD	25,000,000	Peru Par Bond, Series 30 Yr., Step Up, 3.00%, due 03/07/27		20,000,000
USD	4,625,077	Peru Trust, Series 97-I-P, Class A3, due 12/31/15 (a)		3,976,901
USD	1,640,372	Peru Trust II, Series 98-A LB, 0.00%, due 02/28/16		1,193,617
USD	1,539,783	Racers, Series 1998 I-P, due 03/10/16 (a)		1,323,992
		Total Peru		29,607,510
		Philippines — 7.0%
		Foreign Government Agency — 2.3%
USD	6,000,000	National Power Corp., 9.88%, due 03/16/10		5,936,250
USD	31,600,000	National Power Corp., 9.63%, due 05/15/28		27,492,000
USD	8,500,000	National Power Corp., Global Bond, 8.40%, due 12/15/16		8,160,000
				41,588,250
		Foreign Government Obligations — 4.7%
USD	59,501,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		58,519,234
USD	9,000,000	Philippine Government International Bond, 8.38%, due 06/17/19		9,551,250
USD	6,843,000	Republic of Philippines, 8.38%, due 02/15/11		7,348,013

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 28, 2009

Par Value		Description	Value ($)
		Foreign Government Obligations — continued
EUR	8,000,000	Republic of Philippines, 9.13%, due 02/22/10		10,269,790
				85,688,287
		Total Philippines		127,276,537
		Poland — 0.6%
		Foreign Government Obligations
USD	10,000,000	Delphes Co. No. 2 Ltd., EMTN, Reg S, 7.75%, due 05/05/09		10,106,470
		Russia — 8.8%
		Corporate Debt — 7.6%
EUR	38,000,000	Gaz Capital (Gazprom), EMTN, Reg S, 5.88%, due 06/01/15		31,855,390
EUR	21,000,000	Gaz Capital (Gazprom), Reg S, 5.44%, due 11/02/17		14,709,071
EUR	40,000,000	Gaz Capital (Gazprom), EMTN, 5.36%, due 10/31/14		33,722,152
USD	12,767,949	Gazprom International SA, Reg S, 7.20%, due 02/01/20		10,373,958
USD	21,977,973	Gazstream SA, Reg S, 5.63%, due 07/22/13		19,340,617
USD	8,000,000	Sberbank Capital SA, EMTN, 6.48%, due 05/15/13		6,517,600
USD	14,900,000	Transcapital Ltd. (Transneft), 144A, 8.70%, due 08/07/18		11,249,500
USD	19,000,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		11,210,000
				138,978,288
		Foreign Government Agency — 1.2%
USD	36,500,000	RSHB Capital SA, 144A, 6.30%, due 05/15/17		20,907,200
USD	2,300,000	RSHB Capital SA, 144A, 7.75%, due 05/29/18		1,368,500
				22,275,700
		Total Russia		161,253,988
		Serbia — 0.6%
		Foreign Government Obligations
USD	14,966,026	Republic of Serbia, Reg S, Step Up, 3.75%, due 11/01/24		10,326,558
		South Africa — 0.2%
		Foreign Government Agency — 0.1%
ZAR	163,000,000	Eskom Holdings Ltd., 0.00%, due 12/31/32		1,438,852

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 28, 2009

Par Value		Description	Value ($)
		Foreign Government Obligations — 0.1%
USD	2,000,000	Republic of South Africa, 5.88%, due 05/30/22		1,760,000
		Total South Africa		3,198,852
		South Korea — 0.2%
		Foreign Government Agency
USD	4,000,000	Korea Southern Power Co., Reg S, 5.38%, due 04/18/13		3,618,120
		Sri Lanka — 0.7%
		Foreign Government Obligations
USD	19,000,000	Republic of Sri Lanka, 144A, 8.25%, due 10/24/12		12,920,000
		Tunisia — 0.2%
		Foreign Government Agency
JPY	360,000,000	Banque Centrale De Tunisie, Series 6BR, 4.35%, due 08/15/17		2,831,125
		Turkey — 0.5%
		Foreign Government Obligations
USD	9,000,000	Republic of Turkey, 7.50%, due 07/14/17		8,482,500
		Ukraine — 4.4%
		Foreign Government Agency — 0.5%
USD	9,000,000	Credit Suisse First Boston, the EXIM of Ukraine, 6.80%, due 10/04/12		3,600,000
USD	10,000,000	Dresdner Kleinwort Wasserstein for CJSC, the EXIM of Ukraine, 7.75%, due 09/23/09		6,000,000
				9,600,000
		Foreign Government Obligations — 3.9%
USD	18,000,000	City of Kyiv, Reg S, 8.25%, due 11/26/12		5,850,000
CHF	100,000,000	Ukraine Government, 3.50%, due 09/15/18		64,965,594
				70,815,594
		Total Ukraine		80,415,594

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 28, 2009

Par Value		Description	Value ($)
		United States — 19.4%
		Asset-Backed Securities — 9.8%
USD	4,000,000	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.94%, due 05/15/24		1,000,000
USD	24,779,727	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.97%, due 04/16/12		23,064,227
USD	51,040,000	Capital One Auto Finance Trust, Series 06-C, Class A4, FGIC, 1 mo. LIBOR + .03%, 0.49%, due 05/15/13		33,763,981
USD	45,000,000	Chase Issuance Trust, Series 06-A5, Class A, 1 mo. LIBOR + .02%, 0.48%, due 11/15/13		41,702,373
USD	225,067	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.81%, due 10/25/34		108,032
USD	1,070,431	CHYPS CBO Ltd., Series 97-1A, Class A2A, 144A, 6.72%, due 01/15/10 (a)		1,070
USD	25,000,000	Citibank Credit Card Issuance Trust, Series 06-A8, Class A8, 3mo. LIBOR + .04%, 1.13%, due 12/17/18		18,631,850
USD	1,624,069	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.91%, due 10/25/30		324,814
USD	25,630,214	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.70%, due 12/15/35		5,894,949
USD	19,691,143	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.70%, due 12/15/35		4,332,051
USD	14,077,826	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.66%, due 05/15/36		3,237,900
USD	5,930,611	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.82%, due 11/25/35		2,633,562
USD	21,505,829	Greenpoint Morgage Funding Trust, Series 07-HE1, Class A1, XL, 1 mo. LIBOR + .15%, 0.60%, due 12/13/32		2,150,583
USD	5,592,963	GSAMP Trust, Series 05-HE6, Class A2B, 1 mo. LIBOR + .19%, 0.66%, due 11/25/35		4,754,018
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.70%, due 05/25/37		1,794,500
USD	10,000,000	IXIS Real Estate Capital Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .16%, 0.63%, due 08/25/36		5,572,000
USD	13,000,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.63%, due 10/25/36		3,445,000
USD	506,634	Master Asset-Backed Securities Trust, Series 06-FRE1, Class A2, 1 mo. LIBOR + .12%, 0.59%, due 12/25/35		493,969

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 28, 2009

Par Value		Description	Value ($)
		Asset-Backed Securities — continued
USD	13,000,000	Morgan Stanley ABS Capital I, Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.64%, due 03/25/36		4,550,000
USD	10,000,000	Morgan Stanley ACES SPC, Series 04-15, Class I, 144A, 3 mo. LIBOR + .45%, 1.98%, due 12/20/09		6,885,000
USD	15,000,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 11/25/36		5,250,000
USD	15,200,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.69%, due 11/25/36		3,804,560
USD	12,868,000	Option One Mortgage Loan Turst, Series 06-3, Class 2A4, 1 mo. LIBOR + .22%, 0.69%, due 02/25/37		3,281,340
USD	8,000,000	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.83%, due 04/25/37		2,000,000
				178,675,779
		U.S. Government — 9.6%
USD	25,000,000	U.S. Treasury Bond, 5.25%, due 02/15/29		29,339,844
USD	73,822,980	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (d) (e)		72,830,947
USD	50,000,000	U.S. Treasury Principal Strip Bond, due 11/15/21		29,548,150
USD	30,000,000	U.S. Treasury Strip Coupon Bond, due 05/15/23		16,371,810
USD	50,000,000	U.S. Treasury Strip Coupon Bond, due 11/15/23		26,741,500
				174,832,251
		Total United States		353,508,030
		Uruguay — 4.5%
		Foreign Government Obligations
EUR	2,000,000	Republic of Uruguay, 7.00%, due 06/28/19		2,155,175
USD	51,851,571	Republic of Uruguay, 7.63%, due 03/21/36		42,777,546
USD	14,533,294	Republic of Uruguay, PIK, 7.88%, due 01/15/33		12,353,300
JPY	1,318,400,000	Republica Oriental de Uruguay, Series 3BR, Step Up, 2.50%, due 03/14/11 (a)		12,928,800
USD	400,000	Republica Oriental de Uruguay, 7.25%, due 05/04/14 (a)		332,888
EUR	10,000,000	Republica Oriental de Uruguay, 6.88%, due 01/19/16		11,599,913
		Total Uruguay		82,147,622

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 28, 2009

Par Value		Description	Value ($)
		Venezuela — 4.5%
		Foreign Government Agency — 0.3%
USD	16,000,000	Petroleos de Venezuela, 5.38%, due 04/12/27		5,120,000
		Foreign Government Obligations — 4.2%
EUR	7,400,000	Republic of Venezuela, 11.13%, due 07/25/11		8,255,589
EUR	10,000,000	Republic of Venezuela, 7.00%, due 03/16/15		5,831,650
USD	23,000,000	Republic of Venezuela, 7.00%, due 03/31/38		9,372,500
USD	69,500,000	Republic of Venezuela, Reg S, 9.00%, due 05/07/23		34,402,500
USD	22,000,000	Republic of Venezuela, Reg S, 9.25%, due 05/07/28		10,835,000
USD	262,360	Republic of Venezuela Restructured Debt, 0.00%, due 04/15/20		4,436,508
USD	8,000,000	Venezuela Government International Bond, 7.65%, due 04/21/25		3,520,000
USD	3,000,000	Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20		1,275,000
				77,928,747
		Total Venezuela		83,048,747
		Vietnam — 1.0%
		Foreign Government Obligations
USD	3,913,044	Socialist Republic of Vietnam, Series 18 Yr., 6 mo. LIBOR + .81%, 2.81%, due 03/12/16		2,915,217
USD	19,750,000	Socialist Republic of Vietnam, Series 30 Yr., Step Up, 4.00%, due 03/12/28		12,640,000
USD	4,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 2.81%, due 03/13/28		2,960,000
		Total Vietnam		18,515,217
		TOTAL DEBT OBLIGATIONS (COST $2,320,205,477)		1,545,036,191
		LOAN ASSIGNMENTS — 1.7%
		Indonesia — 1.0%
EUR	3,262,131	Repbulic of Indonesia, Indonesia Paris Club Debt (f)		3,065,489
JPY	125,820,002	Republic of Indonesia Loan Agreement, 6 mo. JPY LIBOR + .88%, 4.50%, due 03/28/13		966,904
USD	2,738,082	Republic of Indonesia Loan Agreement, 6 mo. LIBOR +.88%, 4.50%, due 03/29/13		2,053,561

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 28, 2009

Par Value		Description	Value ($)
		Indonesia — continued
USD	3,720,125	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		2,046,069
USD	3,720,125	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		2,046,069
USD	5,012,800	Republic of Indonesia Loan Agreement, dated June 14, 1995, 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		2,728,961
USD	2,644,865	Republic of Indonesia Loan Agreement, dated September 29, 1994, 7.24%, due 12/01/19		2,115,892
USD	2,731,802	Republic of Indonesia Loan Agreement, dated September 29, 1994, 4.50%, due 12/01/19		2,185,442
		Total Indonesia		17,208,387
		Russia — 0.3%
USD	3,955,201	Russia Foreign Trade Obligations (a) (f)		4,924,430
GBP	14,162	Russia Foreign Trade Obligations (a) (f)		33,102
USD	80,572	Russia Foreign Trade Obligations (a) (f)		96,937
USD	265,723	Russia Foreign Trade Obligations (a) (f)		324,921
DEM	45,916	Russia Foreign Trade Obligations (a) (f)		29,691
FIM	1,740,000	Russia Foreign Trade Obligations (a) (f)		390,956
		Total Russia		5,800,037
		Vietnam — 0.4%
USD	16,000,000	Vietnam Shipbuilding Industry Group Loan Agreement, 6 mo. LIBOR + 1.50%, 4.63%, due 06/26/16 (a)		7,994,906
		TOTAL LOAN ASSIGNMENTS (COST $40,392,301)		31,003,330
		LOAN PARTICIPATIONS — 6.0%
		Egypt — 0.2%
CHF	5,133,825	Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24 (f)		3,517,881

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 28, 2009

Par Value		Description	Value ($)
		Indonesia — 1.9%
USD	457,862	Republic of Indonesia Loan Agreement (Participation with CitiBank), 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		251,824
USD	457,862	Republic of Indonesia Loan Agreement (Participation with CitiBank), 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		251,824
USD	610,677	Republic of Indonesia Loan Agreement (Participation with CitiBank), 3 mo. LIBOR + .88%, 3.00%, due 12/14/19		335,873
USD	20,037,697	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + 1.25%, 4.50%, due 02/12/13		16,030,158
USD	14,732,165	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 4.50%, due 09/29/19		11,785,732
JPY	743,849,772	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.76%, due 03/29/13		5,716,351
		Total Indonesia		34,371,762
		Iraq — 1.5%
USD	3,402,097	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), due 01/01/28		850,524
JPY	4,926,803,587	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		23,635,734
JPY	643,772,123	Republic of Iraq Paris Club Loan, T Chatani (Participation with Deutsche Bank), due 01/01/28		3,026,412
		Total Iraq		27,512,670
		Poland — 0.2%
JPY	349,999,985	Poland Paris Club Loan Debt (Participation with Deutsche Bank), due 03/31/09		3,609,201
		Russia — 1.1%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.) (a) (f)		20,628,108
		Vietnam — 1.1%
JPY	2,754,949,499	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 1.50%, due 09/01/17		19,759,872
		TOTAL LOAN PARTICIPATIONS (COST $112,247,501)		109,399,494

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 28, 2009

Par Value / Principal Amount		Description	Value ($)
		PROMISSORY NOTES — 0.2%
		Dominican Republic — 0.1%
USD	1,089,012	Dominican Republic Promissory Notes, 0.00%, due 09/15/09		969,220
USD	817,249	Dominican Republic Promissory Notes, 0.00%, due 09/15/11		433,142
USD	817,249	Dominican Republic Promissory Notes, 0.00%, due 09/15/10		580,247
		Total Dominican Republic		1,982,609
		Ghana — 0.0%
USD	3,312,500	Republic of Ghana Promissory Notes, 0.00%, due 08/09/10 (b) (c) (g)		331,250
		Nigeria — 0.1%
USD	33,450,000	Central Bank of Nigeria Promissory Notes, Series RC, 5.09%, due 01/05/10		2,090,625
		TOTAL PROMISSORY NOTES (COST $21,849,094)		4,404,484
		OPTIONS PURCHASED — 0.2%
		Options on Interest Rates — 0.1%
TWD	1,849,200,000	TWD Interest Rate Floor Call Option, Expires 03/16/10, Strike 2.19%		924,084
TWD	1,849,200,000	TWD Interest Rate Cap Call Option, Expires 03/16/10, Strike 2.19%		106
		Total Options on Interest Rates		924,190
		Options on Interest Rate Swaps — 0.1%
KRW	50,000,000,000	KRW Swaption Call, Expires 03/21/11, Strike 5.64%		2,674,753
KRW	50,000,000,000	KRW Swaption Put, Expires 03/21/11, Strike 5.64%		132,577
KRW	90,000,000,000	KRW Swaption Put, Expires 04/27/09, Strike 5.42%		1,232
KRW	72,000,000,000	KRW Swaption Put, Expires 04/08/09, Strike 6.20%		—
		Total Options on Interest Rate Swaps		2,808,562
		TOTAL OPTIONS PURCHASED (COST $7,973,214)		3,732,752

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 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 5.3%
		United States — 5.3%
		Affiliated Issuers
	3,976,082	GMO Short-Duration Collateral Fund		67,991,002
	21,409	GMO Special Purpose Holding Fund (a) (h)		15,629
	1,515,449	GMO World Opportunity Overlay Fund		27,808,483
		Total United States		95,815,114
		TOTAL MUTUAL FUNDS (COST $124,904,720)		95,815,114
		RIGHTS AND WARRANTS — 0.3%
		Nigeria — 0.1%
	25,000	Central Bank of Nigeria Warrants, Expires 11/15/20 *		2,500,000
		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 * (a)		—
		Venezuela — 0.2%
	164,215	Republic of Venezuela Bond Warrants, Expires 04/15/20 *		2,776,876
		TOTAL RIGHTS AND WARRANTS (COST $0)		5,276,876
		SHORT-TERM INVESTMENTS — 1.9%
		Money Market Funds — 1.9%
	10,666,373	State Street Institutional Liquid Reserves Fund-Institutional Class		10,666,373
	24,072,589	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		24,072,589
		TOTAL SHORT-TERM INVESTMENTS (COST $34,738,962)		34,738,962
		TOTAL INVESTMENTS — 100.2% (Cost $2,662,311,269)		1,829,407,203
		Other Assets and Liabilities (net) — (0.2%)		(2,955,747	)
		TOTAL NET ASSETS — 100.0%	$	1,826,451,456

See accompanying notes to the financial statements.

18

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/10/09	EUR		5,900,000	$	7,479,379	$	(72,621	)
Sales
4/28/09	CHF		80,000,000	$	68,465,959	$	(206,574	)
3/10/09	EUR		264,700,000		335,557,905		27,486,575
4/14/09	GBP		20,000,000		28,628,812		691,188
3/17/09	JPY		6,000,000,000		61,493,669		4,311,679
				$	494,146,345	$	32,282,868

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	5,800	Federal Funds 30 day	March 2009	$	2,411,180,379	$	(29,089	)

Reverse Repurchase Agreements

Face Value			Description	Market Value
	USD	1,968,931	JP Morgan Chase Bank, 0.50%, dated 02/26/09, to be repurchased on demand at face value plus accrued interest.	$	(1,968,931	)

Average balance outstanding	$	(185,976,854	)
Average interest rate		3.02	%
Maximum balance outstanding	$	(563,557,754	)
Average shares outstanding		287,129,071
Average balance per share outstanding	$	(0.65	)
Days outstanding		365

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

See accompanying notes to the financial statements.

19

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Swap Agreements

Credit Default Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	5,000,000	USD	3/20/2009	JP Morgan	Receive		2.85	%		1.21	%	Republic of		5,000,000	USD	$	67,299
				Chase Bank								Peru
	10,000,000	USD	3/20/2009	JP Morgan Chase Bank	Receive		4.30	%		3.71	%	Republic of Philippines		10,000,000	USD		83,446
	10,000,000	USD	4/17/2009	Deutsche Bank AG	Receive		3.90	%		14.06	%	Gazprom Loan Facility		10,000,000	USD		7,566
	100,000,000	USD	4/20/2009	JP Morgan Chase Bank	(Pay)		0.29%			2.01	%	United Mexican States		N/A			142,545
	10,000,000	USD	4/20/2009	JP Morgan Chase Bank	(Pay)		0.43%			0.96	%	Republic of Brazil		N/A			(7,890	)
	6,789,768	USD	6/6/2009	Deutsche Bank AG	Receive		1.85	%		35.20	%	Deutsche Bank Loan to Ukrnafta		6,789,768	USD		(546,411	)
	7,000,000	USD	8/5/2009	Deutsche Bank AG	Receive		4.85	%		39.30	%	Government of Ukraine		7,000,000	USD		(918,703	)
	100,000,000	CHF	9/20/2009	Morgan Stanley	(Pay)		0.78%			67.62	%	Government of Ukraine		N/A			25,421,349
	10,000,000	USD	9/20/2009	JP Morgan Chase Bank	(Pay)		0.97%			14.49	%	Gazprom OAO		N/A			682,520
	849,572,575	RUB	11/5/2009	Deutsche Bank AG	Receive		1.45	%		11.92	%	Russia Post Office		849,572,575	RUB		(1,328,153	)
	10,000,000	USD	11/20/2009	JP Morgan Chase Bank	(Pay)		0.88%			3.07	%	United Mexican States		N/A			134,531
	10,000,000	USD	11/20/2009	JP Morgan Chase Bank	(Pay)		0.90%			3.07	%	United Mexican States		N/A			132,534
	25,000,000	USD	12/29/2009	Deutsche Bank AG	Receive		2.25	%		18.64	%	Videocon Loan Facility		25,000,000	USD		(2,954,585	)

See accompanying notes to the financial statements.

20

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	7,000,000	USD	2/5/2010	Deutsche	Receive		4.85	%		40.33	%	Government		7,000,000	USD	$	(1,779,719	)
				Bank AG								of Ukraine
	3,000,000	USD	3/29/2010	JP Morgan Chase Bank	Receive		4.70	%		5.05	%	Arab Republic of Egypt		3,000,000	USD		48,187
	85,000,000	USD	6/20/2010	Deutsche Bank AG	(Pay)		2.10	%		N/A		Reference security within CDX Index		N/A			3,722,292
	12,000,000	USD	6/20/2010	JP Morgan Chase Bank	(Pay)		3.87	%		43.71	%	Republic of Argentina		N/A			4,383,099
	150,000,000	USD	6/20/2010	Deutsche Bank AG	(Pay)		1.47	%		2.67	%	Republic of Brazil		N/A			1,919,480
	12,000,000	USD	6/20/2010	JP Morgan Chase Bank	(Pay)		4.00	%		43.71	%	Republic of Argentina		N/A			4,365,621
	10,000,000	USD	7/20/2010	Deutsche Bank AG	(Pay)		3.77	%		43.50	%	Republic of Argentina		N/A			3,827,826
	6,000,000	USD	7/20/2010	Deutsche Bank AG	(Pay)		3.80	%		43.50	%	Republic of Argentina		N/A			2,294,754
	140,000,000	USD	7/20/2010	UBS AG	(Pay)		0.89	%		5.04	%	Republic of Turkey		N/A			7,632,142
	5,000,000	USD	7/23/2010	Deutsche Bank AG	Receive		4.56	%		38.66	%	Government of Ukraine		5,000,000	USD		(1,605,209	)
	7,000,000	USD	8/5/2010	Deutsche Bank AG	Receive		4.90	%		38.58	%	Government of Ukraine		7,000,000	USD		(2,266,459	)
	3,000,000	USD	8/25/2010	Deutsche Bank AG	Receive		6.47	%		49.36	%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(1,934,553	)
	35,000,000	USD	9/20/2010	JP Morgan Chase Bank	(Pay)		0.70	%		4.38	%	Republic of Philippines		N/A			1,879,652
	50,000,000	USD	9/20/2010	JP Morgan Chase Bank	(Pay)		0.97	%		13.55	%	Gazprom OAO		N/A			8,275,658
	20,000,000	USD	10/18/2010	JP Morgan Chase Bank	Receive		2.00	%		16.67	%	VTB Leasing		20,000,000	USD		(3,898,329	)

See accompanying notes to the financial statements.

21

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	20,000,000	USD	10/20/2010	Goldman Sachs	(Pay)		2.74	%		4.25	%	Petroleos		N/A		$	259,551
												Mexicanos
	5,000,000	USD	10/25/2010	Deutsche Bank AG	Receive		4.60	%		38.38	%	Government of Ukraine		5,000,000	USD		(1,714,053	)
	10,000,000	USD	12/20/2010	JP Morgan Chase Bank	(Pay)		3.57	%		43.51	%	Republic of Argentina		N/A			4,511,584
	5,000,000	USD	12/20/2010	JP Morgan Chase Bank	(Pay)		3.43	%		43.51	%	Republic of Argentina		N/A			2,265,114
	5,000,000	USD	1/25/2011	Deutsche Bank AG	Receive		4.63	%		38.64	%	Government of Ukraine		5,000,000	USD		(1,936,367	)
	7,000,000	USD	2/7/2011	Deutsche Bank AG	Receive		4.95	%		38.71	%	Government of Ukraine		7,000,000	USD		(2,729,425	)
	5,000,000	USD	2/20/2011	Morgan Stanley	(Pay)		2.80	%		43.93	%	Republic of Argentina		N/A			2,473,739
	3,000,000	USD	2/25/2011	Deutsche Bank AG	Receive		6.57	%		48.50	%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(2,040,847	)
	8,000,000	USD	3/20/2011	UBS AG	(Pay)		3.55	%		8.14	%	Republic of Iraq		N/A			530,710
	8,000,000	USD	3/20/2011	Citigroup	(Pay)		3.70	%		7.79	%	Republic of Iraq		N/A			456,763
	5,000,000	USD	4/26/2011	Deutsche Bank AG	Receive		4.66	%		38.44	%	Government of Ukraine		5,000,000	USD		(1,991,508	)
	6,000,000	USD	6/20/2011	JP Morgan Chase Bank	Receive		3.75	%		17.85	%	Republic of Georgia		6,000,000	USD		(1,474,644	)
	10,000,000	USD	6/20/2011	Deutsche Bank AG	(Pay)		1.89	%		26.34	%	Islamic Republic of Pakistan		N/A			3,493,182
	34,000,000	USD	6/20/2011	Deutsche Bank AG	(Pay)		1.35	%		N/A		Reference security within CDX Index		N/A			5,249,175

See accompanying notes to the financial statements.

22

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	11,000,000	USD	6/20/2011	JP Morgan	(Pay)		1.35	%		N/A		Reference		N/A		$	1,698,262
				Chase Bank								security
												within CDX
												Index
	9,000,000	USD	7/17/2011	UBS AG	Receive		5.05	%		38.03	%	Government of Ukraine		9,000,000	USD		(3,771,616	)
	5,000,000	USD	7/25/2011	Deutsche Bank AG	Receive		4.68	%		38.00	%	Government of Ukraine		5,000,000	USD		(2,132,446	)
	7,000,000	USD	8/5/2011	Deutsche Bank AG	Receive		5.00	%		37.96	%	Government of Ukraine		7,000,000	USD		(2,978,400	)
	620,000,000	MXN	8/20/2011	Deutsche Bank AG	Receive		0.40	%		2.58	%	United Mexican States		620,000,000	MXN		(1,889,410	)
	20,000,000	USD	8/20/2011	Deutsche Bank AG	(Pay)		0.57	%		4.13	%	United Mexican States		N/A			1,637,595
	3,000,000	USD	8/25/2011	Deutsche Bank AG	Receive		6.67	%		49.32	%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(2,096,561	)
	7,000,000	USD	10/20/2011	JP Morgan Chase Bank	(Pay)		2.75	%		40.38	%	Republic of Argentina		N/A			3,617,753
	5,000,000	USD	10/25/2011	Deutsche Bank AG	Receive		4.70	%		37.80	%	Government of Ukraine		5,000,000	USD		(2,157,977	)
	19,000,000	USD	10/30/2011	Deutsche Bank AG	Receive		4.00	%		64.02	%	Naftofaz Ukraine		19,000,000	USD		(12,164,071	)
	8,000,000	USD	11/20/2011	JP Morgan Chase Bank	(Pay)		2.16	%		40.02	%	Republic of Argentina		N/A			4,261,807
	7,916,740	USD	12/20/2011	Deutsche Bank AG	Receive		1.60	%		5.67	%	Stemcor UK Ltd.		7,916,740	USD		(132,651	)
	65,000,000	USD	12/20/2011	JP Morgan Chase Bank	(Pay)		1.40	%		N/A		Reference security within CDX Index		N/A			11,556,639
	5,000,000	USD	12/20/2011	JP Morgan Chase Bank	(Pay)		0.66	%		4.53	%	Petroleos Mexicanos		N/A			486,570

See accompanying notes to the financial statements.

23

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	19,000,000	EUR	1/20/2012	Duetsche	(Pay)		0.42	%		15.36	%	Republic of		N/A		$	7,408,442
				Bank AG								Kazakhstan
	8,600,000,000	KZT	1/20/2012	Deutsche Bank AG	Receive		0.32	%		11.57	%	Republic of Kazakhstan		8,600,000,000	KZT		(12,587,553	)
	25,000,000	USD	2/20/2012	JP Morgan Chase Bank	(Pay)		0.96	%		3.48	%	Republic of Brazil		N/A			1,739,891
	3,000,000	USD	2/25/2012	Deutsche Bank AG	Receive		6.75	%		52.14	%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(2,122,820	)
	19,000,000	USD	5/5/2012	Deutsche Bank AG	Receive		4.00	%		49.63	%	Naftofaz Ukraine		19,000,000	USD		(12,374,673	)
	50,000,000	USD	6/20/2012	Morgan Stanley	(Pay)		1.25	%		N/A		Reference security within CDX Index		N/A			9,958,681
	5,000,000	USD	7/30/2012	JP Morgan Chase Bank	Receive		3.05	%		2.46	%	Republic of Chile		5,000,000	USD		105,965
	5,000,000	USD	8/20/2012	JP Morgan Chase Bank	Receive		3.50	%		11.05	%	Republic of Jamaica		5,000,000	USD		(995,744	)
	3,000,000	USD	8/25/2012	Deutsche Bank AG	Receive		6.82	%		51.57	%	Deutsche Bank Loan to Ukrtelekom		3,000,000	USD		(2,134,188	)
	2,000,000	USD	9/20/2012	Goldman Sachs	(Pay)		9.20	%		37.42	%	Republic of Argentina		N/A			833,507
	10,000,000	USD	9/20/2012	JP Morgan Chase Bank	(Pay)		1.25	%		11.13	%	Gazprom OAO		N/A			2,540,083
	85,000,000	PEN	9/20/2012	JP Morgan Chase Bank	Receive		0.92	%		3.37	%	Republic of Peru		85,000,000	PEN		(1,834,585	)
	15,000,000	USD	9/20/2012	JP Morgan Chase Bank	(Pay)		1.15	%		4.13	%	Republic of Peru		N/A			1,315,417
	10,000,000	USD	10/4/2012	JP Morgan Chase Bank	Receive		2.95	%		2.50	%	Republic of Chile		10,000,000	USD		269,138
	4,000,000	USD	10/20/2012	UBS AG	(Pay)		4.13	%		25.59	%	Petroleos de Venezuela		N/A			1,511,715

See accompanying notes to the financial statements.

24

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	15,000,000	USD	10/20/2012	JP Morgan	Receive		0.80	%		3.64	%	Republic of		15,000,000	USD	$	(1,360,611	)
				Chase Bank								Brazil
	4,000,000	USD	10/20/2012	UBS AG	(Pay)		3.90	%		25.59	%	Petroleos de Venezuela		N/A			1,531,873
	20,000,000	USD	10/20/2012	JP Morgan Chase Bank	Receive		0.80	%		3.64	%	Republic of Brazil		20,000,000	USD		(1,814,148	)
	5,000,000	USD	11/5/2012	Deutsche Bank AG	Receive		6.50	%		10.99	%	Republic of Jamaica		5,000,000	USD		(518,228	)
	42,000,000	USD	12/20/2012	Morgan Stanley	(Pay)		1.20	%		1.19	%	Reference security within CDX Index		N/A			(115,960	)
	204,179,760	USD	12/20/2012	Morgan Stanley	Receive		0.71	%		0.58	%	Reference security within CDX Index		204,179,760	USD		1,237,837
	50,000,000	USD	12/20/2012	JP Morgan Chase Bank	(Pay)		1.75	%		N/A		Reference security within CDX Index		N/A			9,962,153
	20,000,000	USD	3/20/2013	Deutsche Bank AG	(Pay)		1.48	%		4.37	%	United Mexican States		N/A			1,841,664
	22,000,000	USD	6/20/2013	Deutsche Bank AG	(Pay)		5.79	%		35.87	%	Republic of Argentina		N/A			11,439,596
	14,000,000	USD	6/20/2013	JP Morgan Chase Bank	Receive		3.72	%		9.82	%	Russia AG Bank		14,000,000	USD		(2,629,450	)
	229,162,350	RUB	6/21/2013	Deutsche Bank AG	Receive		2.35	%		23.47	%	VTB Leasing		229,162,350	RUB		(888,971	)
	11,441,275	EUR	6/24/2013	JP Morgan Chase Bank	Receive		1.37	%		18.12	%	VTB Leasing		11,441,275	EUR		(4,190,755	)
	8,433,786	EUR	6/24/2013	JP Morgan Chase Bank	Receive		1.37	%		18.12	%	VTB Leasing		8,433,786	EUR		(3,089,160	)
	50,000,000	USD	8/20/2013	JP Morgan Chase Bank	(Pay)		1.20	%		4.24	%	Republic of Peru		N/A			5,882,542

See accompanying notes to the financial statements.

25

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)				Market Value
	277,250,000	PEN	8/20/2013	JP Morgan	Receive		0.96	%		3.60	%	Republic of		277,250,000	PEN	$		(8,171,791	)
				Chase Bank								Peru
	80,000,000	USD	10/20/2013	Deutsche Bank AG	Receive		4.05	%		3.86	%	Republic of Brazil		80,000,000	USD			1,767,630
	13,050,000,000	JPY	10/20/2013	Deutsche Bank AG	(Pay)		3.20	%		4.05	%	Republic of Brazil		N/A				1,536,942
	7,830,000,000	JPY	10/20/2013	Deutsche Bank AG	(Pay)		3.95	%		4.05	%	Republic of Brazil		N/A				(1,615,556	)
	130,000,000	USD	10/20/2013	Deutsche Bank AG	Receive		3.30	%		3.86	%	Republic of Brazil		130,000,000	USD			(1,408,172	)
	45,000,000	USD	10/20/2013	Goldman Sachs	(Pay)		12.35	%		35.20	%	Republic of Argentina		N/A				16,466,430
	10,000,000	USD	12/24/2013	JP Morgan Chase Bank	Receive		3.80	%		4.92	%	Republic of Turkey		10,000,000	USD			(378,440	)
	14,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		2.80	%		2.50	%	Hellenic Republic of Greece		N/A				(222,152	)
	14,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		1.68	%		1.86	%	Republic of Italy		N/A				94,650
	39,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		1.49	%		2.45	%	Republic of Austria		N/A				1,610,939
	28,000,000	USD	3/20/2014	Deutsche Bank	(Pay)		1.70	%		1.86	%	Republic of Italy		N/A				165,050
	14,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		1.45	%		1.46	%	United Kingdom Government		N/A				(14,376	)
	14,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		1.85	%		1.86	%	Republic of Italy		N/A				(19,063	)
	39,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		2.39	%		2.50	%	Hellenic Republic of Greece		N/A				148,022
	39,000,000	USD	3/20/2014	Deutsche Bank AG	(Pay)		1.28	%		1.46	%	United Kingdom Government		N/A				289,993

See accompanying notes to the financial statements.

26

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	10,000,000	USD	5/14/2014	Deutsche	Receive		6.64	%		4.90	%	Republic of		10,000,000	USD	$	931,096
				Bank AG								Turkey
	5,000,000	USD	5/19/2014	Deutsche Bank AG	Receive		6.42	%		4.90	%	Republic of Turkey		5,000,000	USD		411,961
	10,000,000	USD	6/16/2014	Deutsche Bank AG	Receive		6.22	%		4.90	%	Republic of Turkey		10,000,000	USD		694,625
	2,000,000	USD	8/24/2014	Deutsche Bank AG	(Pay)		4.25	%		5.33	%	Lebanese Republic		N/A			88,302
	765,000,000	USD	3/20/2015	Deutsche Bank AG	Receive		3.80	%		24.06	%	Bolivarian Republic of Venezuela		765,000,000	USD		(362,877,613	)
	575,500,000	EUR	3/20/2015	Deutsche Bank AG	(Pay)		3.72	%		23.92	%	Venezuela Eurobond		N/A			344,779,676
	300,000,000	EUR	4/20/2015	Deutsche Bank AG	(Pay)		4.32	%		23.89	%	Bolivarian Republic of Venezuela		N/A			174,931,402
	412,500,000	USD	4/20/2015	Deutsche Bank AG	Receive		4.40	%		24.03	%	Bolivarian Republic of Venezuela		412,500,000	USD		(190,479,594	)
	56,950,000,000	COP	11/20/2015	Citigroup	Receive		1.81	%		3.26	%	Republic of Colombia		56,950,000,000	COP		(1,355,491	)
	15,000,000	USD	2/20/2016	Citigroup	(Pay)		2.16	%		4.78	%	Republic of Colombia		N/A			2,080,700
	56,700,000,000	COP	2/20/2016	Citigroup	Receive		1.46	%		3.27	%	Republic of Colombia		56,700,000,000	COP		(1,854,595	)
	114,800,000,000	COP	4/20/2016	Citigroup	Receive		1.33	%		3.28	%	Republic of Colombia		114,800,000,000	COP		(3,885,937	)
	25,000,000	USD	4/20/2016	Citigroup	(Pay)		1.90	%		4.79	%	Republic of Colombia		N/A			3,715,640
	22,000,000	EUR	6/17/2016	Deutsche Bank AG	Receive		5.60	%		24.88	%	Republic of Angola		22,000,000	EUR		(9,317,628	)
	20,000,000	USD	8/20/2016	Deutsche Bank AG	(Pay)		0.87	%		4.55	%	United Mexican States		N/A			4,108,927

See accompanying notes to the financial statements.

27

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	22,000,000	USD	8/20/2016	JP Morgan	Receive		1.99	%		4.05	%	Republic of		22,000,000	USD	$	(2,598,849	)
				Chase Bank								Brazil
	20,000,000	USD	8/20/2016	Citigroup	(Pay)		2.15	%		4.79	%	Republic of Colombia		N/A			2,922,534
	97,680,000,000	COP	8/20/2016	Citigroup	Receive		1.51	%		3.28	%	Republic of Colombia		97,680,000,000	COP		(3,254,935	)
	620,000,000	MXN	8/20/2016	Deutsche Bank AG	Receive		0.61	%		2.85	%	United Mexican States		620,000,000	MXN		(4,462,119	)
	87,500,000	USD	2/20/2017	Deutsche Bank AG	Receive		2.43	%		23.38	%	Bolivarian Republic of Venezuela		87,500,000	USD		(47,482,778	)
	32,000,000	PEN	5/20/2017	Deutsche Bank AG	Receive		0.79	%		3.86	%	Republic of Peru		32,000,000	PEN		(1,658,401	)
	2,500,000	USD	5/20/2017	Deutsche Bank AG	(Pay)		1.05	%		4.53	%	Republic of Peru		N/A			485,122
	35,000,000	USD	7/20/2017	UBS AG	Receive		2.26	%		4.82	%	Republic of Turkey		35,000,000	USD		(5,274,836	)
	4,500,000	USD	7/20/2017	JP Morgan Chase Bank	Receive		3.30	%		10.15	%	Republic of Jamaica		4,500,000	USD		(1,383,661	)
	8,000,000	USD	8/20/2017	JP Morgan Chase Bank	Receive		2.20	%		4.81	%	Republic of Colombia		8,000,000	USD		(1,253,961	)
	17,000,000	USD	9/20/2017	JP Morgan Chase Bank	Receive		1.74	%		4.48	%	Republic of Philippines		17,000,000	USD		(2,786,872	)
	30,000,000	USD	9/20/2017	JP Morgan Chase Bank	Receive		1.77	%		4.48	%	Republic of Philippines		30,000,000	USD		(4,870,789	)
	21,000,000	USD	10/20/2017	Deutsche Bank AG	Receive		1.78	%		10.96	%	Vneshtorg Bank Bond & Loan		21,000,000	USD		(8,573,117	)
	4,000,000	USD	11/20/2017	JP Morgan Chase Bank	Receive		4.85	%		23.09	%	Bolivarian Republic of Venezuela		4,000,000	USD		(1,875,078	)
	4,000,000	USD	11/20/2017	JP Morgan Chase Bank	Receive		4.90	%		23.09	%	Bolivarian Republic of Venezuela		4,000,000	USD		(1,869,242	)

See accompanying notes to the financial statements.

28

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Credit Default Swaps — continued

Notional Amount			Expiration Date	Counterparty	Receive (Pay)u	Annual Premium			Implied Credit Spread (1)			Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)			Market Value
	25,000,000	USD	1/20/2018	Deutsche	Receive		1.50	%		4.11	%	Republic of		25,000,000	USD	$	(4,152,643	)
				Bank AG								Brazil
	45,000,000	USD	10/20/2018	Goldman Sachs	Receive		12.20	%		32.90	%	Republic of Argentina		45,000,000	USD		(18,437,975	)
	10,000,000	USD	12/20/2018	Deutsche Bank AG	Receive		0.44	%		1.46	%	United Kingdom Government		10,000,000	USD		(780,608	)
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		2.61	%		2.40	%	Hellenic Republic of Greece		10,000,000	USD		179,157
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.35	%		1.46	%	United Kingdom Government		10,000,000	USD		(73,112	)
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.70	%		1.81	%	Republic of Italy		10,000,000	USD		(68,102	)
	10,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.62	%		1.81	%	Republic of Italy		10,000,000	USD		(133,396	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.46	%		2.35	%	Republic of Austria		30,000,000	USD		(1,946,302	)
	20,000,000	USD	3/20/2019	Deutsche Bank	Receive		1.66	%		1.81	%	Republic of Italy		20,000,000	USD		(205,724	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		2.25	%		2.40	%	Hellenic Republic of Greece		30,000,000	USD		(303,408	)
	30,000,000	USD	3/20/2019	Deutsche Bank AG	Receive		1.25	%		1.46	%	United Kingdom Government		30,000,000	USD		(474,326	)
	30,000,000	USD	8/15/2031	Goldman Sachs	(Pay)		1.84	%		4.78	%	United Mexican States		N/A			8,208,504
																$	(67,912,724	)
													Premiums to (Pay) Receive			$	(341,102	)

See accompanying notes to the financial statements.

29

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

^u  Receive - Fund receives premium and sells credit protection.
(Pay) - Fund pays premium and buys credit protection.

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

Interest Rate Swaps

Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate			Variable Rate	Market Value
	20,000,000	USD	1/4/2010	JP Morgan Chase Bank	(Pay)		5.11	%	6 month LIBOR	$	(587,080	)
	20,000,000	USD	1/4/2010	JP Morgan Chase Bank	Receive		5.62	%	6 month LIBOR		2,484,145
	2,644,898	USD	12/1/2011	Citigroup	(Pay)		6.32	%	6 month LIBOR		(298,353	)
	75,000,000	USD	12/17/2018	Bank of America	Receive		2.75	%	3 month LIBOR		(3,766,973	)
	244,800,000	PEN	4/21/2014	JP Morgan Chase Bank	Receive		5.03	%	6 month LIBOR		(16,376,845	)
	244,800,000	PEN	4/21/2009	JP Morgan Chase Bank	(Pay)		0.81	%	6 month LIBOR		16,973,675
	80,000,000	PEN	2/19/2010	JP Morgan Chase Bank	(Pay)		3.15	%	6 month LIBOR		3,649,012
	90,000,000,000	KRW	5/29/2010	Bank of America	(Pay)		4.79	%	3 month KRW LIBOR		(1,463,390	)
	51,000,000	BRL	1/2/2013	JP Morgan Chase Bank	Receive		13.80	%	Floating Rate CDI		548,396
										$	1,162,587
									Premiums to (Pay) Receive	$	(718,303	)

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

See accompanying notes to the financial statements.

30

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive	Market Value
	100,000,000	USD	4/10/2009	JP Morgan	3 month	EMBI + Total Return	$	(12,729,201	)
				Chase Bank	LIBOR - 0.20%
	45,335,905	USD	12/19/2011	JP Morgan Chase Bank	CER Index + 1.24%	3 month LIBOR		11,855,285
	27,967,218	USD	12/19/2011	JP Morgan Chase Bank	3 month LIBOR + 0.35%	Return on Prestamos Garatizados		(15,689,191	)
	27,967,218	USD	12/19/2011	JP Morgan Chase Bank	CER Index + 3.59%	3 month LIBOR		6,370,002
	45,797,706	USD	12/19/2011	JP Morgan Chase Bank	3 month LIBOR + 0.35%	Return on Prestamos Garatizados		(27,759,793	)
	300,000,000	RUB	3/26/2017	Morgan Stanley	6 month LIBOR + 0.25%	Return on Sukhoi		(4,746,463	)
							$	(42,699,361	)
						Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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.

BPI - Indemnification payment bonds

CBO - Collateralized Bond Obligation

CDI - Certificado de Deposito Interbabcario

CER - Coeficiente de Estabilizacion de Referencia

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks

EMBI - Emerging Markets Bond Index

EMTN - Euromarket Medium Term Note

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FLIRB - Front Loaded Interest Reduction Bond

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

See accompanying notes to the financial statements.

31

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen

KRW LIBOR - London Interbank Offered Rate denominated in South Korean Won

LIBOR - London Interbank Offered Rate

PDI - Past Due Interest

PIK - Payment In Kind

VRRB - Variable Rate Reduction Bond

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable, step up and step down rate notes are the current interest rates at February 28, 2009, which are subject to change based on the terms of the security, including varying reset dates.

*  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)  Security is in default.

(c)  In July 2005, the Fund entered into litigation against the Government of Argentina ("Argentina") relating to Argentina's failure to make payments on sovereign debt held by the Fund. That debt, which continues to be valued according to the Fund's valuation policy, represented 1.63% of the net assets of the Fund as of February 28, 2009. Judgments were awarded in the Fund's favor on September 24, 2007; however, the Fund's ability to collect on those judgments remains uncertain. Costs associated with this action are being borne by the Fund. (Note 2).

(d)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(e)  All or a portion of this security has been segregated to cover collateral requirements on open swap contracts (Note 2).

(f)  Non-performing. Borrower not currently paying interest.

(g)  Past due maturity payment.

(h)  Underlying investment represents interests in defaulted securities.

Currency Abbreviations:

ARS - Argentine Peso
BRL - Brazilian Dollar
CHF - Swiss Franc
COP - Colombian Peso
DEM - Deutsche Mark
EUR - Euro
FIM - Finnish Markka
FRF - French Franc
GBP - British Pound
JPY - Japanese Yen KRW - South Korean Won
KZT - Kazakhstan Tenge
MXN - Mexican Peso
MYR - Malaysian Ringgit
PEN - Peruvian Sol
RUB - Russian Ruble
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand

See accompanying notes to the financial statements.

32

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $2,537,406,549) (Note 2)	$	1,733,592,089
Investments in affiliated issuers, at value (cost $124,904,720) (Notes 2 and 8)		95,815,114
Foreign currency, at value (cost $1,781,412) (Note 2)		1,451,677
Receivable for investments sold		205,649
Dividends and interest receivable		31,332,760
Unrealized appreciation on open forward currency contracts (Note 2)		32,489,442
Receivable for collateral on open futures contracts (Note 2)		4,836,500
Receivable for open swap contracts (Note 2)		772,595,266
Receivable for closed swap contracts (Note 2)		6,720,000
Receivable for collateral on open swap contracts (Note 2)		82,267,000
Total assets		2,761,305,497
Liabilities:
Payable for investments purchased		30,253,086
Payable for Fund shares repurchased		102,041
Payable to affiliate for (Note 3):
Management fee		490,265
Shareholder service fee		154,988
Trustees and Chief Compliance Officer of GMO Trust fees		6,049
Payable for variation margin on open futures contracts (Note 2)		246
Unrealized depreciation on open forward currency contracts (Note 2)		279,195
Interest payable for open swap contracts		1,280,731
Payable for open swap contracts (Note 2)		882,044,764
Payable for reverse repurchase agreements (Note 2)		1,968,931
Miscellaneous payable		17,475,582
Accrued expenses		798,163
Total liabilities		934,854,041
Net assets	$	1,826,451,456

See accompanying notes to the financial statements.

33

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009 — (Continued)

Net assets consist of:
Paid-in capital	$	2,868,866,689
Distributions in excess of net investment income		(24,595,647	)
Accumulated net realized loss		(105,486,716	)
Net unrealized depreciation		(912,332,870	)
	$	1,826,451,456
Net assets attributable to:
Class III shares	$	535,193,509
Class IV shares	$	1,291,257,947
Shares outstanding:
Class III		91,489,778
Class IV		220,877,215
Net asset value per share:
Class III	$	5.85
Class IV	$	5.85

See accompanying notes to the financial statements.

34

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Interest	$	167,001,550
Dividends from affiliated issuers (Note 8)		4,463,272
Dividends		945,207
Total investment income		172,410,029
Expenses:
Management fee (Note 3)		8,355,373
Interest expense (Note 2)		5,623,994
Shareholder service fee – Class III (Note 3)		847,858
Shareholder service fee – Class IV (Note 3)		1,822,011
Custodian, fund accounting agent and transfer agent fees		1,564,287
Audit and tax fees		146,887
Legal fees		212,267
Trustees fees and related expenses (Note 3)		85,029
Registration fees		14,080
Miscellaneous		29,515
Total expenses		18,701,301
Expense reductions (Note 2)		(279	)
Net expenses		18,701,022
Net investment income (loss)		153,709,007
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(40,945,772	)
Investments in affiliated issuers		(9,923,602	)
Realized gains distributions from affiliated issuers (Note 8)		48,484
Closed futures contracts		(197,363	)
Closed swap contracts		14,220,658
Written options		(13,738,332	)
Foreign currency, forward contracts and foreign currency related transactions		24,369,632
Net realized gain (loss)		(26,166,295	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(947,911,326	)
Investments in affiliated issuers		(21,979,883	)
Open futures contracts		(29,089	)
Open swap contracts		(125,741,201	)
Written options		21,372,283
Foreign currency, forward contracts and foreign currency related transactions		47,425,544
Net unrealized gain (loss)		(1,026,863,672	)
Net realized and unrealized gain (loss)		(1,053,029,967	)
Net increase (decrease) in net assets resulting from operations	$	(899,320,960	)

See accompanying notes to the financial statements.

35

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	153,709,007		$	189,122,789
Net realized gain (loss)		(26,166,295	)		109,322,686
Change in net unrealized appreciation (depreciation)		(1,026,863,672	)		(151,247,533	)
Net increase (decrease) in net assets from operations		(899,320,960	)		147,197,942
Distributions to shareholders from:
Net investment income
Class III		(44,778,489	)		(60,758,567	)
Class IV		(170,454,066	)		(147,592,816	)
Total distributions from net investment income		(215,232,555	)		(208,351,383	)
Net realized gains
Class III		(14,329,630	)		(37,184,110	)
Class IV		(44,349,438	)		(85,627,144	)
Total distributions from net realized gains		(58,679,068	)		(122,811,254	)
		(273,911,623	)		(331,162,637	)
Net share transactions (Note 7):
Class III		74,710,846			(87,026,767	)
Class IV		75,473,817			246,523,243
Increase (decrease) in net assets resulting from net share transactions		150,184,663			159,496,476
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		95,851			614,140
Class IV		301,304			127,854
Increase in net assets resulting from purchase premiums and redemption fees		397,155			741,994
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		150,581,818			160,238,470
Total increase (decrease) in net assets		(1,022,650,765	)		(23,726,225	)
Net assets:
Beginning of period		2,849,102,221			2,872,828,446
End of period (including distributions in excess of net investment income of $24,595,647 and $38,763,889, respectively)	$	1,826,451,456		$	2,849,102,221

See accompanying notes to the financial statements.

36

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	10.06		$	10.73		$	11.30		$	11.09		$	10.51
Income (loss) from investment operations:
Net investment income (loss)†		0.54			0.68			0.86			0.88			0.89
Net realized and unrealized gain (loss)		(3.77	)		(0.13	)		0.30			1.14			1.16
Total from investment operations		(3.23	)		0.55			1.16			2.02			2.05
Less distributions to shareholders:
From net investment income		(0.77	)		(0.76	)		(0.94	)		(1.26	)		(1.18	)
From net realized gains		(0.21	)		(0.46	)		(0.79	)		(0.55	)		(0.29	)
Total distributions		(0.98	)		(1.22	)		(1.73	)		(1.81	)		(1.47	)
Net asset value, end of period	$	5.85		$	10.06		$	10.73		$	11.30		$	11.09
Total Return(a)		(32.75	)%		5.07	%		10.98	%		19.50	%		20.58	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	535,194		$	734,921		$	876,598		$	1,020,976		$	1,088,609
Net operating expenses to average daily net assets(b)		0.59	%(c)		0.57	%(c)		0.57	%		0.57	%		0.57	%
Interest expense to average daily net assets(d)		0.23	%		0.74	%		0.48	%		0.22	%		0.08	%
Total net expenses to average daily net assets		0.82	%(c)		1.31	%(c)		1.05	%		0.79	%		0.65	%
Net investment income to average daily net assets		6.36	%		6.36	%		7.91	%		7.75	%		8.22	%
Portfolio turnover rate		38	%		53	%		83	%		144	%		121	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(e)	$	0.01		$	0.01		$	0.01		$	0.01

(a)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder and assumes the effect of reinvested distributions.

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

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

(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)  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.

37

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	10.06		$	10.73		$	11.30		$	11.09		$	10.51
Income (loss) from investment operations:
Net investment income (loss)†		0.53			0.69			0.87			0.88			0.90
Net realized and unrealized gain (loss)		(3.76	)		(0.13	)		0.29			1.15			1.16
Total from investment operations		(3.23	)		0.56			1.16			2.03			2.06
Less distributions to shareholders:
From net investment income		(0.77	)		(0.77	)		(0.94	)		(1.27	)		(1.19	)
From net realized gains		(0.21	)		(0.46	)		(0.79	)		(0.55	)		(0.29	)
Total distributions		(0.98	)		(1.23	)		(1.73	)		(1.82	)		(1.48	)
Net asset value, end of period	$	5.85		$	10.06		$	10.73		$	11.30		$	11.09
Total Return(a)		(32.66	)%		5.13	%		11.06	%		19.57	%		20.64	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,291,258		$	2,114,181		$	1,996,230		$	1,799,792		$	1,550,402
Net operating expenses to average daily net assets(b)		0.54	%(c)		0.53	%(c)		0.52	%		0.52	%		0.52	%
Interest expense to average daily net assets(d)		0.23	%		0.74	%		0.48	%		0.22	%		0.08	%
Total net expenses to average daily net assets		0.77	%(c)		1.27	%(c)		1.00	%		0.74	%		0.60	%
Net investment income to average daily net assets		6.46	%		6.45	%		7.97	%		7.75	%		8.29	%
Portfolio turnover rate		38	%		53	%		83	%		144	%		121	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(e)	$	0.00	(e)	$	0.01		$	0.00	(e)	$	0.01

(a)  Calculation excludes purchase premiums and redemption fees which are borne by the shareholder and assumes the effect of reinvested distributions.

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

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

(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)  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.

38

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 (EMBIG). The Fund invests primarily in sovereign debt of emerging countries, although it may also make investments in entities related to, but not guaranteed by emerging countries, or in entities wholly unrelated to emerging countries. Such investments may be either direct or indirect. Direct investments involve the purchase of a debt instrument. Indirect investments typically involve the pairing of a derivative instrument with a high-quality cash investment to create an economic exposure similar to that of a direct investment. The Fund typically uses credit default swaps in this instance to gain the desired risk exposure, although the Fund may also purchase credit default swaps as a form of insurance against adverse credit events. Further, the related cash investment may include domestic or foreign fixed income securities, including asset-backed securities issued by governments and private issuers, directly or indirectly through the purchase of shares of the GMO Short Duration Collateral Fund. The Fund may invest a substantial portion of its assets in below investment grade securities (also known as "junk bonds"). The Fund's investment program is subject to many risks, including market risk, foreign investment risk, credit and counterparty risk, derivatives risk, leveraging risk, liquidity risk, and high yield risk.

Throughout the year ended February 28, 2009, 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 directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

39

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

The Fund currently limits subscriptions due to capacity considerations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material. For information about the pricing of some specific positions (e.g. swaps) see relevant descriptions below.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 32.38% of the net

40

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $48,484 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued certain debt securities using a specified spread above the country specific LIBOR rate. The Fund certain valued debt securities using bids received from primary pricing sources. The Fund valued certain debt securities using bids received from primary pricing sources adjusted by a specified discount for liquidity considerations. The Fund valued certain debt securities using comparable securities issued by the same country adjusted by a specified spread. The Fund also valued certain credit default swaps using industry standard models (or non-conventional models to the extent industry standard models are not appropriate) and inputs from pricing vendors.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

41

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	29,339,844	$	—
Level 2 - Other Significant Observable Inputs		279,763,606		53,660,525
Level 3 - Significant Unobservable Inputs		1,520,303,753		751,424,183
Total	$	1,829,407,203	$	805,084,708

*  Other financial instruments include forward currency contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(29,089	)
Level 2 - Other Significant Observable Inputs		—		(68,007,293	)
Level 3 - Significant Unobservable Inputs		—		(814,316,666	)
Total	$	—	$	(882,353,048	)

**  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	139,080,487		$	(5,866,346	)
Accrued discounts/premiums		26,672,999			—
Realized gain (loss)		(30,597,141	)		(1,670,319	)
Realized gain distributions received		37,043			—
Realized gain distributions paid		(48,484	)		—
Change in unrealized appreciation/depreciation		(840,521,996	)		(55,006,594	)
Net purchases (sales)		26,744,986			1,670,319
Net transfers in and/or out of Level 3		2,198,935,859			(2,019,543	)
Balance as of February 28, 2009	$	1,520,303,753		$	(62,892,483	)

***  Other financial instruments include swap agreements.

42

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. Losses may arise from changes in the value of the underlying instrument if the

43

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund is unable to liquidate a futures position due to an illiquid secondary market for the contract 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 (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases (calls) or decreases (puts) during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts outstanding at the end of the period.

For the year ended February 28, 2009, the Fund's investment activity in options contracts written by the Fund was as follows:

	Puts				Calls
	Principal Amount of Contracts		Premiums		Principal Amount of Contracts			Premiums
Outstanding, beginning of year	$	—	$	—	$	(115,000,000	)	$	(2,060,625	)
Options written		—		—		—			—
Options exercised		—		—		70,000,000			1,470,000
Options expired		—		—		45,000,000			590,625
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—	$	—		$	—

44

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. Options contracts purchased by the Fund and outstanding at the end of the period are listed in the Fund's Schedule of Investments.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Loan agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans 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, (i) 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 participation in the loan agreement and only upon receipt by the lender of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may be subject to the credit risk of both the borrower and the lender that has sold the participation in 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. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as

45

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure (or increases negative exposure) in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default or other credit events. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

46

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 assets equal in value to its obligations under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). The market value of the securities the Fund has sold is determined daily and any additional

47

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

required collateral is allocated to or sent by the Fund on the next business day. As of February 28, 2009, the Fund had entered into reverse repurchase agreements, plus accrued interest, amounting to $1,968,931, collateralized by securities with a market value, plus accrued interest, of $2,000,000. Reverse 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 qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, differing treatment for defaulted bonds, foreign currency transactions, partnership interest tax allocations, losses on wash sale transactions and amortization and accretion on debt securities.

48

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	75,691,790	$	(75,691,790	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	216,864,234	$	209,641,890
Net long-term capital gain		57,047,389		121,520,747
Total distributions	$	273,911,623	$	331,162,637

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 34,073,989

As of February 28, 2009, 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:

2/28/2017	$	(105,395,789	)
Total	$	(105,395,789	)

49

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	2,682,467,959	$	45,779,590	$	(898,840,346	)	$	(853,060,756	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

50

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 August 31, 2008, the premium on cash purchases of Fund shares was 0.50% of the amount invested and the fee on cash redemptions was 0.25% of the amount redeemed. Effective October 8, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the premium on cash purchases of Fund shares was 0.50% of the amount invested and the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund 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 Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

The Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described above.

Investment risks

Investments in emerging country debt present risks that are not presented by many other securities. Many emerging countries are subject to 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 expropriate or impose various types of foreign currency regulations or controls that impede the Fund's

51

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

ability to repatriate amounts it receives. The Fund may acquire interests in securities of some countries based on the Manager's expectations that conditions in those countries will improve. 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.

The Fund has exposure to many countries that subject it to a significant risk of default. Its largest exposures are in Philippines, Russia, Venezuela and Brazil. The Fund's financial position would be adversely affected in the event of a default by any of these countries on obligations held by the Fund, or on obligations issued by them generally. The Fund also makes extensive use of derivatives, which rely on the creditworthiness of the counterparty.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

Other matters

In July 2005, the Fund entered into litigation against the Government of Argentina ("Argentina") relating to Argentina's failure to make payments on sovereign debt held by the Fund. That debt, which continues to be valued according to the Fund's valuation policy, represented 1.63% of the net assets of the Fund as of February 28, 2009. Judgments were awarded in the Fund's favor on September 24, 2007; however, the Fund's ability to collect on those judgments remains uncertain. Costs associated with this action are being borne by the Fund.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.35% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on 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.

52

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund incurs fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2009, 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 Trust's independent Trustees and Chief Compliance Officer ("CCO") during the year ended February 28, 2009 was $79,808 and $17,036, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, cost of purchases and proceeds from sales of investments, other than short-term obligations, were as follows:

	Purchases		Sales
U.S. Government securities	$	482,911,232	$	311,034,462
Investments (non-U.S. Government securities)		452,486,780		1,168,829,407

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 58.31% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned

53

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.25% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 12.19% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		29,283,609		$	176,799,786			11,479,041		$	123,985,827
Shares issued to shareholders in reinvestment of distributions		8,768,892			57,123,655			9,161,344			94,844,498
Shares repurchased		(19,580,527	)		(159,212,595	)		(29,333,184	)		(305,857,092	)
Purchase premiums		—			3,273			—			178,678
Redemption fees		—			92,578			—			435,462
Net increase (decrease)		18,471,974		$	74,806,697			(8,692,799	)	$	(86,412,627	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		8,624,354		$	56,358,374			7,884,742		$	82,812,310
Shares issued to shareholders in reinvestment of distributions		32,907,567			209,783,649			22,455,867			232,182,559
Shares repurchased		(30,713,578	)		(190,668,206	)		(6,365,177	)		(68,471,626	)
Purchase premiums		—			7,071			—			39,052
Redemption fees		—			294,233			—			88,802
Net increase (decrease)		10,818,343		$	75,775,121			23,975,432		$	246,651,097

54

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	140,673,840	$	62,669,168	$	106,000,000	$	4,463,272	u	$	—	$	67,991,002
GMO Special Purpose Holding Fund		26,976		—		—		—			48,484		15,629
GMO World Opportunity Overlay Fund		49,665,090		—		10,500,001		—			—		27,808,483
Totals	$	190,365,906	$	62,669,168	$	116,500,001	$	4,463,272		$	48,484	$	95,815,114

^u  The Fund received total distributions in the amount of $13,279,747 of which $8,816,475 was a return of capital.

55

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, 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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

56

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.72	%	$	1,000.00	$	689.90	$	3.02
2) Hypothetical		0.72	%	$	1,000.00	$	1,021.22	$	3.61
Class IV
1) Actual		0.67	%	$	1,000.00	$	690.70	$	2.81
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.47	$	3.36

*  Expenses are calculated using each Class's annualized expense ratio (including interest expense and indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

57

GMO Emerging Country Debt Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $57,047,389 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 28, 2009, $18,547,920 and $1,601,594, respectively, or if determined to be different, the qualified interest income and qualified short-term capital gains of such year.

58

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

59

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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

60

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

61

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

62

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

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 -46.1% for the fiscal year ended February 28, 2009, as compared to -50.2% for the Fund's benchmark, the MSCI EAFE Index. During the fiscal year the Fund was exposed to global equity securities through its investment in underlying GMO mutual funds.

Implementation was positive, with both International Intrinsic Value Fund and International Growth Equity Fund outperforming their benchmarks. Asset allocation was slightly negative due to the Fund's overweight in emerging equities for part of the year.

Asset allocation detracted 2.3%. The Fund's overweights to emerging market equities and international value equities were the primary drivers of the relative underperformance.

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 .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 International Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.7	%
Short-Term Investments		3.4
Rights and Warrants		0.0
Preferred Stocks		0.0
Forward Currency Contracts		(0.5	)
Futures		(0.7	)
Other		3.1
		100.0	%
Country/Region Summary**	% of Investments
Japan		28.2	%
Euro Region***		25.7
United Kingdom		21.8
Switzerland		11.9
Australia		2.9
Canada		2.9
Hong Kong		2.4
Denmark		1.4
Singapore		1.3
Sweden		1.0
Norway		0.4
New Zealand		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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	652,133	GMO Flexible Equities Fund, Class VI		10,036,327
	14,146,977	GMO International Growth Equity Fund, Class IV		204,565,281
	13,907,756	GMO International Intrinsic Value Fund, Class IV		194,708,590
		TOTAL MUTUAL FUNDS (COST $859,372,794)		409,310,198
		SHORT-TERM INVESTMENTS — 0.0%
	19,160	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		19,160
		TOTAL SHORT-TERM INVESTMENTS (COST $19,160)		19,160
		TOTAL INVESTMENTS — 100.0%(Cost $859,391,954)		409,329,358
		Other Assets and Liabilities (net) — (0.0%)		(51,085	)
		TOTAL NET ASSETS — 100.0%	$	409,278,273

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 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $19,160) (Note 2)	$	19,160
Investments in affiliated issuers, at value (cost $859,372,794) (Notes 2 and 8)		409,310,198
Receivable for Fund shares sold		71,736
Receivable for expenses reimbursed by Manager (Note 3)		3,976
Total assets		409,405,070
Liabilities:
Payable for investments purchased		71,736
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,622
Accrued expenses		53,439
Total liabilities		126,797
Net assets	$	409,278,273
Net assets consist of:
Paid-in capital	$	902,497,581
Accumulated net realized loss		(43,156,712	)
Net unrealized depreciation		(450,062,596	)
	$	409,278,273
Net assets attributable to:
Class III shares	$	409,278,273
Shares outstanding:
Class III		44,507,738
Net asset value per share:
Class III	$	9.20

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 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	24,902,057
Interest		324
Total investment income		24,902,381
Expenses:
Custodian, fund accounting agent and transfer agent fees		30,618
Audit and tax fees		33,380
Legal fees		15,390
Trustees fees and related expenses (Note 3)		9,149
Registration fees		3,800
Miscellaneous		7,803
Total expenses		100,140
Fees and expenses reimbursed by Manager (Note 3)		(86,583	)
Expense reductions (Note 2)		(15,122	)
Net expenses		(1,565	)
Net investment income (loss)		24,903,946
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(58,235,039	)
Realized gains distributions from affiliated issuers (Note 8)		41,343,170
Net realized gain (loss)		(16,891,869	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(351,591,999	)
Net realized and unrealized gain (loss)		(368,483,868	)
Net increase (decrease) in net assets resulting from operations	$	(343,579,922	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	24,903,946		$	13,263,942
Net realized gain (loss)		(16,891,869	)		98,425,498
Change in net unrealized appreciation (depreciation)		(351,591,999	)		(103,922,554	)
Net increase (decrease) in net assets from operations		(343,579,922	)		7,766,886
Distributions to shareholders from:
Net investment income
Class III		(24,913,805	)		(38,253,569	)
Net realized gains
Class III		(81,291,869	)		(36,477,386	)
		(106,205,674	)		(74,730,955	)
Net share transactions (Note 7):
Class III		140,586,628			344,825,641
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		87,418			96,754
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		140,674,046			344,922,395
Total increase (decrease) in net assets		(309,111,550	)		277,958,326
Net assets:
Beginning of period		718,389,823			440,431,497
End of period	$	409,278,273		$	718,389,823

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	20.63		$	22.16		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.65			0.47			0.53
Net realized and unrealized gain (loss)		(9.20	)		0.52			2.45
Total from investment operations		(8.55	)		0.99			2.98
Less distributions to shareholders:
From net investment income		(0.62	)		(1.24	)		(0.72	)
From net realized gains		(2.26	)		(1.28	)		(0.10	)
Total distributions		(2.88	)		(2.52	)		(0.82	)
Net asset value, end of period	$	9.20		$	20.63		$	22.16
Total Return(c)		(46.05	)%		3.57	%		14.93	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	409,278		$	718,390		$	440,431
Net expenses to average daily net assets(d)(e)		0.00	%(f)		0.00	%(f)		0.00	%*
Net investment income to average daily net assets(b)		4.12	%		2.04	%		3.32	%*
Portfolio turnover rate		33	%		4	%		1	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.02	%		0.03	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(g)	$	0.00	(g)	$	0.01

(a)  Period from June 5, 2006 (commencement of operations) through February 28, 2007.

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

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

(d)  Net expenses to average daily net assets were less than 0.01%.

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

(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.

6

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, GMO Flexible Equities 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. Shares of GMO Flexible Equities Fund are not publicly available for direct purchase.

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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

7

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 86.61% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	399,293,031	$	—
Level 2 - Other Significant Observable Inputs		10,036,327		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	409,329,358	$	—

8

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing

9

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	9,859	$	(1,343	)	$	(8,516	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	24,919,575	$	39,207,726
Net long-term capital gain		81,286,099		35,523,229
Total distributions	$	106,205,674	$	74,730,955

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

As of February 28, 2009, the Fund elected to defer March 1, 2009 post-October capital losses of $7,394,778.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	895,153,888	$	—	$	(485,824,530	)	$	(485,824,530	)

10

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the manager has a conflict in allocating among the underlying funds (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. 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

Effective June 30, 2008, the premium on cash purchases of Fund shares was changed to 0.04% of the amount invested and the fee on cash redemptions was changed to 0.02% of the amount redeemed. Effective September 30, 2008, the Fund no longer charged a premium on cash purchases or fee on cash redemptions of the amount invested or redeemed. Effective October 21, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.04% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases of Fund shares were each 0.04% of the amount invested or redeemed. The level of purchase premium 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

11

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

fund). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or a portion of the redemption fees may be waived at the Manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

12

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund a management fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth are affected by the managers asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.517	%		0.089	%		0.606	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $7,117 and $4,407, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $299,985,617 and $199,237,470, respectively.

13

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 22.91% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		9,740,750		$	162,721,575			12,892,226		$	299,095,066
Shares issued to shareholders in reinvestment of distributions		7,405,391			104,659,498			3,158,687			72,167,816
Shares repurchased		(7,459,920	)		(126,794,445	)		(1,108,147	)		(26,437,241	)
Purchase premiums		—			55,087			—			89,316
Redemption fees		—			32,331			—			7,438
Net increase (decrease)		9,686,221		$	140,674,046			14,942,766		$	344,922,395

14

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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 IV	$	—	$	16,680,728	$	14,705,818	$	—	$	299,278	$	—
GMO Emerging Markets Opportunities Fund, Class IV		52,923,870		10,283,374		50,085,676		212,954		10,070,419		—
GMO Flexible Equities Fund, Class VI		—		13,029,066		—		1,597		—		10,036,327
GMO International Growth Equity Fund, Class IV		336,900,951		126,249,024		74,644,816		11,881,046		11,980,329		204,565,281
GMO International Intrinsic Value Fund, Class IV		328,564,268		133,743,425		59,801,160		12,806,460		18,993,144		194,708,590
Totals	$	718,389,089	$	299,985,617	$	199,237,470	$	24,902,057	$	41,343,170	$	409,310,198

15

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

16

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.60	%	$	1,000.00	$	587.00	$	2.36
2) Hypothetical		0.60	%	$	1,000.00	$	1,021.82	$	3.01

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

17

GMO International Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $81,286,099 from long-term capital gains.

For taxable, non-corporate shareholders, 65.94% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

20

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

21

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

22

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

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 -32.4% for the fiscal year ended February 28, 2009, as compared to -43.5% 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 positive, as the GMO U.S. Core Equity, GMO U.S. Quality Equity, and GMO U.S. Small/Mid Cap Value Funds outperformed their respective benchmarks. Asset allocation was relatively neutral during the period.

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 .02% on the purchase and .02% 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 + 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.7	%
Short-Term Investments		3.0
Futures		(0.2	)
Other		2.5
		100.0	%

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

1

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	4,104,850	GMO U.S. Core Equity Fund, Class VI		31,320,002
	2,604,864	GMO U.S. Quality Equity Fund, Class VI		36,936,978
	71,932	GMO U.S. Small/Mid Cap Growth Fund, Class III		542,365
	139,529	GMO U.S. Small/Mid Cap Value Fund, Class III		619,508
		TOTAL MUTUAL FUNDS (COST $109,572,657)		69,418,853
		SHORT-TERM INVESTMENTS — 0.0%
	18,801	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		18,801
		TOTAL SHORT-TERM INVESTMENTS (COST $18,801)		18,801
		TOTAL INVESTMENTS — 100.0% (Cost $109,591,458)		69,437,654
		Other Assets and Liabilities (net) — (0.0%)		(22,199	)
		TOTAL NET ASSETS — 100.0%	$	69,415,455

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 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $18,801) (Note 2)	$	18,801
Investments in affiliated issuers, at value (cost $109,572,657) (Notes 2 and 8)		69,418,853
Receivable for expenses reimbursed by Manager (Note 3)		7,410
Total assets		69,445,064
Liabilities:
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		262
Accrued expenses		29,347
Total liabilities		29,609
Net assets	$	69,415,455
Net assets consist of:
Paid-in capital	$	117,979,408
Distributions in excesss of net realized gain		(8,410,149	)
Net unrealized depreciation		(40,153,804	)
	$	69,415,455
Net assets attributable to:
Class III shares	$	69,415,455
Shares outstanding:
Class III		20,959,119
Net asset value per share:
Class III	$	3.31

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 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	1,642,605
Interest		192
Total investment income		1,642,797
Expenses:
Custodian, fund accounting agent and transfer agent fees		8,114
Audit and tax fees		35,521
Legal fees		1,569
Trustees fees and related expenses (Note 3)		1,026
Registration fees		5,990
Miscellaneous		2,006
Total expenses		54,226
Fees and expenses reimbursed by Manager (Note 3)		(52,597	)
Expense reductions (Note 2)		(989	)
Net expenses		640
Net investment income (loss)		1,642,157
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(8,121,992	)
Realized gains distributions from affiliated issuers (Note 8)		225,985
Net realized gain (loss)		(7,896,007	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(27,592,432	)
Net realized and unrealized gain (loss)		(35,488,439	)
Net increase (decrease) in net assets resulting from operations	$	(33,846,282	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	1,642,157		$	2,248,159
Net realized gain (loss)		(7,896,007	)		11,547,121
Change in net unrealized appreciation (depreciation)		(27,592,432	)		(18,144,547	)
Net increase (decrease) in net assets from operations		(33,846,282	)		(4,349,267	)
Distributions to shareholders from:
Net investment income
Class III		(1,637,551	)		(5,352,652	)
Net realized gains
Class III		(1,644,462	)		(11,494,628	)
		(3,282,013	)		(16,847,280	)
Net share transactions (Note 7):
Class III		11,468,444			(33,069,596	)
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		8,571			20,815
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		11,477,015			(33,048,781	)
Total increase (decrease) in net assets		(25,651,280	)		(54,245,328	)
Net assets:
Beginning of period		95,066,735			149,312,063
End of period	$	69,415,455		$	95,066,735

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	5.11		$	6.38		$	6.56		$	6.41		$	6.40
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.09			0.11			0.10			0.10			0.11
Net realized and unrealized gain (loss)		(1.70	)		(0.42	)		0.28			0.31			0.34
Total from investment operations		(1.61	)		(0.31	)		0.38			0.41			0.45
Less distributions to shareholders:
From net investment income		(0.08	)		(0.32	)		(0.15	)		(0.12	)		(0.14	)
From net realized gains		(0.11	)		(0.64	)		(0.41	)		(0.14	)		(0.30	)
Total distributions		(0.19	)		(0.96	)		0.56			(0.26	)		(0.44	)
Net asset value, end of period	$	3.31		$	5.11		$	6.38		$	6.56		$	6.41
Total Return(b)		(32.42	)%		(6.43	)%		6.48	%		6.45	%		7.18	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	69,415		$	95,067		$	149,312		$	173,146		$	151,378
Net expenses to average daily net assets(c)		0.00	%(d)(e)		0.00	%(d)(e)		0.04	%		0.01	%		0.00	%(e)
Net investment income to average daily net assets(a)		1.94	%		1.78	%		1.63	%		1.52	%		1.75	%
Portfolio turnover rate		39	%		26	%		35	%		13	%		16	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.06	%		0.04	%		0.18	%		0.51	%		0.54	%
Purchase premiums and redemption fees consisted of the following per share amounts:(f)†	$	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. 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)  Net expenses were less than 0.01%.

(f)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

6

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, and also may invest in shares of GMO Flexible Equities Fund (collectively, the "underlying Funds"). The Fund seeks exposure to U.S. equity 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. Shares of GMO Flexible Equities Fund are not publicly available for direct purchase.

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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 U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

determined in good faith by the Trustees or 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	69,437,654	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	69,437,654	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

8

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards 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 28, 2009. The financial highlights exclude these adjustments.

Distributions in Excess of Net Investment Income			Distributions in Excess of Net Realized Gain		Paid-in Capital
$	(4,606	)	$	9,376	$	(4,770	)

9

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	1,646,927	$	5,350,424
Net long-term capital gain		1,635,086		11,496,856
Total distributions	$	3,282,013	$	16,847,280

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

As of February 28, 2009, 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	)
2/28/2017		(4,328,424	)
Total	$	(4,464,616	)

As of February 28, 2009, the Fund elected to defer March 1, 2009 post-October capital losses of $62,690.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	113,474,300	$	—	$	(44,036,646	)	$	(44,036,646	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

10

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the Manager has a conflict in allocating among the underlying funds. (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. 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

Effective June 30, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each changed to 0.01% of the amount invested or redeemed. Effective September 30, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.02% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases and fee on cash redemptions were each 0.02% of the amount invested or redeemed. 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). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or portion of the redemption fees may be waived at the manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the

11

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges no premium for reinvested distributions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund an advisory fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.322	%		0.057	%		0.379	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $995 and $603, respectively. The compensation and expenses of the

12

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $43,901,715 and $33,833,587, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 69.32% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		7,356,216		$	34,747,429			1,644,319		$	9,739,477
Shares issued to shareholders in reinvestment of distributions		743,764			3,203,902			2,858,946			16,847,279
Shares repurchased		(5,738,257	)		(26,482,887	)		(9,315,683	)		(59,656,352	)
Purchase premiums		—			3,848			—			2,918
Redemption fees		—			4,723			—			17,897
Net increase (decrease)		2,361,723		$	11,477,015			(4,812,418	)	$	(33,048,781	)

13

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of affiliated issuers during the year ended February 28, 2009 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	$	56,188,236	$	17,090,524	$	23,593,098	$	779,123	$	—	$	31,320,002
GMO U.S. Quality Equity Fund, Class VI		36,390,514		26,792,904		9,790,489		845,195		225,985		36,936,978
GMO U.S. Small/Mid Cap Growth Fund, Class III		1,229,704		3,346		225,000		3,346		—		542,365
GMO U.S. Small/Mid Cap Value Fund, Class III		1,256,760		14,941		225,000		14,941		—		619,508
Totals	$	95,065,214	$	43,901,715	$	33,833,587	$	1,642,605	$	225,985	$	69,418,853

14

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 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

15

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	679.90	$	1.58
2) Hypothetical		0.38	%	$	1,000.00	$	1,022.91	$	1.91

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

16

GMO U.S. Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $1,635,086 from long-term capital gains.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

19

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

20

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

21

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

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 -38.6% for the fiscal year ended February 28, 2009, as compared to -47.1% for the Fund's benchmark, the MSCI World Index. During the fiscal year the Fund was fully exposed to global equity securities through its investment in underlying GMO mutual funds.

Implementation was positive, with U.S. Quality Equity Fund and U.S. Core Equity Fund outperforming their benchmarks by large amounts and International Intrinsic Value Fund and International Growth Equity Fund and Emerging Markets Opportunities Fund also outperforming. Emerging Markets Fund and Flexible Equities Fund underperformed their benchmarks.

Asset allocation was also positive, driven by the Fund's overweight to U.S. equities over the course of the year.

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 .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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		94.6	%
Short-Term Investments		3.3
Rights and Warrants		0.0
Preferred Stocks		0.0
Forward Currency Contracts		(0.2	)
Futures		(0.4	)
Other		2.7
		100.0	%
Country / Region Summary**	% of Investments
United States		56.9	%
Japan		13.0
Euro Region***		11.9
United Kingdom		9.2
Switzerland		5.1
Canada		1.2
Hong Kong		1.0
Denmark		0.6
Singapore		0.5
Sweden		0.4
Norway		0.2
		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 World Opportunities Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	950,700	GMO Flexible Equities Fund, Class VI		14,631,268
	10,115,855	GMO International Growth Equity Fund, Class IV		146,275,269
	10,006,146	GMO International Intrinsic Value Fund, Class IV		140,086,040
	16,034,561	GMO U.S. Core Equity Fund, Class VI		122,343,703
	19,408,226	GMO U.S. Quality Equity Fund, Class VI		275,208,643
		TOTAL MUTUAL FUNDS (COST $1,185,295,156)		698,544,923
		SHORT-TERM INVESTMENTS — 0.0%
	30,959	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		30,959
		TOTAL SHORT-TERM INVESTMENTS (COST $30,959)		30,959
		TOTAL INVESTMENTS — 100.0%(Cost $1,185,326,115)		698,575,882
		Other Assets and Liabilities (net) — (0.0%)		(51,006	)
		TOTAL NET ASSETS — 100.0%	$	698,524,876

See accompanying notes to the financial statements.

2

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $30,959) (Note 2)	$	30,959
Investments in affiliated issuers, at value (cost $1,185,295,156) (Notes 2 and 8)		698,544,923
Receivable for Fund shares sold		9,378,790
Receivable for expenses reimbursed by Manager (Note 3)		6,776
Total assets		707,961,448
Liabilities:
Payable for investments purchased		9,378,790
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		2,465
Accrued expenses		55,317
Total liabilities		9,436,572
Net assets	$	698,524,876
Net assets consist of:
Paid-in capital	$	1,253,057,855
Distributions in excess of net realized gain		(67,782,746	)
Net unrealized depreciation		(486,750,233	)
	$	698,524,876
Net assets attributable to:
Class III shares	$	698,524,876
Shares outstanding:
Class III		56,829,828
Net asset value per share:
Class III	$	12.29

See accompanying notes to the financial statements.

3

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	27,365,491
Interest		457
Total investment income		27,365,948
Expenses:
Custodian, fund accounting agent and transfer agent fees		46,502
Audit and tax fees		33,380
Legal fees		24,274
Trustees fees and related expenses (Note 3)		14,095
Registration fees		4,375
Miscellaneous		11,870
Total expenses		134,496
Fees and expenses reimbursed by Manager (Note 3)		(113,667	)
Expense reductions (Note 2)		(14,780	)
Net expenses		6,049
Net investment income (loss)		27,359,899
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(109,004,829	)
Realized gains distributions from affiliated issuers (Note 8)		41,963,597
Net realized gain (loss)		(67,041,232	)
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(387,000,660	)
Net realized and unrealized gain (loss)		(454,041,892	)
Net increase (decrease) in net assets resulting from operations	$	(426,681,993	)

See accompanying notes to the financial statements.

4

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	27,359,899		$	16,856,249
Net realized gain (loss)		(67,041,232	)		117,754,564
Change in net unrealized appreciation (depreciation)		(387,000,660	)		(134,909,725	)
Net increase (decrease) in net assets from operations		(426,681,993	)		(298,912	)
Distributions to shareholders from:
Net investment income
Class III		(27,428,339	)		(44,014,224	)
Net realized gains
Class III		(48,768,521	)		(72,725,181	)
		(76,196,860	)		(116,739,405	)
Net share transactions (Note 7):
Class III		256,821,808			159,046,461
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		207,495			42,292
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		257,029,303			159,088,753
Total increase (decrease) in net assets		(245,849,550	)		42,050,436
Net assets:
Beginning of period		944,374,426			902,323,990
End of period	$	698,524,876		$	944,374,426

See accompanying notes to the financial statements.

5

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,
	2009			2008			2007			2006(a)
Net asset value, beginning of period	$	21.71		$	24.25		$	22.49		$	20.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.53			0.43			0.40			0.37
Net realized and unrealized gain (loss)		(8.50	)		0.01	(c)		2.93			2.78
Total from investment operations		(7.97	)		0.44			3.33			3.15
Less distributions to shareholders:
From net investment income		(0.54	)		(1.10	)		(0.73	)		(0.46	)
From net realized gains		(0.91	)		(1.88	)		(0.84	)		(0.20	)
Total distributions		(1.45	)		(2.98	)		(1.57	)		(0.66	)
Net asset value, end of period	$	12.29		$	21.71		$	24.25		$	22.49
Total Return(d)		(38.63	)%		0.72	%		14.94	%		15.90	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	698,525		$	944,374		$	902,324		$	407,230
Net expenses to average daily net assets(e)(f)		0.00	%(g)		0.00	%(g)		0.00	%		0.00	%*
Net investment income to average daily net assets(b)		2.89	%		1.72	%		1.68	%		2.42	%*
Portfolio turnover rate		35	%		20	%		12	%		5	%**
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.01	%		0.02	%		0.06	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†		—	(h)		—	(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 and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

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

(f)  Net expenses to average daily net assets were less than 0.01%.

(g)  The net expense ratio does not include 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.

6

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, GMO Flexible Equities 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. Shares of GMO Flexible Equities Fund are not publicly available for direct purchase.

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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

7

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 37.44% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	683,944,614	$	—
Level 2 - Other Significant Observable Inputs		14,631,268		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	698,575,882	$	—

8

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at

9

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Distributions In Excess of Net Realized Gain			Paid-in Capital
$	68,440	$	(44,942	)	$	(23,498	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	27,435,560	$	44,009,605
Net long-term capital gain		48,761,300		72,729,800
Total distributions	$	76,196,860	$	116,739,405

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

As of February 28, 2009, the Fund elected to defer March 1, 2009 post-October capital losses of $17,086,019.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,236,022,842	$	—	$	(537,446,960	)	$	(537,446,960	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or

10

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the Manager has a conflict in allocating among the underlying funds. (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. 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

Effective June 30, 2008, the premium on cash purchases of Fund shares remained at 0.04% of the amount invested and the fee on cash redemptions was changed to 0.03% of the amount redeemed. Effective September 30, 2008, the Fund no longer charged a premium on cash purchases or fee on cash redemptions of the amount invested or redeemed. Effective October 21, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.04% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases and fee on cash redemptions of Fund shares were each 0.04% of the amount invested or redeemed. 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). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption

11

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund a management fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

12

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.419	%		0.071	%		0.490	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $11,186 and $6,734, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $578,764,513 and $328,577,709, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

13

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

6.  Principal shareholders and related parties

As of February 28, 2009, 22.45% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, less than 0.01% of the Fund's shares were held senior management of the Manager and GMO Trust officers and 8.75% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		21,444,708		$	386,255,390			4,764,267		$	122,806,681
Shares issued to shareholders in reinvestment of distributions		4,310,232			76,196,861			4,778,197			116,284,024
Shares repurchased		(12,427,876	)		(205,630,443	)		(3,254,416	)		(80,044,244	)
Purchase premiums		—			147,229			—			10,322
Redemption fees		—			60,266			—			31,970
Net increase (decrease)		13,327,064		$	257,029,303			6,288,048		$	159,088,753

14

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 is set forth below:

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income		Distributions of Realized Gains		Value, end of period
GMO Flexible Equities Fund, Class VI	$	—	$	18,090,527	$	404,838	$	1,000	$	—	$	14,631,268
GMO Alpha Only Fund, Class IV		—		738,869		722,877		6,749		65,044		—
GMO Emerging Markets Fund, Class VI		—		39,184,630		33,460,415		—		2,194,706		—
GMO Emerging Markets Opportunities Fund, Class VI		80,556,568		14,281,406		76,112,925		295,748		13,985,658		—
GMO International Growth Equity Fund, Class IV		224,920,412		97,033,707		45,334,133		8,571,422		9,255,424		146,275,269
GMO International Intrinsic Value Fund, Class IV		221,378,801		110,034,495		45,031,416		8,995,032		14,665,950		140,086,040
GMO U.S. Core Equity Fund, Class VI		224,789,300		50,384,722		71,628,817		3,784,722		—		122,343,703
GMO U.S. Quality Equity Fund, Class VI		192,718,528		249,016,157		55,882,288		5,710,818		1,796,815		275,208,643
Totals	$	944,363,609	$	578,764,513	$	328,577,709	$	27,365,491	$	41,963,597	$	698,544,923

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

16

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.48	%	$	1,000.00	$	642.10	$	1.95
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

17

GMO World Opportunities Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $48,761,300 from long-term capital gains.

For taxable, non-corporate shareholders, 77.71% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 34.62% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

20

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

21

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

22

GMO Alpha Only Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Alpha Only Fund

(A Series of GMO Trust)

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 Class III shares of the GMO Alpha Only Fund returned +11.9% for the fiscal year ended February 28, 2009, as compared to +1.3% for the Citigroup 3 Month Treasury Bill Index. During the fiscal year the Fund invested in global equity securities indirectly through its investment in underlying GMO mutual funds.

Implementation was positive as the GMO U.S. Core Equity, GMO U.S. Quality Equity, and GMO International Intrinsic Value Funds outperformed 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. 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 IV shares will vary due to different fees.

GMO Alpha Only Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Cash and Cash Equivalents		81.9	%
Common Stocks		69.2
Short-Term Investments		17.7
Forward Currency Contracts		0.3
Rights and Warrants		0.0
Preferred Stocks		0.0
Swaps		(36.2	)
Futures		(36.5	)
Other		3.6
		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 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 73.2%
		United States — 73.2%
		Affiliated Issuers
	25,472,414	GMO International Growth Equity Fund, Class IV		368,331,113
	25,348,249	GMO International Intrinsic Value Fund, Class IV		354,875,492
	33,476,803	GMO U.S. Core Equity Fund, Class VI		255,428,005
	32,980,191	GMO U.S. Quality Equity Fund, Class VI		467,659,107
		TOTAL MUTUAL FUNDS (COST $2,041,467,216)		1,446,293,717
		SHORT-TERM INVESTMENTS — 15.3%
	60,400,000	BNP Paribas Time Deposit, 0.23%, due 03/02/09		60,400,000
	60,400,000	Branch Banking & Trust Time Deposit, 0.13%, due 03/02/09		60,400,000
	60,400,000	HSBC Bank (USA) Time Deposit, 0.19%, due 03/02/09		60,400,000
	99,994	Royal Bank of Scotland Time Deposit, 0.08%, due 03/02/09		99,994
	60,200,000	Societe Generale Time Deposit, 0.25%, due 03/02/09		60,200,000
	60,400,000	Wells Fargo Time Deposit, 0.35%, due 03/02/09		60,400,000
		TOTAL SHORT-TERM INVESTMENTS (COST $301,899,994)		301,899,994
		TOTAL INVESTMENTS — 88.5%(Cost $2,343,367,210)		1,748,193,711
		Other Assets and Liabilities (net) — 11.5%		227,670,541
		TOTAL NET ASSETS — 100.0%	$	1,975,864,252

See accompanying notes to the financial statements.

2

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
	Buys
4/24/09	DKK		84,101,000	$	14,285,047	$	(318,356	)
4/24/09	EUR		41,351,000		52,409,195		(1,152,342	)
4/24/09	EUR		41,351,000		52,409,195		(1,246,622	)
4/24/09	NOK		64,985,000		9,227,722		(112,693	)
4/24/09	SEK		240,233,000		26,670,686		(2,253,882	)
				$	155,001,845	$	(5,083,895	)
	Sales
4/24/09	AUD		32,564,000	$	20,746,546	$	26,681
4/24/09	AUD		36,759,846		23,419,722		(73,544	)
4/24/09	CHF		4,833,000		4,135,949		97,954
4/24/09	CHF		39,410,044		33,726,037		(56,196	)
4/24/09	DKK		21,108,878		3,585,466		(21,884	)
4/24/09	EUR		33,673,584		42,678,664		(160,612	)
4/24/09	EUR		34,693,996		43,971,957		(390,053	)
4/24/09	EUR		33,673,584		42,678,664		(264,091	)
4/24/09	GBP		19,481,806		27,887,270		(195,441	)
4/24/09	GBP		18,908,812		27,067,057		(173,810	)
4/24/09	GBP		18,908,812		27,067,057		(109,595	)
4/24/09	HKD		62,760,000		8,096,191		1,351
4/24/09	HKD		69,173,470		8,923,544		913
4/24/09	JPY		4,218,766,000		43,274,688		4,206,668
4/24/09	JPY		4,218,766,000		43,274,688		4,365,915
4/24/09	JPY		4,913,374,084		50,399,745		3,056,755
4/24/09	JPY		4,913,374,084		50,399,745		3,099,537
4/24/09	NOK		19,489,199		2,767,422		(7,303	)
4/24/09	NZD		1,414,268		705,798		11,532
4/24/09	SEK		65,149,897		7,232,946		225,183
4/24/09	SGD		13,147,742		8,491,801		167,796
				$	520,530,957	$	13,807,756

See accompanying notes to the financial statements.

3

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	2,859	OMXS 30	March 2009	$	20,066,153	$	(474,713	)
	77	AEX	March 2009		4,227,930		(393,658	)
	70	IBEX 35	March 2009		6,669,707		(256,285	)
	69	DAX	March 2009		8,314,210		(1,081,134	)
				$	39,278,000	$	(2,205,790	)
Sales
	7,513	S&P 500 E-Mini Index	March 2009	$	275,802,230	$	42,843,504
	348	MSCI EAFE E-Mini	March 2009		17,038,080		4,940,729
	331	MSCI Singapore	March 2009		8,107,637		119,692
	2,429	TOPIX	March 2009		186,410,229		13,704,736
	202	S&P/MIB	March 2009		19,369,836		4,797,836
	214	Hang Seng	March 2009		17,293,907		246,270
	1,528	FTSE	March 2009		82,501,116		11,505,476
	732	CAC 40	March 2009		24,731,104		1,918,787
	837	SPI 200	March 2009		43,722,887		3,579,474
				$	674,977,026	$	83,656,504

See accompanying notes to the financial statements.

4

GMO Alpha Only Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Swap Agreements

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay	Receive	Market Value
	211,861,464	USD	8/7/2009	JP Morgan Chase Bank	Custom Low Quality Equity Basket	3 month LIBOR -0.75%	$	41,051,304
	201,676,000	USD	8/10/2009	Citigroup	Custom Low Quality Equity Basket	3 month LIBOR -0.56%		37,003,753
	192,111,944	USD	1/11/2010	Morgan Stanley	Custom Low Quality Equity Basket	Daily Federal Funds Rate -0.52%		18,061,597
	110,020,493	USD	2/3/2010	Goldman Sachs	Custom Low Quality Equity Basket	Daily Federal Funds Rate -0.80%		10,915,591
							$	107,032,245
						Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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:

LIBOR - London Interbank Offered Rate

Currency Abbreviations:

AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar

See accompanying notes to the financial statements.

5

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $301,899,994) (Note 2)	$	301,899,994
Investments in affiliated issuers, at value (cost $2,041,467,216) (Notes 2 and 8)		1,446,293,717
Interest receivable		3,831
Unrealized appreciation on open forward currency contracts (Note 2)		15,260,285
Receivable for collateral on open futures contracts (Note 2)		104,936,000
Receivable for variation margin on open futures contracts (Note 2)		9,384,283
Receivable for open swap contracts (Note 2)		107,032,245
Receivable for collateral on open swap contracts (Note 2)		115,573
Receivable for expenses reimbursed by Manager (Note 3)		633,475
Total assets		1,985,559,403
Liabilities:
Payable for Fund shares repurchased		2,000,000
Payable to affiliate for (Note 3):
Management fee		764,763
Shareholder service fee		157,616
Trustees and Chief Compliance Officer of GMO Trust fees		6,449
Unrealized depreciation on open forward currency contracts (Note 2)		6,536,424
Accrued expenses		229,899
Total liabilities		9,695,151
Net assets	$	1,975,864,252
Net assets consist of:
Paid-in capital	$	2,893,860,836
Accumulated undistributed net investment income		67,448,822
Distributions in excess of net realized gain		(587,478,727	)
Net unrealized depreciation		(397,966,679	)
	$	1,975,864,252
Net assets attributable to:
Class III shares	$	121,710,866
Class IV shares	$	1,854,153,386
Shares outstanding:
Class III		21,083,486
Class IV		321,223,845
Net asset value per share:
Class III	$	5.77
Class IV	$	5.77

See accompanying notes to the financial statements.

6

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	65,927,951
Interest		4,336,733
Dividends		2,358,668
Total investment income		72,623,352
Expenses:
Management fee (Note 3)		13,453,668
Shareholder service fee – Class III (Note 3)		274,605
Shareholder service fee – Class IV (Note 3)		2,507,652
Custodian and fund accounting agent fees		317,061
Transfer agent fees		41,738
Audit and tax fees		70,904
Legal fees		115,776
Trustees fees and related expenses (Note 3)		41,348
Registration fees		9,226
Miscellaneous		35,205
Total expenses		16,867,183
Fees and expenses reimbursed by Manager (Note 3)		(520,089	)
Expense reductions (Note 2)		(7,853	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(9,727,684	)
Shareholder service fee waived (Note 3)		(1,622,293	)
Net expenses		4,989,264
Net investment income (loss)		67,634,088
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(58,629,810	)
Investments in affiliated issuers		(881,353,399	)
Realized gains distributions from affiliated issuers (Note 8)		87,407,437
Closed futures contracts		547,607,458
Closed swap contracts		863,759,221
Foreign currency, forward contracts and foreign currency related transactions		71,434,047
Net realized gain (loss)		630,224,954
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(391,979,894	)
Open futures contracts		(15,748,770	)
Open swap contracts		44,982,978
Foreign currency, forward contracts and foreign currency related transactions		30,012,002
Net unrealized gain (loss)		(332,733,684	)
Net realized and unrealized gain (loss)		297,491,270
Net increase (decrease) in net assets resulting from operations	$	365,125,358

See accompanying notes to the financial statements.

7

GMO Alpha Only Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	67,634,088		$	37,393,719
Net realized gain (loss)		630,224,954			269,696,616
Change in net unrealized appreciation (depreciation)		(332,733,684	)		(146,534,773	)
Net increase (decrease) in net assets from operations		365,125,358			160,555,562
Distributions to shareholders from:
Net investment income
Class III		(57,987,423	)		(3,121,593	)
Class IV		(869,600,332	)		(37,623,319	)
Total distributions from net investment income		(927,587,755	)		(40,744,912	)
Net realized gains
Class III		(30,565,835	)		—
Class IV		(445,995,777	)		—
Total distributions from net realized gains		(476,561,612	)		—
		(1,404,149,367	)		(40,744,912	)
Net share transactions (Note 7):
Class III		7,583,957			(140,995	)
Class IV		272,747,018			752,392,494
Increase (decrease) in net assets resulting from net share transactions		280,330,975			752,251,499
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		73,187			148,551
Class IV		447,577			1,407,214
Increase in net assets resulting from purchase premiums and redemption fees		520,764			1,555,765
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		280,851,739			753,807,264
Total increase (decrease) in net assets		(758,172,270	)		873,617,914
Net assets:
Beginning of period		2,734,036,522			1,860,418,608
End of period (including accumulated undistributed net investment income of $67,448,822 and distributions in excess of net investment income of $4,242,356, respectively)	$	1,975,864,252		$	2,734,036,522

See accompanying notes to the financial statements.

8

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	11.11		$	10.42		$	10.36		$	10.26		$	9.99
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.23			0.21			0.17			0.16			0.19
Net realized and unrealized gain (loss)		0.93			0.70			0.10			0.31			0.08
Total from investment operations		1.16			0.91			0.27			0.47			0.27
Less distributions to shareholders:
From net investment income		(4.41	)		(0.22	)		(0.21	)		(0.37	)		—
From net realized gains		(2.09	)		—			—			—			—
Total distributions		(6.50	)		(0.22	)		(0.21	)		(0.37	)		—
Net asset value, end of period	$	5.77		$	11.11		$	10.42		$	10.36		$	10.26
Total Return(b)		11.92	%		8.74	%		2.64	%		4.63	%		2.70	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	121,711		$	176,067		$	166,626		$	1,460,161		$	179,488
Net expenses to average daily net assets(c)		0.23	%(d)		0.16	%(d)		0.15	%		0.10	%		0.18	%
Net investment income to average daily net assets(a)		2.37	%		1.91	%		1.66	%		1.52	%		1.94	%
Portfolio turnover rate		87	%		44	%		22	%		40	%		19	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.44	%		0.51	%		0.53	%		0.59	%		0.62	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(e)	$	0.01		$	0.01		$	0.02		$	0.01

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

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

(c)  Net expenses exclude expenses incurred indirectly through investment in the underlying funds (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.

See accompanying notes to the financial statements.

9

GMO Alpha Only Fund

(A Series of GMO Trust)

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

	Year Ended February 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	11.11		$	10.41		$	10.37
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.24			0.21			0.20
Net realized and unrealized gain (loss)		0.92			0.71			0.06
Total from investment operations		1.16			0.92			0.26
Less distributions to shareholders:
From net investment income		(4.41	)		(0.22	)		(0.22	)
From net realized gains		(2.09	)		—			—
Total distributions		(6.50	)		(0.22	)		(0.22	)
Net asset value, end of period	$	5.77		$	11.11		$	10.41
Total Return(c)		12.00	%		8.90	%		2.54	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,854,153		$	2,557,970		$	1,693,793
Net expenses to average daily net assets(d)		0.18	%(e)		0.11	%(e)		0.10	%*
Net investment income to average daily net assets(b)		2.52	%		1.96	%		1.93	%*
Portfolio turnover rate		87	%		44	%		22	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.44	%		0.51	%		0.53	%*
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(f)	$	0.01		$	0.00	(f)

(a)  Period from March 2, 2006 (commencement of operations) through February 28, 2007.

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

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

††  Calculation represents portfolio turnover of the Fund for the year ended February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

10

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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") and GMO Flexible Equities Fund. In addition, the Fund may invest directly in securities of the type in which the underlying funds invest. The Fund invests in sub-asset classes that it expects to outperform the relevant broader asset class and implements its strategy with either direct or indirect investments in a combination of U.S., foreign, and emerging country equities and emerging country debt. The Fund 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.

Throughout the year ended February 28, 2009, 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 followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Fund are maintained in U.S. dollars.

11

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 31.60% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

12

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	1,748,193,711	$	47,784,233
Level 2 - Other Significant Observable Inputs		—		158,164,801
Level 3 - Significant Unobservable Inputs		—		—
Total	$	1,748,193,711	$	205,949,034

*  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(8,742,214	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(8,742,214	)

**  Other financial instruments include forward currency contracts and futures contracts.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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.

13

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. Because many foreign exchanges close prior to the close of the New York Stock Exchange ("NYSE"), closing prices for foreign futures in those markets or on 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, the Fund generally values foreign futures using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. Futures contracts outstanding at the end of the period are listed in the Fund's Schedule of Investments.

14

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no 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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Swap agreements

The Fund may enter into various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

15

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss in the Statement of Operations.

16

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Payments received or made on swap agreements are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon termination of the swap agreements.

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to derivative contract transactions, differing treatment of mutual fund distributions received, foreign currency transactions, losses on wash sale transactions and post-October capital losses.

17

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The following reclassification represents the amount necessary to report the stated components of net assets on a tax basis, excluding certain temporary differences, as of February 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Distributions in Excess of Net Realized Gain			Paid-in Capital
$	931,644,845	$	(931,644,845	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	987,673,928	$	40,744,912
Net long-term capital gain		416,475,439		—
Total distributions	$	1,404,149,367	$	40,744,912

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including
any net short-term capital gain) $ 93,465,400

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $96,558,266.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	2,786,503,438	$	—	$	(1,038,309,727	)	$	(1,038,309,727	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109.

18

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 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 an earnings allowance calculated on the average daily cash balances the Fund maintains with each agent. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective June 30, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each changed to 0.06% of the amount invested or redeemed. Effective September 30, 2008, the Fund no longer charged a premium on cash purchases or fee on cash redemptions of the amount invested or redeemed. As of February 28, 2009, the Fund did not charge a premium on cash purchases or fee on cash redemptions of the amount invested or redeemed. The Fund may impose a new purchase premium and/or

19

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. 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 on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or portion of the redemption fees may be waived at the manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund 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 Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

20

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

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

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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"). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 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 varying fees and expenses indirectly as a shareholder in the underlying funds. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions. For the year ended February 28, 2009, 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
	0.368	%		0.060	%		0.428	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $33,951 and $18,387, respectively. The compensation and expenses of

21

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $2,410,555,556 and $1,995,543,845, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 77.18% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Two of the shareholders are other funds of the Trust. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 1.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 98.21% of the Fund's shares were held by accounts for which the Manager had investment discretion.

22

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		10,891,534		$	107,005,790			7,060,158		$	77,385,165
Shares issued to shareholders in reinvestment of distributions		10,963,624			75,954,352			219,377			2,393,411
Shares repurchased		(16,617,931	)		(175,376,185	)		(7,426,248	)		(79,919,571	)
Purchase premiums		—			65,115			—			77,245
Redemption fees		—			8,072			—			71,306
Net increase (decrease)		5,237,227		$	7,657,144			(146,713	)	$	7,556
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class IV:	Shares			Amount			Shares			Amount
Shares sold		81,138,618		$	775,605,728			111,659,135		$	1,226,989,475
Shares issued to shareholders in reinvestment of distributions		192,685,490			1,315,596,109			3,451,680			37,623,319
Shares repurchased		(182,907,526	)		(1,818,454,819	)		(47,448,673	)		(512,220,300	)
Purchase premiums		—			404,109			—			1,070,665
Redemption fees		—			43,468			—			336,549
Net increase (decrease)		90,916,582		$	273,194,595			67,662,142		$	753,799,708

23

GMO Alpha Only Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	257,477,237	$	67,225,874	$	281,175,938	$	—	$	24,225,874	$	—
GMO International Growth Equity Fund, Class IV		580,969,085		486,659,134		333,221,000		21,825,351		23,250,628		368,331,113
GMO International Intrinsic Value Fund, Class IV		580,446,151		513,405,048		325,413,000		23,551,038		37,138,814		354,875,492
GMO U.S. Core Equity Fund, Class VI		612,178,641		289,273,752		444,615,000		9,326,850		—		255,428,005
GMO U.S. Quality Equity Fund, Class VI		332,173,994		910,186,032		525,943,000		11,224,712		2,792,121		467,659,107
Totals	$	2,363,245,108	$	2,266,749,840	$	1,910,367,938	$	65,927,951	$	87,407,437	$	1,446,293,717

9.  Subsequent event

Subsequent to February 28, 2009, the Fund received redemption requests in the amount of $1,015,796,278.

24

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

25

GMO Alpha Only Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.66	%	$	1,000.00	$	1,111.70	$	3.46
2) Hypothetical		0.66	%	$	1,000.00	$	1,021.52	$	3.31
Class IV
1) Actual		0.61	%	$	1,000.00	$	1,112.40	$	3.19
2) Hypothetical		0.61	%	$	1,000.00	$	1,021.77	$	3.06

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

26

GMO Alpha Only Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $416,475,439 from long-term capital gains.

For taxable, non-corporate shareholders, 5.43% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 2.08% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income and qualified short-term capital gains with respect to its taxable year ended February 28, 2009, $3,015,633 and $59,977,898, respectively, or if determined to be different, the qualified interest income and qualified short-term capital gains 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/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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

29

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

30

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

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 Inflation Indexed Plus Bond Fund returned -26.9% for the for the fiscal year ended February 28, 2009, as compared to the -7.5% return for the Barclays Capital U.S. Treasury Inflation Notes Index (formerly Lehman Brothers U.S. Treasury Inflation Notes Index). The Fund's exposure to various issues is achieved directly, through investments in inflation indexed bonds and other securities, and indirectly through its investment in certain underlying GMO mutual funds, primarily in the GMO Emerging Country Debt Fund (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 19.4%. Exposures to SDCF and WOOF were by far the largest negative contributors during the fiscal year, followed by negative contributions from developed interest-rate strategies, currency selection, and exposure to emerging country debt via ECDF.

About 75% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds invest primarily in asset-backed securities. The 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.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held indirectly in the Inflation Indexed Plus Bond Fund via holdings of SDCF and WOOF. Such ABS exposure contributed (19.50%) to the Fund's performance. To increase flexibility, the Fund began holding more U.S. government securities and money market funds. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate and currency strategies. Given the adverse market conditions for interest rates and currencies, characterized by poor liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions in interest rates and currencies starting in October.

In interest-rate strategies, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

Currency contribution was concentrated before positions were suspended in October. Negative relative currency performance during this time came mainly from the Fund's Swedish krona, Norwegian krone, yen, and New Zealand dollar positions.

A small exposure to emerging country debt also detracted value as spread widening on the asset class contributed negatively, as did negative contributions from both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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 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.

This page has been left blank intentionally.

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		95.1	%
Short-Term Investments		5.6
Options Purchased		2.1
Loan Participations		0.2
Forward Currency Contracts		0.1
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Futures		(0.0	)
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.8	)
Swaps		(3.5	)
Other		1.1
		100.0	%
Country / Region Summary**	% of Investments
Emerging***		116.3	%
United Kingdom		72.3
Australia		(17.9	)
Euro Region****		(28.9	)
United States		(41.8	)
		100.0	%

*  The table above incorporates aggregate indirect asset class exposure associated with investments in other funds of GMOTrust ("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 "Emerging" exposure is associated with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Philippines, Russia, Venezuela, Brazil, Argentina, Colombia, Uruguay, Mexico, Ivory Coast, and Vietnam. Additional information about the fund's emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.

****  The "Euro Region" is comprised of Austria, Belgium, 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 28, 2009

Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 10.8%
		U.S. Government — 10.8%
	12,792,900	U.S. Treasury Inflation Indexed Bond, 3.88%, due 04/15/29 (a) (b)		15,103,618
	10,540,635	U.S. Treasury Inflation Indexed Bond, 1.75%, due 01/15/28 (a)		9,216,468
	4,225,878	U.S. Treasury Inflation Indexed Bond, 3.63%, due 04/15/28 (a)		4,810,899
	11,157,000	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 (a)		10,710,720
		Total U.S. Government		39,841,705
		TOTAL DEBT OBLIGATIONS (COST $42,560,430)		39,841,705
		MUTUAL FUNDS — 89.3%
		Affiliated Issuers — 89.3%
	2,030,584	GMO Emerging Country Debt Fund, Class III		11,878,915
	13,970,321	GMO Short-Duration Collateral Fund		238,892,494
	28,918	GMO Special Purpose Holding Fund (c) (d)		21,110
	4,225,208	GMO World Opportunity Overlay Fund		77,532,563
		TOTAL MUTUAL FUNDS (COST $409,215,050)		328,325,082
		SHORT-TERM INVESTMENTS — 2.2%
		Money Market Funds — 2.2%
	8,027,764	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		8,027,764
		TOTAL SHORT-TERM INVESTMENTS (COST $8,027,764)		8,027,764
		TOTAL INVESTMENTS — 102.3% (Cost $459,803,244)		376,194,551
		Other Assets and Liabilities (net) — (2.3%)		(8,425,172	)
		TOTAL NET ASSETS — 100.0%	$	367,769,379

See accompanying notes to the financial statements.

2

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Swaps

Total Return Swaps

Notional Amount			Expiration Date	Counterparty	Pay			Receive	Market Value
	275,000,000	USD	4/14/2009	Barclays Bank PLC		1.03	% to maturity	Barclays TIPS
								Index Total Return(a)	$	(8,510,192	)
									$	(8,510,192	)
								Premiums to (Pay) Receive	$	—

As of February 28, 2009, 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:

TIPS - Treasury Inflation Protected Securities

(a)  Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic (Note 2).

(b)  All or a portion of this security has been segregated to cover collateral requirements on open swap contracts (Note 2).

(c)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

USD - United States Dollar

See accompanying notes to the financial statements.

3

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $50,588,194) (Note 2)	$	47,869,469
Investments in affiliated issuers, at value (cost $409,215,050) (Notes 2 and 8)		328,325,082
Dividends and interest receivable		300,924
Receivable for variation margin on closed futures contracts (Note 2)		73
Receivable for expenses reimbursed by Manager (Note 3)		24,866
Total assets		376,520,414
Liabilities:
Payable to affiliate for (Note 3):
Management fee		71,963
Shareholder service fee		20,794
Trustees and Chief Compliance Officer of GMO Trust fees		1,112
Payable for open swap contracts (Note 2)		8,510,192
Accrued expenses		146,974
Total liabilities		8,751,035
Net assets	$	367,769,379
Net assets consist of:
Paid-in capital	$	535,955,366
Distributions in excess of net investment income		(15,321,702	)
Accumulated net realized loss		(60,745,400	)
Net unrealized depreciation		(92,118,885	)
	$	367,769,379
Net assets attributable to:
Class III shares	$	114,858,650
Class VI shares	$	252,910,729
Shares outstanding:
Class III		7,718,280
Class VI		17,005,845
Net asset value per share:
Class III	$	14.88
Class VI	$	14.87

See accompanying notes to the financial statements.

4

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	15,387,079
Interest		1,339,421
Dividends		82,698
Total investment income		16,809,198
Expenses:
Management fee (Note 3)		594,279
Shareholder service fee – Class III (Note 3)		98,068
Shareholder service fee – Class VI (Note 3)		94,783
Custodian, fund accounting agent and transfer agent fees		91,125
Audit and tax fees		61,348
Legal fees		29,817
Trustees fees and related expenses (Note 3)		11,677
Registration fees		1,748
Miscellaneous		8,274
Total expenses		991,119
Fees and expenses reimbursed by Manager (Note 3)		(177,588	)
Expense reductions (Note 2)		(3,411	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(31,724	)
Shareholder service fee waived (Note 3)		(11,249	)
Net expenses		767,147
Net investment income (loss)		16,042,051
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(2,914,658	)
Investments in affiliated issuers		(13,428,367	)
Realized gains distributions from affiliated issuers (Note 8)		163,196
Closed futures contracts		(733,923	)
Closed swap contracts		6,029
Written options		(363,512	)
Foreign currency, forward contracts and foreign currency related transactions		(4,790,311	)
Net realized gain (loss)		(22,061,546	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,268,812	)
Investments in affiliated issuers		(79,199,513	)
Open futures contracts		443,407
Open swap contracts		(12,931,795	)
Foreign currency, forward contracts and foreign currency related transactions		1,656,428
Net unrealized gain (loss)		(94,300,285	)
Net realized and unrealized gain (loss)		(116,361,831	)
Net increase (decrease) in net assets resulting from operations	$	(100,319,780	)

See accompanying notes to the financial statements.

5

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	16,042,051		$	150,978,933
Net realized gain (loss)		(22,061,546	)		(10,341,661	)
Change in net unrealized appreciation (depreciation)		(94,300,285	)		(30,465,632	)
Net increase (decrease) in net assets from operations		(100,319,780	)		110,171,640
Distributions to shareholders from:
Net investment income
Class III		(11,449,888	)		(26,975,972	)
Class IV		—			(14,948,171	)
Class VI		(37,250,183	)		(347,623,757	)
Total distributions from net investment income		(48,700,071	)		(389,547,900	)
Class III		—			(643,125	)
Class IV		—			(654,425	)
Class VI		—			(7,445,282	)
Total distributions from net realized gains		—			(8,742,832	)
		(48,700,071	)		(398,290,732	)
Net share transactions (Note 7):
Class III		9,787,174			(103,779,537	)
Class IV		—			(83,542,832	)
Class VI		279,038,782			(1,526,536,264	)
Increase (decrease) in net assets resulting from net share transactions		288,825,956			(1,713,858,633	)
Redemption fees (Notes 2 and 7):
Class III		20,582			—
Class VI		90,895			—
Increase in net assets resulting from redemption fees		111,477			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		288,937,433			(1,713,858,633	)
Total increase (decrease) in net assets		139,917,582			(2,001,977,725	)
Net assets:
Beginning of period		227,851,797			2,229,829,522
End of period (including distributions in excess of net investment income of $15,321,702 and $126,305,693, respectively)	$	367,769,379		$	227,851,797

See accompanying notes to the financial statements.

6

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	23.52		$	25.47		$	24.96
Income (loss) from investment operations:
Net investment income (loss)(b)†		0.82			1.13			0.75
Net realized and unrealized gain (loss)		(6.90	)		(0.21	)		0.68
Total from investment operations		(6.08	)		0.92			1.43
Less distributions to shareholders:
From net investment income		(2.56	)		(2.81	)		(0.87	)
From net realized gains		—			(0.06	)		(0.05	)
Total distributions		(2.56	)		(2.87	)		(0.92	)
Net asset value, end of period	$	14.88		$	23.52		$	25.47
Total Return(c)		(26.89	)%		3.95	%		5.79	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	114,859		$	137,492		$	260,205
Net operating expenses to average daily net assets(d)		0.39	%(e)		0.37	%(e)		0.39	%*
Interest expense to average daily net assets		—			0.07	%		—
Total net expenses to average daily net assets		0.39	%(e)		0.44	%(e)		0.39	%*
Net investment income to average daily net assets(b)		4.17	%		4.51	%		4.37	%*
Portfolio turnover rate		56	%		131	%		37	%††
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.11	%		0.06	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—

(a)  Period from June 29, 2006 (commencement of operations) through February 28, 2007.

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

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

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

(e)  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 period from May 31, 2006 (commencement of operations) through February 28, 2007.

*  Annualized.

**  Not annualized.

See accompanying notes to the financial statements.

7

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 28/29,
	2009			2008			2007(a)
Net asset value, beginning of period	$	23.51		$	25.48		$	25.00
Income (loss) from investment operations:
Net investment income (loss)(b)†		1.37			1.38			0.83
Net realized and unrealized gain (loss)		(7.43	)		(0.45	)		0.60
Total from investment operations		(6.06	)		0.93			1.43
Less distributions to shareholders:
From net investment income		(2.58	)		(2.84	)		(0.90	)
From net realized gains		—			(0.06	)		(0.05	)
Total distributions		(2.58	)		(2.90	)		(0.95	)
Net asset value, end of period	$	14.87		$	23.51		$	25.48
Total Return(c)		(26.82	)%		4.00	%		5.75	%**
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	252,911		$	90,360		$	1,874,841
Net operating expenses to average daily net assets(d)		0.30	%(e)		0.29	%(e)		0.29	%*
Interest expense to average daily net assets		—			0.07	%		—
Total net expenses to average daily net assets		0.30	%(e)		0.36	%(e)		0.29	%*
Net investment income to average daily net assets(b)		7.73	%		5.48	%		4.33	%*
Portfolio turnover rate		56	%		131	%		37	%**
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.09	%		0.06	%		0.06	%*
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—

(a)  Period from May 31, 2006 (commencement of operations) through February 28, 2007.

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

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

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

(e)  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.

8

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 Barclay's Capital 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 seeking to exploit differences in global interest rates and 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 (also known as "junk bonds")), 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).

Throughout the year ended February 28, 2009, 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, GMO Special Purpose Holding Fund and GMO World Opportunity Overlay Fund are not publicly available.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

9

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 32.99% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for

10

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $65,489 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered interest in certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	11,878,915	$	—
Level 2 - Other Significant Observable Inputs		364,294,526		—
Level 3 - Significant Unobservable Inputs		21,110		—
Total	$	376,194,551	$	—

11

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		(8,510,192	)
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(8,510,192	)

*  Other financial instruments include swap agreements.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	36,437		$	—
Accrued discounts/premiums		—			—
Realized gain (loss)		—			—
Realized gain distributions received		50,020			—
Realized gain distributions paid		(65,489	)		—
Change in unrealized appreciation/depreciation		142			—
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	21,110		$	—

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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.

12

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. The Fund had no forward currency contracts outstanding at the end of the period.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Options

The Fund may write (i.e., sell) call and put options. Writing options alters 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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from

13

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market.

For the year ended February 28, 2009, 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 year	$	—	$	—	$	—		$	—
Options written		—		—	JPY	(1,508,000,000	)		(141,116	)
Options exercised		—		—	JPY	1,508,000,000			141,116
Options expired		—		—		—			—
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—	$	—		$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

14

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Loan agreements

The Fund may invest in loans to corporate, governmental, or other borrowers. The Fund's investments in loans may be in the form of participations in loans or assignments of all or a portion of loans 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, (i) 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 participation in the loan agreement and only upon receipt by the lender of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement. As a result, the Fund may be subject to the credit risk of both the borrower and the lender has sold the participation in the loan agreement. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. The Fund had no loan agreements outstanding at the end of the period.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying

15

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. Swap agreements outstanding at the end of the period are listed in the Fund's Schedule of Investments.

16

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, the Fund did not participate in securities lending.

17

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, 2008. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, partnership interest tax allocations, losses on wash sale transactions, post-October capital losses, and differing treatment for security 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 December 31, 2008. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
$	143,642,011	$	114,700,709	$	(258,342,720	)

18

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	12/31/2008		12/31/2007
Ordinary income (including any net short-term capital gain)	$	144,796,844	$	302,193,959
Total distributions	$	144,796,844	$	302,193,959

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

As of December 31, 2008, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 6,472,114

As of December 31, 2008, the Fund elected to defer to January 1, 2009 post-October capital losses of $1,829,159.

As of December 31, 2008, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Such losses expire as follows:

12/31/2015	$	(33,561,953	)
12/31/2016		(23,863,587	)
Total	$	(57,425,540	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	486,692,050	$	21,110	$	(110,518,609	)	$	(110,497,499	)

Utilization of the capital loss carryforwards, post-October capital losses, and future losses, if any, realized subsequent to February 28, 2009 could be subject to limitations imposed by the Code related to share ownership activity.

For the period ended December 31, 2008, the Fund had net realized losses attributed to redemption in-kind transactions of $14,212,292.

19

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at December 31, 2008, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

20

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Purchases and redemptions of Fund shares

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.91% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund 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. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

21

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets of each class at the annual rate of 0.15% for Class III shares and 0.055% for Class VI shares. The Manager 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' shareholder service fee.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded 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 underlying funds. For the year ended February 28, 2009, 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
	0.018	%		0.005	%		0.007	%		0.030	%

22

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $10,676 and $1,806, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, 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	$	35,077,507	$	29,749,801
Investments (non-U.S. Government securities)		438,253,663		104,882,965

Proceeds from sale of securities for in-kind transactions for the year ended February 28, 2009 were $57,609,197.

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 78.09% of the outstanding shares of the Fund were held by four shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.04% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 73.79% of the Fund's shares were held by accounts for which the Manager had investment discretion.

23

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		4,861,784		$	80,097,939			7,753,239		$	195,318,795
Shares issued to shareholders in reinvestment of distributions		628,052			11,067,193			1,015,942			24,078,255
Shares repurchased		(3,617,561	)		(81,377,958	)		(13,137,888	)		(323,176,587	)
Redemption fees		—			20,582			—			—
Net increase (decrease)		1,872,275		$	9,807,756			(4,368,707	)	$	(103,779,537	)
	Year Ended February 28, 2009						Period Ended February 13, 2008*
Class IV:	Shares			Amount			Shares			Amount
Shares sold		—		$	—			7,496,338		$	190,386,804
Shares issued to shareholders in reinvestment of distributions		—			—			637,724			15,178,849
Shares repurchased		—			—			(11,854,634	)		(289,108,485	)
Net increase (decrease)		—		$	—			(3,720,572	)	$	(83,542,832	)
	Year Ended February 28, 2009						Year Ended February 29, 2008
Class VI:	Shares			Amount			Shares			Amount
Shares sold		20,092,219		$	400,069,195			81,536,209		$	2,064,407,172
Shares issued to shareholders in reinvestment of distributions		1,168,087			18,646,359			14,977,254			355,069,039
Shares repurchased		(8,097,642	)		(139,676,772	)		(166,263,657	)		(3,946,012,475	)
Redemption fees		—			90,895			—			—
Net increase (decrease)		13,162,664		$	279,129,677			(69,750,194	)	$	(1,526,536,264	)

*  Effective February 13, 2008, all shareholders redeemed or exchanged out of class IV.

24

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	6,756,250	$	14,009,581	$	3,826,156	$	1,311,874		$	97,707	$	11,878,915
GMO Short- Duration Collateral Fund		114,960,626		326,884,004		111,786,485		14,075,205	u		—		238,892,494
GMO Special Purpose Holding Fund		36,437		—		—		—			65,489		21,110
GMO World Opportunity Overlay Fund		44,675,992		96,900,000		34,103,515		—			—		77,532,563
Totals	$	166,429,305	$	437,793,585	$	149,716,156	$	15,387,079		$	163,196	$	328,325,082

^uThe Fund received total distributions in the amount of $47,628,977, of which $33,553,772 was a return of capital.

25

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 28, 2009, 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 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

26

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including redemption fees; (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, 2008 through February 28, 2009.

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		0.43	%	$	1,000.00	$	732.70	$	1.85
2) Hypothetical		0.43	%	$	1,000.00	$	1,022.66	$	2.16
Class VI
1) Actual		0.33	%	$	1,000.00	$	732.60	$	1.42
2) Hypothetical		0.33	%	$	1,000.00	$	1,023.16	$	1.66

*  Expenses are calculated using each Class's annualized net expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO Inflation Indexed Plus Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended December 31, 2008 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended December 31, 2008, $7,635,202 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO International Bond Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Bond Fund

(A Series of GMO Trust)

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 -24.5% for the fiscal year ended February 28, 2009, as compared to the -4.1% return 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 (ECDF), the GMO World Opportunity Overlay Fund (WOOF), and the GMO Short-Duration Collateral Fund (SDCF).

The Fund underperformed the benchmark during the fiscal year by 20.4%. Exposures to SDCF and WOOF were by far the largest negative contributors during the fiscal year, followed by negative contributions from developed interest-rate strategies, exposure to emerging country debt via ECDF, and currency selection.

About 78% of the fiscal year's underperformance was due to price declines in the two funds in which the Fund invests a substantial portion of its total assets: SDCF and WOOF. These funds invest primarily in asset-backed securities. The positions in SDCF and WOOF collateralize the Fund's derivatives positions that seek to deliver the return of the benchmark or to create active exposures in global interest-rate and currency markets.

As the fiscal year was marked by sharply deteriorating liquidity conditions in securitized credit markets, spreads widened to all-time highs in the asset-backed securities held indirectly in the International Bond Fund via holdings of SDCF and WOOF. Such ABS exposure contributed -1,673 bps to the Fund's performance. To increase flexibility, the Fund began holding more U.S. government securities and money market funds. In addition to widening spreads, both SDCF and WOOF's portfolios suffered credit downgrades during the year. SDCF had 123 downgraded securities, and WOOF had 82, representing 27.4% and 25.5% of their respective market values from the beginning of the year. At fiscal year end, 73% of SDCF's portfolio was rated AAA, 8% was rated AA, 2% was rated A, 12% was rated BBB and 5% was rated below BBB. At fiscal year end, 74% of WOOF's portfolio was rated AAA, 6% was rated AA, 2% was rated A, 12% was rated BBB and 6% was rated below BBB.

Further underperformance was attributable to interest-rate and currency strategies. Given the adverse market conditions for interest rates and currencies, characterized by poor liquidity and choppy, gapping prices, the Fund temporarily suspended model-based positions in interest rates and currencies starting in October.

In interest-rate strategies, underperformance of U.S. Treasury principal strips versus LIBOR and other opportunistic trades contributed to developed interest-rate strategy losses. Before model-based interest-rate positions were suspended, Euro-area, U.S., Swedish, and Swiss market positions had contributed positively. Further, the slope and volatility strategies also added value during this time.

GMO International Bond Fund

(A Series of GMO Trust)

Management Discussion and Analysis of Fund Performance — (Continued)

Currency contribution was concentrated before positions were suspended in October. Negative relative currency performance during this time came mainly from the Fund's Swedish krona, Norwegian krone, euro, and New Zealand dollar positions.

A small exposure to emerging country debt also detracted value as spread widening on that asset class contributed negatively, as did negative contributions from both security and 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. Each performance figure assumes a redemption at the end of the stated period and reflects a transaction fee of 2.00% 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.

This page has been left blank intentionally.

GMO International Bond Fund

(A Series of GMO Trust)
Investments Concentration Summary
February 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Debt Obligations		91.2	%
Short-Term Investments		10.2
Options Purchased		1.7
Loan Participations		0.2
Futures		0.2
Loan Assignments		0.1
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.6	)
Swaps		(1.0	)
Forward Currency Contracts		(4.9	)
Other		2.9
		100.0	%
Country Summary**	% of Investments
Japan		45.2	%
Euro Region***		44.6
United Kingdom		8.9
Emerging****		3.4
Canada		2.2
Australia		(0.1	)
United States		(4.2	)
		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.

****  The "Emerging" exposure is associated with investments in the GMO Emerging Country Debt Fund, which is exposed to emerging countries primarily comprised of Philippines, Russia, Venezuela, Brazil, Argentina, Columbia, Uruguay, Mexico, Ivory Coast, and Vietnam. Additional information about the Fund's emerging country exposure is available in the financial statements of the GMO Emerging Country Debt Fund.

1

GMO International Bond Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 18.0%
		Canada — 1.1%
		Foreign Government Obligations
CAD	2,000,000	Government of Canada, 8.00%, due 06/01/23		2,337,148
		France — 2.9%
		Foreign Government Obligations
EUR	5,000,000	Government of France, 4.00%, due 10/25/38		6,187,318
		Germany — 3.3%
		Foreign Government Obligations
EUR	5,000,000	Republic of Deutschland, 4.75%, due 07/04/34		7,056,297
		Japan — 3.1%
		Foreign Government Obligations
JPY	600,000,000	Japan Government Twenty Year Bond, 2.20%, due 06/20/26		6,463,671
		United Kingdom — 3.3%
		Foreign Government Obligations
GBP	5,000,000	U.K. Treasury Gilt, 4.25%, due 12/07/27		6,961,157
		United States — 4.3%
		U.S. Government
USD	9,158,490	U.S. Treasury Inflation Indexed Bond, 0.88%, due 04/15/10 (a) (b)		9,035,418
		TOTAL DEBT OBLIGATIONS (COST $41,529,446)		38,041,009

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 28, 2009

Shares		Description	Value ($)
		MUTUAL FUNDS — 77.4%
		United States — 77.4%
		Affiliated Issuers
	1,119,196	GMO Emerging Country Debt Fund, Class III		6,547,297
	7,084,243	GMO Short-Duration Collateral Fund		121,140,551
	37,466	GMO Special Purpose Holding Fund (c) (d)		27,350
	1,971,169	GMO World Opportunity Overlay Fund		36,170,948
		Total United States		163,886,146
		TOTAL MUTUAL FUNDS (COST $217,115,278)		163,886,146
		SHORT-TERM INVESTMENTS — 7.2%
		Money Market Funds — 7.2%
	15,382,178	State Street Institutional Treasury Plus Money Market Fund-Institutional Class		15,382,178
		TOTAL SHORT-TERM INVESTMENTS (COST $15,382,178)		15,382,178
		TOTAL INVESTMENTS — 102.6%(Cost $274,026,902)		217,309,333
		Other Assets and Liabilities (net) — (2.6%)		(5,545,659	)
		TOTAL NET ASSETS — 100.0%	$	211,763,674

See accompanying notes to the financial statements.

3

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Forward Currency Contracts

Settlement Date	Deliver/Receive	Units of Currency		Value		Net Unrealized Appreciation (Depreciation)
Buys
3/31/09	AUD		900,000	$	574,334	$	(9,766	)
4/07/09	CAD		5,600,000		4,401,666		(206,250	)
3/10/09	EUR		66,300,000		84,047,938		(7,008,482	)
4/14/09	GBP		4,300,000		6,155,194		(148,605	)
3/17/09	JPY		6,589,600,000		67,536,447		(4,735,373	)
				$	162,715,579	$	(12,108,476	)
Sales
4/07/09	CAD		3,000,000	$	2,358,035	$	64,602
3/10/09	EUR		10,900,000		13,817,836		1,427,424
				$	16,175,871	$	1,492,026

Forward Cross Currency Contracts

Settlement Date		Deliver/Units of Currency		Receive/In Exchange For		Net Unrealized Appreciation (Depreciation)
	4/21/09	EUR	1,300,000	SEK	14,040,000	$	(88,995	)

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	4	Australian Government Bond 10 Yr.	March 2009	$	288,884	$	(1,451	)
	7	Australian Government Bond 3 Yr.	March 2009		482,277		2,962
	15	Canadian Government Bond 10 Yr.	June 2009		1,464,239		(12,576	)
	186	Euro BOBL	March 2009		27,589,220		254,595
	225	Euro Bund	March 2009		35,634,428		92,530
	700	Federal Funds 30 day	March 2009		291,004,528		(3,558	)

See accompanying notes to the financial statements.

4

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Futures Contracts — continued

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
	57	Japanese Government Bond 10 Yr. (TSE)	March 2009	$	81,266,229	$	53,088
	31	UK Gilt Long Bond	June 2009		5,267,395		(72,779	)
				$	442,997,200	$	312,811
Sales
	1	U.S. Long Bond (CBT)	March 2009	$	124,609	$	(73	)
	45	U.S. Treasury Note 10 Yr. (CBT)	June 2009		5,401,406		45,920
	14	U.S. Treasury Note 2 Yr. (CBT)	June 2009		3,032,531		1,926
				$	8,558,546	$	47,773

Swap Agreements

Credit Default Swaps

Notional Amount	Expiration Date	Counterparty	Receiveu(Pay)	Annual Premium	Implied Credit Spread (1)	Deliverable on Default	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Market Value
21,000,000 USD	3/20/2014	Deutsche Bank	(Pay)	1.70%	1.86%	Republic of Italy	N/A	$	123,788
15,000,000 USD	3/20/2019	Deutsche Bank	Receive	1.66%	1.81%	Republic of Italy	15,000,000 USD		(154,293	)
								$	(30,505	)
							Premiums to (Pay) Receive	$	—

^u  Receive - Fund receives premium and sells credit protection.
  (Pay) - Fund pays premium and buys credit protection.

(1)  Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of February 28, 2009, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

(2)  The maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

See accompanying notes to the financial statements.

5

GMO International Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

As of February 28, 2009, 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:

(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)  Underlying investment represents interests in defaulted securities.

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

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

SEK - Swedish Krona

USD - United States Dollar

See accompanying notes to the financial statements.

6

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $56,911,624) (Note 2)	$	53,423,187
Investments in affiliated issuers, at value (cost $217,115,278) (Notes 2 and 8)		163,886,146
Cash		4,880,000
Dividends and interest receivable		446,835
Unrealized appreciation on open forward currency contracts (Note 2)		1,492,026
Receivable for open swap contracts (Note 2)		123,788
Receivable for variation margin on open futures contracts (Note 2)		26,707
Receivable for expenses reimbursed by Manager (Note 3)		28,659
Other expense reimbursement from Manager (Note 2)		830,768
Total assets		225,138,116
Liabilities:
Payable to affiliate for (Note 3):
Management fee		41,545
Shareholder service fee		24,927
Trustees and Chief Compliance Officer of GMO Trust fees		710
Unrealized depreciation on open forward currency contracts (Note 2)		12,197,471
Payable for open swap contracts (Note 2)		154,293
Accrued expenses		955,496
Total liabilities		13,374,442
Net assets	$	211,763,674
Net assets consist of:
Paid-in capital	$	304,787,150
Accumulated undistributed net investment income		36,205,632
Accumulated net realized loss		(62,099,139	)
Net unrealized depreciation		(67,129,969	)
	$	211,763,674
Net assets attributable to:
Class III shares	$	211,763,674
Shares outstanding:
Class III		34,308,510
Net asset value per share:
Class III	$	6.17

See accompanying notes to the financial statements.

7

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	9,649,678
Dividends		94,502
Interest		336,778
Total investment income		10,080,958
Expenses:
Management fee (Note 3)		974,604
Shareholder service fee – Class III (Note 3)		584,762
Custodian, fund accounting agent and transfer agent fees		178,570
Audit and tax fees		70,030
Legal fees		18,400
Trustees fees and related expenses (Note 3)		8,689
Registration fees		3,503
Miscellaneous		5,492
Total expenses		1,844,050
Fees and expenses reimbursed by Manager (Note 3)		(264,543	)
Indirectly incurred fees waived or borne by Manager (Note 3)		(51,113	)
Shareholder service fee waived (Note 3)		(17,935	)
Net expenses		1,510,459
Net investment income (loss)		8,570,499
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		3,519,186
Investments in affiliated issuers		(35,703,191	)
Realized gains distributions from affiliated issuers (Note 8)		416,726
Closed futures contracts		7,701,798
Closed swap contracts		4,769,163
Written options		(1,374,173	)
Foreign currency, forward contracts and foreign currency related transactions		(7,047,247	)
Net realized gain (loss)		(27,717,738	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(5,441,902	)
Investments in affiliated issuers		(29,011,852	)
Open futures contracts		(6,429,000	)
Open swap contracts		(1,537,600	)
Foreign currency, forward contracts and foreign currency related transactions		(32,091,067	)
Net unrealized gain (loss)		(74,511,421	)
Net realized and unrealized gain (loss)		(102,229,159	)
Net increase (decrease) in net assets resulting from operations	$	(93,658,660	)

See accompanying notes to the financial statements.

8

GMO International Bond Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	8,570,499		$	21,814,702
Net realized gain (loss)		(27,717,738	)		12,166,724
Change in net unrealized appreciation (depreciation)		(74,511,421	)		4,962,721
Net increase (decrease) in net assets from operations		(93,658,660	)		38,944,147
Distributions to shareholders from:
Net investment income
Class III		(53,793,041	)		(48,502,819	)
Net share transactions (Note 7):
Class III		(155,905,746	)		74,650,906
Redemption fees (Notes 2 and 7):
Class III		550,622			—
Total increase (decrease) in net assets resulting from net share transactions and redemption fees		(155,355,124	)		74,650,906
Total increase (decrease) in net assets		(302,806,825	)		65,092,234
Net assets:
Beginning of period		514,570,499			449,478,265
End of period (including accumulated undistributed net investment income of $36,205,632 and $199,241, respectively)	$	211,763,674		$	514,570,499

See accompanying notes to the financial statements.

9

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	9.51		$	9.73		$	9.57		$	10.61		$	10.38
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.19			0.41			0.41			0.21			0.17
Net realized and unrealized gain (loss)		(2.32	)		0.31			0.38			(0.93	)		1.02
Total from investment operations		(2.13	)		0.72			0.79			(0.72	)		1.19
Less distributions to shareholders:
From net investment income		(1.21	)		(0.94	)		(0.54	)		(0.31	)		(0.91	)
From net realized gains		—			—			(0.09	)		(0.01	)		(0.05	)
Total distributions		(1.21	)		(0.94	)		(0.63	)		(0.32	)		(0.96	)
Net asset value, end of period	$	6.17		$	9.51		$	9.73		$	9.57		$	10.61
Total Return(b)		(24.52	)%		8.09	%		8.32	%		(6.83	)%		11.81	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	211,764		$	514,570		$	449,478		$	422,528		$	438,365
Net expenses to average daily net assets(c)		0.39	%		0.38	%(d)		0.39	%		0.39	%		0.39	%
Net investment income to average daily net assets(a)		2.20	%		4.26	%		4.17	%		2.13	%		1.65	%
Portfolio turnover rate		47	%		51	%		32	%		36	%		51	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.09	%		0.07	%		0.26	%(e)		0.08	%		0.09	%
Redemption fees consisted of the following per share amounts:†	$	0.01			—			—			—			—

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

(b)  The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown and assumes the effect of reinvested distributions. Calculation excludes redemption fees which are borne by the shareholder.

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

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

(e)  Includes 0.19% non-recurring Internal Revenue Code Section 860 expense reimbursed by the Manager (Note 2).

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

10

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 included in the JPMorgan Non-U.S. Government Bond Index and in securities and instruments with similar characteristics. The Fund seeks additional returns by seeking to exploit differences in global interest rates and 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 (also known as "junk bonds")), 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.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund will, if deemed prudent by the Manager, take temporary defensive measures (until the Manager has determined that normal conditions have returned or that it is otherwise prudent to resume investing in accordance with the Fund's normal investment strategies) and may not achieve its investment objectives

11

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

during those periods. Recent changes in the credit markets have reduced the liquidity of all types of fixed income securities, including asset-backed securities. The Fund took temporary defensive measures during the last fiscal year.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 41.23% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security

12

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

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. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. For the year ended February 28, 2009, the Fund received $84,846 through SPHF in connection with settlement agreements related to that litigation.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered interest in certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments*
Level 1 - Quoted Prices	$	6,547,297	$	451,021
Level 2 - Other Significant Observable Inputs		210,734,686		1,492,026
Level 3 - Significant Unobservable Inputs		27,350		123,788
Total	$	217,309,333	$	2,066,835

*  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

13

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(90,437	)
Level 2 - Other Significant Observable Inputs		—		(12,197,471	)
Level 3 - Significant Unobservable Inputs		—		(154,293	)
Total	$	—	$	(12,442,201	)

**  Other financial instruments include forward currency contracts, futures contracts and swap agreements.

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments***
Balance as of February 29, 2008	$	47,207		$	—
Accrued discounts/premiums		—			—
Realized gain (loss)		—			—
Realized gain distributions received		64,805			—
Realized gain distributions paid		(84,846	)		—
Change in unrealized appreciation/depreciation		184			(30,505	)
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	27,350		$	(30,505	)

***  Other financial instruments include swap agreements.

Foreign currency translation

The market values of foreign securities, currency holdings and related assets and liabilities are translated to U.S. dollars based on the 4 p.m. New York time exchange rates each business day. Income and expenses denominated in foreign currencies are translated at the 4 p.m. New York time exchange rates on the business day the income and expenses are 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

14

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. They expose the Fund to the risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. 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 cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 (i.e., sell) call and put options. Writing options alters the Fund's exposure to the underlying instrument by, in the case of a call option, obligating the Fund to sell the underlying instrument

15

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. In the case of an index option, settlement will be in cash. 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 that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are deducted from 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 option. In the event that the Fund writes uncovered put or call options (i.e. options for investments that the Fund does not own), it bears the risk of substantial losses if the price of the underlying instrument increases during the term of the option. Options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund had no open written option contracts outstanding at the end of the period.

For the year ended February 28, 2009, the Fund's investment activity in options contracts written by the Fund was as follows:

	Puts				Calls
	Principal of Contracts		Amount Premiums		Principal of Contracts			Amount Premiums
Outstanding, beginning of year	$	—	$	—		—		$	—
Options written		—		—	JPY	5,701,000,000			533,496
Options exercised		—		—	JPY	(5,701,000,000	)		(533,496	)
Options expired		—		—		—			—
Options sold		—		—		—			—
Outstanding, end of year	$	—	$	—		—		$	—

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 for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are deducted from 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. The Fund had no purchased option contracts outstanding at the end of the period.

16

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund values exchange traded options at the last sale price, or if no sale is reported, the last bid price for options it has purchased and the last ask price for options it has written. The Fund values options traded over-the-counter using inputs provided by primary pricing sources and industry standard models.

Indexed securities

The Fund may invest in indexed securities. Indexed securities are securities whose 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 investing through conventional securities is difficult. 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit

17

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

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

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. 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. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

18

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Reverse repurchase agreements

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at 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 under the reverse repurchase agreement into which it has entered. Reverse repurchase agreements expose the Fund to 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 them under the agreement. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund's right to repurchase the securities. Furthermore, in that situation the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of the securities and the payment it received for them. This loss would be greater to the extent the buyer paid less than the value of the securities the Fund sold to it (e.g., a buyer may pay $95 for a bond with a market value of $100). 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. The Fund had no reverse repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

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

19

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, derivative contract transactions, foreign currency transactions, partnership interest tax allocations, losses on wash sale transactions, post-October capital losses and differing treatment for security 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	81,228,933	$	(10,706,310	)	$	(70,522,623	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	53,793,041	$	48,502,819
Total distributions	$	53,793,041	$	48,502,819

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 20,822,918

As of February 28, 2009, the Fund elected to defer March 1, 2009 post-October capital losses of $8,848,476.

20

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Such losses expire as follows:

2/28/2015	$	(23,687,952	)
2/29/2016		(507,910	)
2/28/2017		(14,485,912	)
Total	$	(38,681,774	)

Utilization of the capital loss carryforwards, post-October capital losses and future losses, if any, realized subsequent to February 28, 2009 could be subject to limitations imposed by the Code related to share ownership activity.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	283,882,887	$	27,350	$	(66,600,904	)	$	(66,573,554	)

On October 12, 2006, the Fund paid a dividend under Code Section 860 of $0.09229 per share to shareholders of record as of October 11, 2006. It is anticipated the Fund will be required to make a payment, estimated to be, $830,768 to the Internal Revenue Service ("IRS") related to such dividend, which has been included in accrued expenses on the Statement of Assets and Liabilities. The Manager will make a reimbursement payment to the Fund concurrent with the Fund's payment to the IRS.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is

21

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

adjusted for inflation and any increase or decrease 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary (See Note 3).

State Street Bank and Trust Company ("State Street") serves as custodian, fund accounting agent and transfer agent of the Fund. State Street's fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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

Effective October 8, 2008, the Fund instituted a fee on cash redemptions of 0.97% of the amount redeemed. Effective October 21, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash redemption is offset by a corresponding cash purchase on the same day, the Fund will ordinarily waive or reduce the redemption fee with respect to that portion. In addition, the Fund may waive or reduce the redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions.

Investment risks

The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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

22

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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. Additionally, the investment risks associated with an investment in the underlying funds may be greater to the extent that the underlying funds engage in derivative transactions.

To manage the Fund's cash collateral needs in extraordinary market conditions, the Manager reserves the right to reduce or eliminate the Fund's derivative exposures, including those that are intended to cause the Fund to track its benchmark more closely. A reduction in those exposures without replacing them with benchmark securities will tend to cause the performance of the Fund to track its benchmark less closely and make the Fund's performance more dependent on the performance of the asset-backed securities it holds directly or indirectly.

To address in part the cash management issues described above, the Fund expects to honor nearly all redemptions of its shares in-kind for the foreseeable future. If redeeming shareholders from the Fund choose to sell assets received in-kind immediately and current adverse market conditions continue, they may experience difficulty selling the assets at favorable prices. To the extent that the Fund honors redemptions in cash, redeeming shareholders will bear the redemption fees described in the Purchases and Redemptions of Fund Shares note.

Among other trading agreements, the Fund is party to International Swaps and Derivatives Association, Inc. Master Agreements ("ISDA Agreements") with select counterparties that generally govern over-the-counter derivative transactions entered into by the Fund. The ISDA Master Agreements typically include standard representations and warranties as well as contractual terms related to collateral, events of default, termination events, and other standard provisions. Termination events may include the decline in the net assets of the Fund below a certain level over a specified period of time and may entitle a counterparty to elect to terminate early with respect to some or all the transactions under the ISDA Agreement with that counterparty. Such an election by one or more of the counterparties could have a material impact on the Fund's operations. Due to declines in the net assets of the Fund during the year ended February 28, 2009, one or more counterparties may be entitled to terminate early but none has taken such action.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

23

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.25% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares. The Manager 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%.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.25% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, expenses indirectly incurred by investment in the underlying funds, fees and expenses of the independent Trustees of the Trust, fees and expenses for legal services not approved by the Manager for the Trust, 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). In addition, the Manager has contractually agreed to reimburse the Fund through at least June 30, 2009 to the extent that the sum of (a) the Fund's total annual operating expenses (excluding Excluded Expenses) and (b) the amount of fees and expenses incurred indirectly by the Fund through its investment in ECDF (excluding ECDF's Excluded 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 28, 2009, 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
	0.018	%		0.005	%		0.007	%		0.030	%

24

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $8,020 and $2,726, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

For the year ended February 28, 2009, 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	$	28,596,888	$	19,045,988
Investments (non-U.S. Government securities)		144,198,263		352,310,355

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 60.24% of the outstanding shares of the Fund were held by three shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 2.17% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 26.63% of the Fund's shares were held by accounts for which the Manager had investment discretion.

25

GMO International Bond Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		251,099		$	2,399,856			17,938,459		$	170,818,174
Shares issued to shareholders in reinvestment of distributions		6,462,644			51,930,698			5,136,298			46,494,576
Shares repurchased		(26,487,403	)		(210,236,300	)		(15,192,711	)		(142,661,844	)
Redemption Fees		—			550,622			—			—
Net increase (decrease)		(19,773,660	)	$	(155,355,124	)		7,882,046		$	74,650,906

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	15,711,607	$	1,125,728	$	4,800,000	$	793,848		$	331,880	$	6,547,297
GMO Short-Duration Collateral Fund		362,492,061		98,652,165		280,879,778		8,855,830	u		—		121,140,551
GMO Special Purpose Holding Fund		47,207		—		—		—			84,846		27,350
GMO World Opportunity Overlay Fund		99,460,635		10,600,000		58,100,000		—			—		36,170,948
Totals	$	477,711,510	$	110,377,893	$	343,779,778	$	9,649,678		$	416,726	$	163,886,146

^u  The Fund received total distributions in the amount of $24,564,273, of which $15,708,443 was a return of capital.

26

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

27

GMO International Bond Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including 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, 2008 through February 28, 2009.

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		0.42	%	$	1,000.00	$	800.40	$	1.87
2) Hypothetical		0.42	%	$	1,000.00	$	1,022.71	$	2.11

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 0 days in the period, divided by 365 days in the year.

28

GMO International Bond Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $6,519,998 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

31

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

33

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

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 -15.1% for the fiscal year ended February 28, 2009, as compared to +0.2% for the CPI Index. During the fiscal year the Fund was exposed to a range of asset classes through direct investment and indirectly through its investment in underlying GMO mutual funds. The Fund received fixed income securities from certain underlying GMO mutual funds during the year via an in-kind transaction.

Implementation was negative, detracting 0.2%, as several of the underlying GMO mutual funds underperformed their respective benchmarks. The GMO Strategic Fixed Income Fund was the primary driver of the underperformance.

Asset allocation detracted 14.7%. The Fund's weightings in equities and exposure to fixed income drove the underperformance.

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 .10% on the purchase and 2.00% 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		56.9	%
Cash and Cash Equivalents		24.8
Debt Obligations		24.5
Short-Term Investments		13.7
Preferred Stocks		0.5
Options Purchased		0.5
Investment Funds		0.2
Forward Currency Contracts		0.1
Loan Participations		0.1
Loan Assignments		0.0
Private Equity Securities		0.0
Rights and Warrants		0.0
Convertible Securities		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.2	)
Futures		(11.1	)
Swaps		(12.2	)
Other		2.2
		100.0	%

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

1

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Country / Region Summary**	% of Investments
United States		92.0	%
Japan		2.1
Brazil		1.3
Korea		1.0
Taiwan		0.8
China		0.6
Sweden		0.6
South Africa		0.5
Russia		0.4
Turkey		0.4
Philippines		0.3
Thailand		0.3
Argentina		0.1
Canada		0.1
Colombia		0.1
Egypt		0.1
India		0.1
Indonesia		0.1
Israel		0.1
Ivory Coast		0.1
Malaysia		0.1
Mexico		0.1
Poland		0.1
Switzerland		0.1
Uruguay		0.1
Venezuela		0.1
Singapore		(0.1	)
Hong Kong		(0.4	)
United Kingdom		(0.5	)
Euro Region***		(0.7	)
		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 28, 2009

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 3.9%
		Asset-Backed Securities — 3.9%
		Auto Financing — 0.6%
	800,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		770,576
	100,000	Capital Auto Receivable Asset Trust, Series 07-SN1, Class A4, 1 mo. LIBOR + .10%, 0.56%, due 02/15/11		77,270
	700,000	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.81%, due 07/15/14		536,375
	500,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.30%, due 11/10/14		394,000
	300,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		210,600
	500,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		325,000
	1,400,000	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.46%, due 03/15/13		1,129,982
	1,300,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		780,000
	600,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.66%, due 07/15/11		552,188
	600,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 06/17/13		569,112
	600,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.46%, due 05/15/12		486,000
	667,703	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		600,933
	1,100,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		737,000
	1,200,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		840,000
		Total Auto Financing		8,009,036
		Bank Loan Collateralized Debt Obligations — 0.1%
	1,840,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 1.68%, due 07/05/11		1,630,350

See accompanying notes to the financial statements.

3

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Business Loans — 0.3%
	549,873	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.84%, due 01/25/35		383,041
	534,006	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.75%, due 05/15/32		380,629
	1,600,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, 1 mo. LIBOR + .01%, 0.48%, due 07/20/12		1,148,153
	1,458,843	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 09/25/30		700,245
	700,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.58%, due 02/25/13		600,530
	600,000	Textron Financial Floorplan Master Note, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .06%, 0.51%, due 03/13/12		492,900
		Total Business Loans		3,705,498
		CMBS — 0.3%
	700,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.59%, due 12/15/20		517,230
	800,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		734,014
	178,376	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 11/05/21		147,941
	822,268	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 03/06/20		649,839
	1,100,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45		968,264
	500,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39		435,781
	140,111	Morgan Stanley Dean Witter Capital I, Series 03-TOP9, Class A1, 3.98%, due 11/13/36		134,991
	531,911	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.55%, due 09/15/21		372,337
		Total CMBS		3,960,397
		CMBS Collateralized Debt Obligations — 0.1%
	1,600,000	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 2.05%, due 11/23/52		128,000
	1,724,065	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 1.82%, due 06/28/19		1,241,327
		Total CMBS Collateralized Debt Obligations		1,369,327

See accompanying notes to the financial statements.

4

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — 0.7%
	1,400,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.50%, due 02/15/13		1,330,336
	1,900,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 1.38%, due 06/16/14		1,709,618
	700,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		481,663
	800,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		722,640
	1,600,000	Discover Card Master Trust I, Series 96-4, Class A, 1 mo. LIBOR + .38%, 0.83%, due 10/16/13		1,435,200
	1,200,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, 1 mo. LIBOR + .04%, 0.50%, due 03/15/13		1,110,576
	1,100,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, 1 mo. LIBOR + .05%, 0.51%, due 04/15/13		941,188
	200,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, 1 mo. LIBOR + .15%, 0.61%, due 01/15/14		183,058
	800,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		628,000
	1,300,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.59%, due 02/15/17		922,454
		Total Credit Cards		9,464,733
		Equipment Leases — 0.1%
	800,000	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.41%, due 08/15/14		716,000
	1,000,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.71%, due 06/14/11		895,000
		Total Equipment Leases		1,611,000
		Insurance Premiums — 0.1%
	800,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 12/15/11		765,760
		Insured Auto Financing — 0.3%
	130,733	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, 1 mo. LIBOR + .08%, 0.53%, due 05/06/12		120,258

See accompanying notes to the financial statements.

5

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Auto Financing — continued
	1,400,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.49%, due 10/06/13		938,420
	800,000	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.95%, due 03/08/16		422,728
	200,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		191,328
	800,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, 1 mo. LIBOR + .02%, 0.47%, due 07/15/13		638,008
	953,066	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.97%, due 04/16/12		887,086
	1,100,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 1.11%, due 10/15/14		749,133
	1,100,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		776,490
		Total Insured Auto Financing		4,723,451
		Insured Credit Cards — 0.1%
	1,200,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, 1 mo. LIBOR + .12%, 0.58%, due 03/15/11		1,198,425
		Insured Other — 0.1%
	1,000,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		500,000
	860,283	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 12/15/41		548,060
	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		256,325
		Total Insured Other		1,304,385
		Insured Residential Asset-Backed Securities (United States) — 0.0%
	530,624	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.69%, due 11/25/35		122,574

See accompanying notes to the financial statements.

6

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	233,461	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.80%, due 01/25/35		95,720
	116,677	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 1.02%, due 08/15/30		51,290
	368,667	Wachovia Asset Securitization, Inc., Series 04-HE1, Class A, MBIA, 1 mo. LIBOR + .22%, 0.69%, due 06/25/34		143,975
		Total Insured Residential Mortgage-Backed Securities (United States)		290,985
		Insured Time Share — 0.0%
	37,232	Cendant Timeshare Receivables Funding LLC, Series 04-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .18%, 0.65%, due 05/20/16		30,020
	201,924	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .18%, 0.65%, due 05/20/17		145,322
		Total Insured Time Share		175,342
		Investment Grade Corporate Collateralized Debt Obligations — 0.1%
	1,600,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, 3 mo. LIBOR + .65%, 2.18%, due 12/20/09		885,600
	1,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, 3 mo. LIBOR + .52%, 2.05%, due 03/20/10		388,000
	1,400,000	Salisbury International Investments Ltd., 3 mo. LIBOR + .42%, 1.95%, due 06/22/10		339,920
		Total Investment Grade Corporate Collateralized Debt Obligations		1,613,520
		Residential Asset-Backed Securities (United States) — 0.6%
	29,142	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.61%, due 02/25/36		4,659
	1,074,698	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 11/25/36		561,863
	600,000	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		151,125
	1,200,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.62%, due 10/25/36		565,440
	122,119	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, 1 mo. LIBOR + .06%, 0.53%, due 11/25/36		112,899

See accompanying notes to the financial statements.

7

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	597,419	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.80%, due 05/28/39		398,717
	938,802	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 05/28/39		626,181
	560,302	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 02/25/37		467,852
	1,200,000	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.63%, due 06/25/36		816,240
	723,260	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.55%, due 03/25/37		663,230
	117,977	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.77%, due 04/25/34		21,015
	800,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 04/25/36		317,000
	509,895	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.57%, due 08/25/36		451,894
	888,990	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 01/20/35		552,424
	600,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		240,000
	2,400,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 08/25/36		600,000
	841,175	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		92,529
	403,935	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.59%, due 02/25/37		316,142
	1,150,778	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 04/25/37		909,115
	1,154,263	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.72%, due 01/25/36		895,131
		Total Residential Asset-Backed Securities (United States)		8,763,456
		Residential Mortgage-Backed Securities (Australian) — 0.1%
	720,387	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 1.72%, due 09/27/35		575,359
	320,304	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 2.31%, due 12/08/36		246,637

See accompanying notes to the financial statements.

8

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	826,209	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 2.05%, due 06/14/37		674,962
	398,166	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 1.42%, due 01/12/37		328,360
		Total Residential Mortgage-Backed Securities (Australian)		1,825,318
		Residential Mortgage-Backed Securities (European) — 0.2%
	700,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 1.64%, due 09/20/66		636,160
	700,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		565,110
	279,369	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.51%, due 12/20/54		173,209
	41,720	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .21%, 1.45%, due 05/15/34		38,533
	572,565	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 2.10%, due 09/15/39		499,609
	800,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 1.32%, due 02/12/16		699,200
	350,000	Permanent Financing Plc, Series 4, Class 3A, 3 mo. LIBOR + .14%, 2.33%, due 03/10/24		349,359
		Total Residential Mortgage-Backed Securities (European)		2,961,180
		Residential Mortgage-Backed Securities (United States) — 0.0%
	129,500	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.77%, due 08/25/35		53,095
		Student Loans — 0.1%
	1,500,000	College Loan Corp. Trust, Series 06-1, Class A2, 3 mo. LIBOR + .02%, 1.18%, due 04/25/22		1,464,450
		Time Share — 0.0%
	287,940	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.47%, due 02/20/20		244,479
		Total Asset-Backed Securities		55,256,761

See accompanying notes to the financial statements.

9

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares		Description	Value ($)
		U.S. Government Agency — 0.0%
	66,850	Agency for International Development Floater (Support of C.A.B.E.I), 6 mo. U.S. Treasury Bill + .40%, 0.90%, due 10/01/12 (a)		64,515
	201,584	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.07%, due 10/01/11 (a)		194,851
	200,000	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 1.00%, due 01/01/12 (a)		191,978
		Total U.S. Government Agency		451,344
		TOTAL DEBT OBLIGATIONS (COST $60,280,576)		55,708,105
		MUTUAL FUNDS — 95.1%
		Affiliated Issuers — 95.1%
	75,355,860	GMO Alpha Only Fund, Class IV		434,803,314
	746,276	GMO Alternative Asset Opportunity Fund		16,373,298
	3,603,614	GMO Emerging Country Debt Fund, Class IV		21,081,143
	10,333,178	GMO Emerging Markets Fund, Class VI		64,789,027
	3,031,314	GMO Flexible Equities Fund, Class VI		46,651,926
	10,171,588	GMO International Small Companies Fund, Class III		42,720,670
	1,769,722	GMO Special Situations Fund, Class VI		45,145,613
	15,899,118	GMO Strategic Fixed Income Fund, Class VI		275,849,692
	28,330,407	GMO U.S. Quality Equity Fund, Class VI		401,725,164
	935,677	GMO World Opportunity Overlay Fund		17,169,667
		TOTAL MUTUAL FUNDS (COST $1,865,631,447)		1,366,309,514

See accompanying notes to the financial statements.

10

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.0%
		Money Market Funds — 1.0%
	14,873,128	State Street Institutional U.S. Government Money Market Fund-Institutional Class		14,873,128
		TOTAL SHORT-TERM INVESTMENTS (COST $14,873,128)		14,873,128
		TOTAL INVESTMENTS — 100.0% (Cost $1,940,785,151)		1,436,890,747
		Other Assets and Liabilities (net) — 0.00%		60,003
		TOTAL NET ASSETS — 100.0%	$	1,436,950,750

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

CDO - Collateralized Debt Obligation

CMBS - Collateralized Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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).

See accompanying notes to the financial statements.

11

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $75,153,704) (Note 2)	$	70,581,233
Investments in affiliated issuers, at value (cost $1,865,631,447) (Notes 2 and 8)		1,366,309,514
Receivable for investments sold		35,149
Receivable for Fund shares sold		10,759,373
Interest receivable		87,479
Receivable for expenses reimbursed by Manager (Note 3)		9,772
Miscellaneous receivable		10,770
Total assets		1,447,793,290
Liabilities:
Payable for investments purchased		10,771,958
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		4,743
Accrued expenses		65,839
Total liabilities		10,842,540
Net assets	$	1,436,950,750
Net assets consist of:
Paid-in capital	$	1,945,874,201
Distributions in excess of net investment income		(13,947,767	)
Accumulated net realized gain		8,918,720
Net unrealized depreciation		(503,894,404	)
	$	1,436,950,750
Net assets attributable to:
Class III shares	$	1,436,950,750
Shares outstanding:
Class III		82,048,049
Net asset value per share:
Class III	$	17.51

See accompanying notes to the financial statements.

12

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	216,163,148
Interest		1,657,025
Total investment income		217,820,173
Expenses:
Custodian, fund accounting agent and transfer agent fees		49,153
Audit and tax fees		31,829
Legal fees		38,948
Chief Compliance Officer (Note 3)		11,194
Trustees fees and related expenses (Note 3)		26,698
Registration fees		4,669
Miscellaneous		7,248
Total expenses		169,739
Fees and expenses reimbursed by Manager (Note 3)		(131,847	)
Expense reductions (Note 2)		(64	)
Net expenses		37,828
Net investment income (loss)		217,782,345
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(292,903	)
Investments in affiliated issuers		(86,021,943	)
Realized gains distributions from affiliated issuers (Note 8)		119,483,196
Net realized gain (loss)		33,168,350
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(4,572,471	)
Investments in affiliated issuers		(494,607,766	)
Net unrealized gain (loss)		(499,180,237	)
Net realized and unrealized gain (loss)		(466,011,887	)
Net increase (decrease) in net assets resulting from operations	$	(248,229,542	)

See accompanying notes to the financial statements.

13

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	217,782,345		$	62,933,065
Net realized gain (loss)		33,168,350			145,547,623
Change in net unrealized appreciation (depreciation)		(499,180,237	)		(101,039,835	)
Net increase (decrease) in net assets from operations		(248,229,542	)		107,440,853
Distributions to shareholders from:
Net investment income
Class III		(249,189,711	)		(64,024,461	)
Net realized gains
Class III		(37,083,602	)		(155,574,713	)
		(286,273,313	)		(219,599,174	)
Net share transactions (Note 7):
Class III		361,232,562			425,678,284
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		154,811			149,820
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		361,387,373			425,828,104
Total increase (decrease) in net assets		(173,115,482	)		313,669,783
Net assets:
Beginning of period		1,610,066,232			1,296,396,449
End of period (including distributions in excess of net investment income of $13,947,767 and accumulated undistributed net investment income of $5,684,233, respectively)	$	1,436,950,750		$	1,610,066,232

See accompanying notes to the financial statements.

14

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	25.30		$	26.92		$	27.76		$	26.50		$	24.28
Income (loss) from investment operations:
Net investment income (loss)(a)†		3.21			1.19			0.80			1.26			0.98
Net realized and unrealized gain (loss)		(6.72	)		1.18			1.63			2.93			3.00
Total from investment operations		(3.51	)		2.37			2.43			4.19			3.98
Less distributions to shareholders:
From net investment income		(3.71	)		(1.12	)		(1.16	)		(1.51	)		(0.99	)
From net realized gains		(0.57	)		(2.87	)		(2.11	)		(1.42	)		(0.77	)
Total distributions		(4.28	)		(3.99	)		(3.27	)		(2.93	)		(1.76	)
Net asset value, end of period	$	17.51		$	25.30		$	26.92		$	27.76		$	26.50
Total Return(b)		(15.11	)%		8.60	%		9.31	%		16.50	%		16.74	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	1,436,951		$	1,610,066		$	1,296,396		$	1,207,625		$	1,068,099
Net expenses to average daily net assets(c)(d)		0.00	%(e)		0.00	%(e)		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		14.05	%		4.30	%		2.94	%		4.64	%		3.92	%
Portfolio turnover rate		40	%		57	%		45	%		47	%		50	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.01	%		0.01	%		0.01	%		0.01	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(f)	$	0.00	(f)	$	0.00	(f)	$	0.00	(f)	$	0.07

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

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

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

(d)  Net expenses to average daily net assets were less than 0.01%.

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

(f)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

15

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, 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 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 primarily 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 Alternative Asset Opportunity Fund, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund. In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities. The Fund is not restricted in its exposure to any particular asset class, and at times may be substantially invested in underlying funds that primarily invest in a single asset class (e.g., Fixed Income Funds). In addition, the Fund is not restricted in its exposure to any particular market. While the Fund generally will have exposure to both emerging countries and developed countries, including the U.S., at times, it may have substantial exposure to a particular country or type of country (e.g., emerging countries).

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 Alternative Asset Opportunity Fund, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund are not publicly available for direct purchase.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

The Fund currently limits subscriptions due to capacity considerations.

16

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 18.09% 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.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by primary pricing sources may differ from the value that would be realized if the securities were sold, and the differences could be material.

17

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Certain securities held by the Fund and underlying funds are valued on the basis of prices provided by a single source. As of February28, 2009, the total value of these securities represented 7.35% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund valued debt securities using indicative bids received from primary pricing sources.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	1,240,969,010	$	—
Level 2 - Other Significant Observable Inputs		140,213,632		—
Level 3 - Significant Unobservable Inputs		55,708,105		—
Total	$	1,436,890,747	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

18

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	—		$	—
Accrued discounts/premiums		653,375			—
Realized gain (loss)		551,395			—
Change in unrealized appreciation/depreciation		(4,586,861	)		—
Net purchases (sales)		59,090,196			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	55,708,105		$	—

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

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

19

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

U.S. GAAP and tax accounting differences primarily relate to differing treatment of mutual fund distributions received, partnership interest tax allocations, losses on wash sale transactions, amortization and accretion of debt securities, 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Gain			Paid-in Capital
$	11,775,366	$	(11,031,123	)	$	(744,243	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	249,189,711	$	64,214,608
Net long-term capital gain		37,083,602		155,384,566
Total distributions	$	286,273,313	$	219,599,174

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any net short-term capital gain)	$	11,604,457
Undistributed net long-term capital gain	$	1,382,594

20

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	1,958,801,249	$	10,400,955	$	(532,311,457	)	$	(521,910,502	)

For the year ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $744,243.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary, and the Manager has a conflict in allocating among the underlying funds. (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

21

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Purchases and redemptions of Fund shares

Effective June 30, 2008, the premium on cash purchases of Fund shares was changed to 0.13% of the amount invested and the fee on cash redemptions was changed to 0.12% of the amount redeemed. Effective September 30, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.01% of the amount invested or redeemed. Effective October 8, 2008, the fee on cash redemptions was changed to 0.30% of the amount redeemed. Effective October 21, 2008, the premium on cash purchases was changed to 0.10% of the amount invested and the fee on cash redemptions was changed to 0.72% of the amount redeemed. Effective November 24, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the premium on cash purchases was 0.10% of the amount invested and the fee on cash redemptions was 2.00% of the amount redeemed. The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or a portion of the redemption fees may be waived at the Manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemptions fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in-capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

22

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund an advisory fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.415	%		0.071	%		0.005	%		0.491	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $21,812 and $11,194, respectively. The compensation and expenses of the CCO are included in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

23

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 28, 2009 aggregated $1,021,300,463 and $618,482,001, respectively. Cost of purchases and proceeds from sales of securities for in-kind transactions for the year ended February 28, 2009 were 96,781,930 and 96,781,930, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 22.51% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 1.10% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 97.26% of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		5,802,830		$	125,161,583			9,819,038		$	279,628,825
Shares issued to shareholders in reinvestment of distributions		14,154,108			273,113,176			7,959,463			209,394,517
Shares repurchased		(1,546,197	)		(37,042,197	)		(2,301,160	)		(63,345,058	)
Purchase premiums		—			97,972			—			7,597
Redemption fees		—			56,839			—			142,223
Net increase (decrease)		18,410,741		$	361,387,373			15,477,341		$	425,828,104

24

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	407,035,363	$	450,879,144	$	218,772,424	$	184,628,593	$	82,726,158	$	434,803,314
GMO Alternative Asset Opportunity Fund		24,885,255		—		134,760		—		—		16,373,298
GMO Emerging Country Debt Fund, Class IV		32,949,175		2,508,930		145,509		2,772,449		695,994		21,081,143
GMO Emerging Markets Fund, Class VI		285,823,205		179,090,131		320,065,726		1,236,621		33,853,509		64,789,027
GMO Flexible Equities Fund, Class VI		—		60,229,753		—		7,208		—		46,651,926
GMO International Small Companies Fund, Class III		—		52,680,453		—		1,180,453		—		42,720,670
GMO Special Situations Fund, Class VI		80,727,015		—		45,980,720		—		—		45,145,613
GMO Strategic Fixed Income Fund, Class VI		488,748,982		18,876,276		117,097,469		18,736,964		—		275,849,692
GMO U.S. Core Equity Fund, Class VI		2,807		46		1,815		46		—		—
GMO U.S. Quality Equity Fund, Class VI		289,904,690		258,667,216		2,388,066		7,600,814		2,207,535		401,725,164
GMO World Opportunity Overlay Fund		—		18,522,133		4,865		—		—		17,169,667
Totals	$	1,610,076,492	$	1,041,454,082	$	704,591,354	$	216,163,148	$	119,483,196	$	1,366,309,514

25

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

26

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.48	%	$	1,000.00	$	870.50	$	2.23
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

27

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $37,083,602 from long-term capital gains.

For taxable, non-corporate shareholders, 8.06% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 4.70% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $20,325,691 or if determined to be different, the qualified interest income 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

30

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

31

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

32

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

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 -24.3% for the fiscal year ended February 28, 2009, as compared to -33.6% for the Fund's benchmark, the GMO Global Balanced Index (65% MSCI ACWI [All Country World Index] Index and 35% Barclays Capital U.S. Aggregate Index). During the fiscal year the Fund was exposed to global equity and fixed income securities through direct investment and indirectly through its investment in underlying GMO mutual funds. The Fund received fixed income securities from certain underlying GMO mutual funds during the year via an in-kind transaction.

Implementation was slightly positive, as the GMO U.S. Quality Equity Fund and the GMO International Intrinsic Value Fund outperformed their respective benchmarks.

Asset allocation was responsible for the bulk of the fund's outperformance of its benchmark. The Fund's underweight to global equities and overweight to fixed income 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. 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 .09% on the purchase and 2.00% 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% Barclays Capital U.S. Aggregate Index prior to 3/31/2007 and 65% MSCI ACWI (All Country World Index) Index and 35% Barclays Capital U.S. Aggregate Index thereafter.

**  The GMO Global Balanced Asset Allocation Index 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		60.4	%
Debt Obligations		24.7
Cash and Cash Equivalents		13.8
Short-Term Investments		11.0
Preferred Stocks		0.8
Options Purchased		0.3
Investment Funds		0.2
Private Equity Securities		0.0
Loan Participations		0.0
Loan Assignments		0.0
Convertible Securities		0.0
Forward Currency Contracts		0.0
Rights and Warrants		0.0
Promissory Notes		0.0
Reverse Repurchase Agreements		(0.0	)
Written Options		(0.2	)
Futures		(6.3	)
Swaps		(6.8	)
Other		2.1
		100.0	%

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

1

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Investments Concentration Summary — (Continued)
February 28, 2009 (Unaudited)

Country / Region Summary**	% of Investments
United States		74.1	%
Japan		6.1
Euro Region***		5.2
United Kingdom		3.8
Switzerland		2.2
Brazil		1.3
Korea		1.2
Taiwan		1.0
China		0.9
South Africa		0.5
Sweden		0.5
Canada		0.4
Russia		0.4
Thailand		0.4
Turkey		0.4
Denmark		0.3
Hong Kong		0.2
Malaysia		0.2
Singapore		0.2
Egypt		0.1
India		0.1
Israel		0.1
Mexico		0.1
Norway		0.1
Philippines		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 28, 2009

Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 4.4%
		Asset-Backed Securities — 4.3%
		ABS Collateralized Debt Obligations — 0.0%
	500,000	Paragon CDO Ltd., Series 04-1A, Class A, 144A, 3 mo. LIBOR + .65%, 1.79%, due 10/20/44		15,000
		Airlines — 0.0%
	600,000	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.94%, due 05/15/24		150,000
		Auto Financing — 0.6%
	1,600,000	BMW Vehicle Lease Trust, Series 07-1, Class A3B, 1 mo. LIBOR + .24%, 0.70%, due 08/15/13		1,541,152
	900,000	Capital Auto Receivable Asset Trust, Series 07-2, Class A4B, 1 mo. LIBOR + .40%, 0.86%, due 02/18/14		739,350
	200,000	Capital Auto Receivable Asset Trust, Series 08-1, Class A4B, 1 mo. LIBOR + 1.35%, 1.81%, due 07/15/14		153,250
	400,000	Capital Auto Receivable Asset Trust, Series 07-SN1, Class A4, 1 mo. LIBOR + .10%, 0.56%, due 02/15/11		309,080
	800,000	Carmax Auto Owner Trust, Series 08-2, Class A4B, 1 mo. LIBOR + 1.65%, 2.11%, due 08/15/13		613,272
	700,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4A, 5.32%, due 11/10/14		491,400
	600,000	Daimler Chrysler Auto Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 1.85%, 2.30%, due 11/10/14		472,800
	900,000	Daimler Chrysler Master Owner Trust, Series 06-A, Class A, 1 mo. LIBOR + .03%, 0.49%, due 11/15/11		585,000
	800,000	Ford Credit Auto Owner Trust, Series 06-C, Class A4B, 1 mo. LIBOR + .04%, 0.50%, due 02/15/12		721,168
	500,000	Ford Credit Auto Owner Trust, Series 07-B, Class A4B, 1 mo. LIBOR + .38%, 0.84%, due 07/15/12		375,150
	1,100,000	Ford Credit Auto Owner Trust, Series 08-B, Class A4B, 1 mo. LIBOR + 2.00%, 2.46%, due 03/15/13		887,843
	2,200,000	Ford Credit Floorplan Master Owner Trust, Series 06-4, Class A, 1 mo. LIBOR + .25%, 0.71%, due 06/15/13		1,320,000
	300,000	Franklin Auto Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.42%, due 05/20/16		219,660

See accompanying notes to the financial statements.

3

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Auto Financing — continued
	1,000,000	Nissan Auto Lease Trust, Series 08-A, Class A3B, 1 mo. LIBOR + 2.20%, 2.66%, due 07/15/11		920,312
	1,000,000	Nissan Auto Receivables Owner Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 06/17/13		948,520
	1,000,000	Nissan Master Owner Trust Receivables, Series 07-A, Class A, 1 mo. LIBOR, 0.46%, due 05/15/12		810,000
	1,112,839	Sovereign Dealer Floor Plan Master Trust, Series 06-1, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 08/15/11		1,001,555
	1,100,000	Swift Master Auto Receivables Trust, Series 07-1, Class A, 1 mo. LIBOR + .10%, 0.56%, due 06/15/12		737,000
	500,000	Swift Master Auto Receivables Trust, Series 07-2, Class A, 1 mo. LIBOR + .65%, 1.11%, due 10/15/12		327,500
	1,100,000	Truck Retail Installment Paper Corp., Series 05-1A, Class A, 144A, 1 mo. LIBOR + .27%, 0.73%, due 12/15/16		770,000
	400,000	Wachovia Auto Owner Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.15%, 1.62%, due 03/20/14		362,232
	600,000	World Omni Auto Receivables Trust, Series 07-A, Class A4, 1 mo. LIBOR, 0.46%, due 11/15/12		549,786
		Total Auto Financing		14,856,030
		Bank Loan Collateralized Debt Obligations — 0.1%
	508,509	Arran Corp. Loans No. 1 B.V., Series 06-1A, Class A3, 144A, 3 mo. LIBOR + .17%, 1.70%, due 06/20/25		483,243
	880,000	Omega Capital Europe Plc, Series GLOB-5A, Class A1, 144A, 3 mo. LIBOR + .25%, 1.68%, due 07/05/11		779,733
		Total Bank Loan Collateralized Debt Obligations		1,262,976
		Business Loans — 0.3%
	663,914	ACAS Business Loan Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .14%, 1.38%, due 08/16/19		519,314
	1,000,000	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.77%, due 12/25/37		698,200
	113,657	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.83%, due 04/25/34		80,492
	73,316	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.84%, due 01/25/35		51,072

See accompanying notes to the financial statements.

4

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Business Loans — continued
	373,755	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.86%, due 01/25/36		238,904
	308,784	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.71%, due 07/25/37		230,487
	270,318	Capitalsource Commercial Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .13%, 0.60%, due 03/20/17		216,309
	143,702	Capitalsource Commercial Loan Trust, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .12%, 0.59%, due 08/22/16		123,153
	500,000	CNH Wholesale Master Note Trust, Series 06-1A, Class A, 144A, 1 mo. LIBOR + .06%, 0.52%, due 07/15/12		461,426
	106,801	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.75%, due 05/15/32		76,126
	146,750	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.70%, due 11/15/33		95,160
	900,000	GE Dealer Floorplan Master Trust, Series 06-4, Class A, 1 mo. LIBOR + .01%, 0.48%, due 10/20/11		745,065
	1,400,000	GE Dealer Floorplan Master Trust, Series 07-2, Class A, 1 mo. LIBOR + .01%, 0.48%, due 07/20/12		1,004,634
	176,284	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A1, 144A, 1 mo. LIBOR + .65%, 1.12%, due 10/25/37		137,501
	800,000	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.32%, due 10/25/37		416,000
	287,319	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 02/25/30		137,913
	251,525	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.72%, due 09/25/30		120,732
	800,000	Navistar Financial Dealer Note Master Trust, Series 05-1, Class A, 1 mo. LIBOR + .11%, 0.58%, due 02/25/13		686,320
	700,000	Textron Financial Floorplan Master Note, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .06%, 0.51%, due 03/13/12		575,050
	19,943	The Money Store Business Loan Backed Trust, Series 99-1, Class AN, 1 mo. LIBOR + .50%, 1.46%, due 09/15/17		17,155
		Total Business Loans		6,631,013

See accompanying notes to the financial statements.

5

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		CMBS — 0.3%
	700,000	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.58%, due 07/15/44		510,440
	1,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.59%, due 12/15/20		812,790
	900,000	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		825,765
	500,000	GE Capital Commercial Mortgage Corp., Series 06-C1, Class A2, 5.33%, due 03/10/44		437,927
	124,863	Greenwich Capital Commercial Funding Corp., Series 06-FL4A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 11/05/21		103,559
	900,000	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		791,156
	213,181	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .09%, 0.54%, due 03/06/20		168,477
	300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .13%, 0.58%, due 03/06/20		223,770
	297,334	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-FL1A, Class A1B, 144A, 1 mo. LIBOR + .12%, 0.58%, due 02/15/20		223,000
	1,400,000	J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 06-LDP7, Class A2, 5.86%, due 04/15/45		1,232,336
	110,085	Lehman Brothers Floating Rate Commercial, Series 06-LLFA, Class A1, 144A, 1 mo. LIBOR + .08%, 0.54%, due 09/15/21		77,059
	900,000	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.61%, due 05/12/39		784,406
	300,000	Morgan Stanley Capital I, Series 06-IQ11, Class A2, 5.69%, due 10/15/42		256,548
	400,000	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.74%, due 10/15/42		294,324
	140,111	Morgan Stanley Dean Witter Capital I, Series 03-TOP9, Class A1, 3.98%, due 11/13/36		134,991
	864,355	Wachovia Bank Commercial Mortgage Trust, Series 06-WL7A, Class A1, 144A, 1 mo. LIBOR + .09%, 0.55%, due 09/15/21		605,049
		Total CMBS		7,481,597
		CMBS Collateralized Debt Obligations — 0.1%
	500,000	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 2.05%, due 11/23/52		40,000
	432,799	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		331,914
	700,000	Guggenheim Structured Real Estate Funding, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .32%, 0.79%, due 08/26/30		315,000
	800,000	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.80%, due 05/25/46		295,750
		Total CMBS Collateralized Debt Obligations		982,664

See accompanying notes to the financial statements.

6

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Collateralized Loan Obligations — 0.0%
	290,476	Archimedes Funding IV (Cayman) Ltd., Series 4A, Class A1, 144A, 3 mo. LIBOR + .48%, 1.73%, due 02/25/13		264,532
		Credit Cards — 0.8%
	1,900,000	American Express Credit Account Master Trust, Series 05-5, Class A, 1 mo. LIBOR + .04%, 0.50%, due 02/15/13		1,805,456
	700,000	American Express Credit Account Master Trust, Series 06-1, Class A, 1 mo. LIBOR + .03%, 0.49%, due 12/15/13		641,123
	300,000	American Express Issuance Trust, Series 07-1, Class A, 1 mo. LIBOR + .20%, 0.66%, due 09/15/11		286,638
	100,000	Bank of America Credit Card Trust, Series 06-A12, Class A12, 1 mo. LIBOR + .02%, 0.48%, due 03/15/14		89,440
	1,100,000	Cabela's Master Credit Card Trust, Series 08-4A, Class A2, 144A, 1 mo. LIBOR + 3.00%, 3.46%, due 09/15/14		905,025
	700,000	Capital One Multi-Asset Execution Trust, Series 04-A7, Class A7, 3 mo. LIBOR + .15%, 1.38%, due 06/16/14		629,859
	800,000	Capital One Multi-Asset Execution Trust, Series 06-A14, Class A, 1 mo. LIBOR + .01%, 0.47%, due 08/15/13		743,600
	200,000	Capital One Multi-Asset Execution Trust, Series 07-A4, Class A4, 1 mo. LIBOR + .03%, 0.49%, due 03/16/15		170,740
	500,000	Capital One Multi-Asset Execution Trust, Series 07-A6, Class A6, 1 mo. LIBOR + .07%, 0.53%, due 05/15/13		473,490
	600,000	Capital One Multi-Asset Execution Trust, Series 08-A6, Class A6, 1 mo. LIBOR + 1.10%, 1.56%, due 03/17/14		548,250
	1,300,000	Charming Shoppes Master Trust, Series 07-1A, Class A1, 144A, 1 mo. LIBOR + 1.25%, 1.71%, due 09/15/17		894,517
EUR	1,100,000	Citibank Credit Card Issuance Trust, Series 04-A2, Class A, 3 mo. EUR LIBOR + 0.10%, 1.97%, due 05/24/13		1,259,772
	1,300,000	Citibank OMNI Master Trust, Series 07-A9A, Class A9, 144A, 1 mo. LIBOR + 1.10%, 1.57%, due 12/23/13		1,174,290
	400,000	Discover Card Master Trust I, Series 96-4, Class A, 1 mo. LIBOR + .38%, 0.83%, due 10/16/13		358,800
	400,000	Discover Card Master Trust I, Series 05-4, Class A1, 1 mo. LIBOR + .06%, 0.52%, due 06/18/13		358,000
	500,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.55%, due 06/16/15		372,031

See accompanying notes to the financial statements.

7

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Credit Cards — continued
	1,900,000	Discover Card Master Trust I, Series 06-2, Class A2, 1 mo. LIBOR + .03%, 0.49%, due 01/16/14		1,668,466
	100,000	Discover Card Master Trust I, Series 07-1, Class A, 1 mo. LIBOR + .01%, 0.47%, due 08/15/12		94,500
	700,000	GE Capital Credit Card Master Note Trust, Series 05-1, Class A, 1 mo. LIBOR + .04%, 0.50%, due 03/15/13		647,836
	1,200,000	GE Capital Credit Card Master Note Trust, Series 07-3, Class A1, 1 mo. LIBOR + .01%, 0.47%, due 06/15/13		1,095,000
	1,300,000	Household Credit Card Master Note Trust I, Series 07-1, Class A, 1 mo. LIBOR + .05%, 0.51%, due 04/15/13		1,112,313
	600,000	Household Credit Card Master Note Trust I, Series 07-2, Class A, 1 mo. LIBOR + .55%, 1.01%, due 07/15/13		499,875
	400,000	MBNA Credit Card Master Note Trust, Series 04-A8, Class A8, 1 mo. LIBOR + .15%, 0.61%, due 01/15/14		366,116
	1,300,000	National City Credit Card Master Trust, Series 08-3, Class A, 1 mo. LIBOR + 1.80%, 2.26%, due 05/15/13		1,020,500
	1,400,000	World Financial Network Credit Card Master Trust, Series 04-A, Class A, 1 mo. LIBOR + .18%, 0.64%, due 03/15/13		1,372,896
	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.59%, due 02/15/17		283,832
		Total Credit Cards		18,872,365
		Equipment Leases — 0.1%
	400,000	CNH Equipment Trust, Series 08-A, Class A4B, 1 mo. LIBOR + 1.95%, 2.41%, due 08/15/14		358,000
	600,000	CNH Equipment Trust, Series 07-B, Class A3B, 1 mo. LIBOR + .60%, 1.06%, due 10/17/11		584,316
	1,100,000	GE Equipment Midticket LLC, Series 07-1, Class A3B, 1 mo. LIBOR + .25%, 0.71%, due 06/14/11		984,500
		Total Equipment Leases		1,926,816
		Insurance Premiums — 0.0%
	1,000,000	AICCO Premium Finance Master Trust, Series 07-AA, Class A, 144A, 1 mo. LIBOR + .05%, 0.51%, due 12/15/11		957,200

See accompanying notes to the financial statements.

8

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Auto Financing — 0.3%
	300,000	Aesop Funding II LLC, Series 05-1A, Class A3, 144A, MBIA, 1 mo. LIBOR + .12%, 0.59%, due 04/20/11		243,984
	800,000	AmeriCredit Automobile Receivables Trust, Series 07-AX, Class A4, XL, 1 mo. LIBOR + .04%, 0.49%, due 10/06/13		536,240
	326,832	AmeriCredit Automobile Receivables Trust, Series 05-BM, Class A4, MBIA, 1 mo. LIBOR + .08%, 0.53%, due 05/06/12		300,646
	500,000	AmeriCredit Automobile Receivables Trust, Series 07-BF, Class A4, FSA, 1 mo. LIBOR + .05%, 0.50%, due 12/06/13		325,000
	500,000	AmeriCredit Automobile Receivables Trust, Series 07-DF, Class A4B, FSA, 1 mo. LIBOR + .80%, 1.25%, due 06/06/14		272,845
	287,966	AmeriCredit Automobile Receivables Trust, Series 07-CM, Class A3B, MBIA, 1 mo. LIBOR + .03%, 0.48%, due 05/07/12		264,929
	800,000	AmeriCredit Prime Automobile Receivable Trust, Series 07-2M, Class A4B, MBIA, 1 mo. LIBOR + .50%, 0.95%, due 03/08/16		422,728
	400,000	ARG Funding Corp., Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .14%, 0.61%, due 05/20/10		382,656
	876,137	Capital One Auto Finance Trust, Series 06-A, Class A4, AMBAC, 1 mo. LIBOR + .01%, 0.47%, due 12/15/12		794,043
	800,000	Capital One Auto Finance Trust, Series 06-B, Class A4, MBIA, 1 mo. LIBOR + .02%, 0.47%, due 07/15/13		638,008
	200,000	Capital One Auto Finance Trust, Series 07-A, Class A4, AMBAC, 1 mo. LIBOR + .02%, 0.48%, due 11/15/13		140,066
	857,760	Capital One Auto Finance Trust, Series 07-C, Class A3B, FGIC, 1 mo. LIBOR + .51%, 0.97%, due 04/16/12		798,377
	100,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A3, 144A, AMBAC, 1 mo. LIBOR + .20%, 0.67%, due 02/25/11		76,610
	300,000	Hertz Vehicle Financing LLC, Series 05-2A, Class A5, 144A, AMBAC, 1 mo. LIBOR + .25%, 0.72%, due 11/25/11		177,807
	1,300,000	Santander Drive Auto Receivables Trust, Series 07-1, Class A4, FGIC, 1 mo. LIBOR + .05%, 0.51%, due 09/15/14		884,938
	800,000	Santander Drive Auto Receivables Trust, Series 07-3, Class A4B, FGIC, 1 mo. LIBOR + .65%, 1.11%, due 10/15/14		544,824
	1,700,000	Triad Auto Receivables Owner Trust, Series 07-B, Class A4B, FSA, 1 mo. LIBOR + 1.20%, 1.65%, due 07/14/14		1,200,030
	135,584	UPFC Auto Receivables Trust, Series 06-B, Class A3, AMBAC, 5.01%, due 08/15/12		124,059
		Total Insured Auto Financing		8,127,790

See accompanying notes to the financial statements.

9

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Business Loans — 0.0%
	324,814	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.91%, due 10/25/30		64,963
		Insured Credit Cards — 0.1%
	1,000,000	Cabela's Master Credit Card Trust, Series 04-2A, Class A, 144A, AMBAC, 1 mo. LIBOR + .12%, 0.58%, due 03/15/11		998,687
		Insured High Yield Collateralized Debt Obligations — 0.0%
	149,799	GSC Partners CDO Fund Ltd., Series 2A, Class A, 144A, FSA, 6 mo. LIBOR + .52%, 3.06%, due 05/22/13		106,791
	500,000	GSC Partners CDO Fund Ltd., Series 03-4A, Class A3, 144A, AMBAC, 3 mo. LIBOR + .46%, 1.60%, due 12/16/15		400,000
		Total Insured High Yield Collateralized Debt Obligations		506,791
		Insured Other — 0.1%
	800,000	DB Master Finance LLC, Series 06-1, Class A2, 144A, AMBAC, 5.78%, due 06/20/31		560,000
	1,500,000	Dominos Pizza Master Issuer LLC, Series 07-1, Class A2, 144A, MBIA, 5.26%, due 04/25/37		750,000
	843,644	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 09/15/41		530,357
	860,283	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.66%, due 12/15/41		548,060
	633,413	TIB Card Receivables Fund, 144A, FGIC, 3 mo. LIBOR + .25%, 1.68%, due 01/05/14		401,584
	100,000	Toll Road Investment Part II, Series B, 144A, MBIA, Zero Coupon, due 02/15/30		18,138
	900,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		92,277
		Total Insured Other		2,900,416
		Insured Residential Asset-Backed Securities (United States) — 0.0%
	108,046	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.68%, due 07/25/34		61,587
	134,765	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.85%, due 12/25/33		76,816

See accompanying notes to the financial statements.

10

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) — continued
	35,049	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.80%, due 03/25/34		22,291
	985,445	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.69%, due 11/25/35		227,638
		Total Insured Residential Asset-Backed Securities (United States)		388,332
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	19,291	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.81%, due 10/25/34		9,260
	44,168	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.80%, due 01/25/35		18,109
	551,612	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.61%, due 06/15/37		137,903
	300,000	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.70%, due 10/25/34		270,000
	20,807	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.93%, due 07/25/29		11,380
	25,056	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 1.02%, due 08/15/30		10,945
	48,301	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.91%, due 06/25/34		11,592
	11,839	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.76%, due 12/25/32		5,753
	195,058	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.66%, due 11/25/35		97,529
	78,150	Wachovia Asset Securitization, Inc., Series 02-HE1, Class A, AMBAC, 1 mo. LIBOR + .37%, 0.84%, due 09/27/32		44,792
	68,272	Wachovia Asset Securitization, Inc., Series 04-HE1, Class A, MBIA, 1 mo. LIBOR + .22%, 0.69%, due 06/25/34		26,662
		Total Insured Residential Mortgage-Backed Securities (United States)		643,925
		Insured Time Share — 0.0%
	37,232	Cendant Timeshare Receivables Funding LLC, Series 04-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .18%, 0.65%, due 05/20/16		30,020
	91,784	Cendant Timeshare Receivables Funding LLC, Series 05-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .18%, 0.65%, due 05/20/17		66,056

See accompanying notes to the financial statements.

11

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Insured Time Share — continued
	162,354	Sierra Receivables Funding Co., Series 06-1A, Class A2, 144A, MBIA, 1 mo. LIBOR + .15%, 0.62%, due 05/20/18		123,016
	193,917	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.92%, due 03/20/19		135,681
	543,565	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.47%, due 09/20/19		333,344
		Total Insured Time Share		688,117
		Insured Transportation — 0.0%
	206,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.76%, due 04/17/19		111,600
		Investment Grade Corporate Collateralized Debt Obligations — 0.2%
	1,000,000	Counts Trust, Series 04-2, 144A, 3 mo. LIBOR + .95%, 2.48%, due 09/20/09		960,820
	1,000,000	Morgan Stanley ACES SPC, Series 04-12, Class I, 144A, 3 mo. LIBOR + .80%, 3.58%, due 08/05/09		628,500
	1,000,000	Morgan Stanley ACES SPC, Series 04-15, Class I, 144A, 3 mo. LIBOR + .45%, 1.98%, due 12/20/09		688,500
	1,000,000	Morgan Stanley ACES SPC, Series 04-15, Class II, 144A, 3 mo. LIBOR + .65%, 2.18%, due 12/20/09		553,500
	1,000,000	Morgan Stanley ACES SPC, Series 05-2A, Class A, 144A, 3 mo. LIBOR + .45%, 1.98%, due 03/20/10		487,500
	1,000,000	Morgan Stanley ACES SPC, Series 05-10, Class A1, 144A, 3 mo. LIBOR + .52%, 2.05%, due 03/20/10		388,000
	1,000,000	Morgan Stanley ACES SPC, Series 05-15, Class A, 144A, 3 mo. LIBOR + .40%, 1.93%, due 12/20/10		403,500
	1,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 1.82%, due 06/20/13		168,500
	1,000,000	Prism Orso Trust, Series 04-MAPL, Class CERT, 144A, 3 mo. LIBOR + .70%, 2.23%, due 08/01/11		572,700
	1,000,000	Salisbury International Investments Ltd., 3 mo. LIBOR + .42%, 1.95%, due 06/22/10		242,800
		Total Investment Grade Corporate Collateralized Debt Obligations		5,094,320

See accompanying notes to the financial statements.

12

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — 0.6%
	74,371	Accredited Mortgage Loan Trust, Series 07-1, Class A1, 1 mo. LIBOR + .05%, 0.52%, due 02/25/37		66,190
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.86%, due 01/25/35		16,277
	700,000	ACE Securities Corp., Series 06-CW1, Class A2B, 1 mo. LIBOR + .10%, 0.57%, due 07/25/36		298,046
	348,820	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.56%, due 06/25/36		232,743
	307,056	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 11/25/36		160,532
	116,566	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.61%, due 02/25/36		18,637
	400,000	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 04/25/36		147,324
	391,475	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.56%, due 01/25/37		236,494
	149,888	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 09/25/35		16,846
	307,028	ACE Securities Corp., Series 06-ASP1, Class A2B, 1 mo. LIBOR + .15%, 0.62%, due 12/25/35		185,082
	193,109	ACE Securities Corp., Series 05-ASP1, Class A2C, 1 mo. LIBOR + .27%, 0.74%, due 09/25/35		117,797
	391,729	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.57%, due 08/25/36		195,865
	400,000	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.64%, due 06/25/36		15,092
	391,385	ACE Securities Corp., Series 06-ASP2, Class A2B, 1 mo. LIBOR + .14%, 0.61%, due 03/25/36		263,296
	300,000	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.65%, due 03/25/36		107,688
	200,000	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 05/25/36		73,662
	700,000	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.65%, due 10/25/36		168,000
	312,552	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 06/25/36		21,879

See accompanying notes to the financial statements.

13

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	387,257	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.67%, due 05/25/37		49,701
	518,376	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.66%, due 03/25/36		259,188
	1,600,000	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 07/25/36		403,000
	300,000	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		203,250
	500,000	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.58%, due 09/25/36		205,000
	130,475	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 0.99%, due 05/25/34		18,878
	1,066,104	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.69%, due 05/25/37		718,128
	300,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.62%, due 10/25/36		141,360
	600,000	Asset Backed Funding Certificates, Series 06-OPT2, Class A3B, 1 mo. LIBOR + .11%, 0.58%, due 10/25/36		523,800
	61,060	Asset Backed Funding Certificates, Series 06-OPT3, Class A3A, 1 mo. LIBOR + .06%, 0.53%, due 11/25/36		56,450
	256,037	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 05/28/39		170,776
	256,037	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.80%, due 05/28/39		170,879
	400,000	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.50%, due 02/28/40		220,375
	177,184	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.58%, due 11/25/36		115,169
	300,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 11/25/36		60,000
	256,824	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.63%, due 02/25/37		19,262
	152,810	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 02/25/37		127,596
	1,300,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.67%, due 02/25/37		617,500

See accompanying notes to the financial statements.

14

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	500,000	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.63%, due 06/25/36		340,100
	12,185	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 1.01%, due 04/25/33		8,773
	400,000	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.63%, due 12/25/36		104,000
	6,079	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.88%, due 10/25/34		2,348
	1,000,000	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.61%, due 02/25/37		631,200
	333,812	Countrywide Asset-Backed Certificates, Series 06-BC5, Class 2A1, 1 mo. LIBOR + .08%, 0.55%, due 03/25/37		306,106
	206,124	Credit-Based Asset Servicing & Securitization, Series 06-RP1, Class A1, 144A, 1 mo. LIBOR + .11%, 0.58%, due 04/25/36		173,821
	18,434	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.77%, due 04/25/34		3,284
	500,000	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 04/25/36		198,125
	154,784	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF18, Class A2A, 1 mo. LIBOR + .07%, 0.54%, due 12/25/37		144,723
	191,211	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.57%, due 08/25/36		169,460
	600,000	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.63%, due 08/25/36		192,000
	177,768	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.67%, due 05/25/36		114,716
	152,609	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.78%, due 01/20/35		93,759
	142,238	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 01/20/35		88,388
	456,762	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.63%, due 01/20/36		301,249
	1,000,000	J.P. Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.59%, due 12/25/36		340,000
	188,279	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.72%, due 10/25/35		145,916

See accompanying notes to the financial statements.

15

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	418,876	Master Asset-Backed Securities Trust, Series 06-WMC1, Class A2, 1 mo. LIBOR + .11%, 0.58%, due 02/25/36		389,555
	400,000	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 06/25/36		106,000
	296,096	Master Asset-Backed Securities Trust, Series 06-AM3, Class A2, 1 mo. LIBOR + .13%, 0.60%, due 10/25/36		257,604
	800,000	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 08/25/36		200,000
	500,000	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.63%, due 10/25/36		132,500
	700,000	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.62%, due 03/25/36		280,000
	232,048	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		25,525
	403,935	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.59%, due 02/25/37		316,142
	144,742	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 0.87%, due 08/25/34		96,977
	1,000,000	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.70%, due 02/25/37		280,000
	450,304	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.57%, due 04/25/37		355,740
	300,000	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.62%, due 11/25/36		105,000
	331,428	People's Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.73%, due 12/25/35		248,571
	455,957	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.66%, due 09/25/45		370,982
	92,461	Residential Asset Mortgage Products, Inc., Series 05-RS4, Class A3, 1 mo. LIBOR + .23%, 0.70%, due 04/25/35		84,139
	158,951	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 10/25/33		111,265
	138,197	Residential Asset Mortgage Products, Inc., Series 06-RZ4, Class A1, 1 mo. LIBOR + .09%, 0.56%, due 10/25/36		129,905
	311,849	Residential Asset Securities Corp., Series 07-KS3, Class AI1, 1 mo. LIBOR + .11%, 0.58%, due 04/25/37		271,309

See accompanying notes to the financial statements.

16

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) — continued
	398,022	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.72%, due 01/25/36		308,666
	9,319	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 1.01%, due 03/25/35		2,414
	181,035	Securitized Asset Backed Receivables LLC, Series 06-NC1, Class A2, 1 mo. LIBOR + .16%, 0.63%, due 03/25/36		135,776
	153,226	Security National Mortgage Loan Trust, Series 06-2A, Class A1, 144A, 1 mo. LIBOR + .29%, 0.76%, due 10/25/36		139,819
	88,956	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.73%, due 10/25/35		73,389
	124,804	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.59%, due 01/25/37		103,158
	500,000	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.62%, due 06/25/37		227,969
	300,000	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.67%, due 01/25/36		105,000
	233,213	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.76%, due 11/25/35		37,314
	672,555	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.87%, due 06/25/37		393,445
		Total Residential Asset-Backed Securities (United States)		15,067,894
		Residential Mortgage-Backed Securities (Australian) — 0.2%
	178,544	Australian Mortgage Securities II, Series G3, Class A1A, 3 mo. LIBOR + .21%, 1.56%, due 01/10/35		156,282
	334,623	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 1.20%, due 07/20/38		286,202
	522,896	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 1.20%, due 04/19/38		423,976
	132,703	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 1.72%, due 09/27/35		105,987
	1,004,683	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 2.20%, due 03/14/36		816,174
	80,076	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 2.31%, due 12/08/36		61,659
	106,527	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 1.34%, due 05/27/38		81,189

See accompanying notes to the financial statements.

17

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	60,194	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 1.32%, due 05/10/36		52,169
	391,362	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 2.05%, due 06/14/37		319,719
	507,980	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 1.16%, due 10/20/37		439,748
	547,460	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 1.32%, due 02/21/38		447,056
	679,523	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 2.16%, due 06/12/40		553,774
	32,475	Superannuation Members Home Loans Global Fund, Series 6, Class A, 3 mo. LIBOR + .16%, 1.40%, due 11/09/35		27,184
	84,177	Superannuation Members Home Loans Global Fund, Series 7, Class A1, 3 mo. LIBOR + .14%, 2.33%, due 03/09/36		73,415
	72,394	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 1.42%, due 01/12/37		59,702
	485,246	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 1.30%, due 05/21/38		411,348
		Total Residential Mortgage-Backed Securities (Australian)		4,315,584
		Residential Mortgage-Backed Securities (European) — 0.3%
	500,000	Aire Valley Mortgages, Series 07-1A, Class 1A2, 144A, 3 mo. LIBOR + .09%, 1.62%, due 03/20/30		448,000
	500,000	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 1.64%, due 09/20/66		454,400
	400,000	Arkle Master Issuer Plc, Series 06-1A, Class 3A, 144A, 3 mo. LIBOR + .05%, 1.29%, due 08/17/11		391,040
	1,100,000	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 1.36%, due 01/13/39		888,030
	109,120	Gracechurch Mortgage Funding Plc, Series 1A, Class A2B, 144A, 3 mo. LIBOR + .07%, 1.42%, due 10/11/41		100,387
	223,495	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .04%, 0.51%, due 12/20/54		138,567
	127,181	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .14%, 1.67%, due 09/20/44		86,483
	644,781	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 2.25%, due 12/10/43		478,163

See accompanying notes to the financial statements.

18

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	34,836	Leek Finance Plc, Series 14A, Class A2B, 144A, 3 mo. LIBOR + .18%, 1.71%, due 09/21/36		32,882
	113,974	Leek Finance Plc, Series 15A, Class AB, 144A, 3 mo. LIBOR + .14%, 1.67%, due 03/21/37		98,018
	111,770	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 1.67%, due 12/21/37		74,799
	400,000	Mound Financing Plc, Series 5A, Class 2A, 144A, 3 mo. LIBOR + .04%, 1.28%, due 05/08/16		377,000
	208,598	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .21%, 1.45%, due 05/15/34		192,667
	337,684	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .11%, 1.35%, due 11/15/38		198,855
	245,385	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 2.10%, due 09/15/39		214,118
	1,300,000	Pendeford Master Issuer Plc, Series 07-1A, Class 3A, 144A, 3 mo. LIBOR + .10%, 1.32%, due 02/12/16		1,136,200
	100,000	Permanent Financing Plc, Series 4, Class 3A, 3 mo. LIBOR + .14%, 2.33%, due 03/10/24		99,817
	1,000,000	Permanent Master Issuer Plc, Series 06-1, Class 5A, 3 mo. LIBOR + .11%, 1.20%, due 07/15/33		825,000
	200,000	Permanent Master Issuer Plc, Series 07-1, Class 4A, 3 mo. LIBOR + .08%, 1.17%, due 10/15/33		163,630
	10,145	RMAC Securities Plc, Series 06-NS4A, Class A1B, 144A, 3 mo. LIBOR + .07%, 2.17%, due 06/12/25		10,119
		Total Residential Mortgage-Backed Securities (European)		6,408,175
		Residential Mortgage-Backed Securities (United States) — 0.0%
	29,888	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.77%, due 08/25/35		12,253
	54,940	GreenPoint Mortgage Funding Trust, Series 05-HE4, Class 2A3C, 1 mo. LIBOR + .25%, 0.72%, due 07/25/30		35,677
	108,791	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.73%, due 02/26/34		65,427
		Total Residential Mortgage-Backed Securities (United States)		113,357

See accompanying notes to the financial statements.

19

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($)		Description	Value ($)
		Student Loans — 0.2%
	185,668	College Loan Corp. Trust, Series 04-1, Class A2, 3 mo. LIBOR + .11%, 1.27%, due 04/25/16		180,748
	400,000	College Loan Corp. Trust, Series 06-1, Class A2, 3 mo. LIBOR + .02%, 1.18%, due 04/25/22		390,520
	700,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 1.41%, due 01/25/24		665,000
	164,000	College Loan Corp. Trust, Series 07-1, Class A1, 3 mo. LIBOR + .01%, 1.17%, due 01/25/23		159,277
	155,544	Goal Capital Funding Trust, Series 06-1, Class A1, 3 mo. LIBOR, 1.25%, due 08/25/20		153,241
	182,291	Goal Capital Funding Trust, Series 07-1, Class A1, 3 mo. LIBOR + .02%, 1.49%, due 06/25/21		180,304
	86,035	Keycorp Student Loan Trust, Series 05-A, Class 2A1, 3 mo. LIBOR + .05%, 1.52%, due 09/27/21		83,281
	132,088	Montana Higher Education Student Assistance Corp., Series 05-1, Class A, 3 mo. LIBOR + .04%, 1.57%, due 06/20/15		127,201
	369,331	National Collegiate Student Loan Trust, Series 06-1, Class A2, 1 mo. LIBOR + .14%, 0.61%, due 08/25/23		332,398
	351,891	National Collegiate Student Loan Trust, Series 06-A, Class A1, 144A, 1 mo. LIBOR + .08%, 0.55%, due 08/26/19		323,739
	400,000	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 1.61%, due 12/23/19		364,236
	313,480	SLC Student Loan Trust, Series 06-A, Class A2, 3 mo. LIBOR + .03%, 1.12%, due 10/15/15		306,439
	476,294	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 2.03%, due 09/15/22		400,087
		Total Student Loans		3,666,471
		Time Share — 0.0%
	287,940	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.47%, due 02/20/20		244,479
		Trade Receivables — 0.0%
	1,000,000	SSCE Funding LLC, Series 04-1A, Class A, 144A, 1 mo. LIBOR + .23%, 0.69%, due 11/15/10		950,000
		Total Asset-Backed Securities		103,691,094

See accompanying notes to the financial statements.

20

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Par Value ($) / Shares		Description	Value ($)
		Corporate Debt — 0.0%
	598,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		540,036
		U.S. Government Agency — 0.1%
	267,400	Agency for International Development Floater (Support of C.A.B.E.I), 6 mo. U.S. Treasury Bill + .40%, 0.90%, due 10/01/12 (a)		258,059
	201,584	Agency for International Development Floater (Support of Honduras), 3 mo. U.S. Treasury Bill x 117%, 0.07%, due 10/01/11 (a)		194,851
	970,000	Agency for International Development Floater (Support of India), 3 mo. LIBOR + .10%, 1.27%, due 02/01/27 (a)		859,507
	660,311	Agency for International Development Floater (Support of Jamaica), 6 mo. U.S. Treasury Bill + 0.75%, 1.25%, due 03/30/19 (a)		613,587
	82,367	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 1.47%, due 05/01/14 (a)		78,230
	600,001	Agency for International Development Floater (Support of Zimbabwe), 3 mo. U.S. Treasury Bill x 115%, 1.00%, due 01/01/12 (a)		575,935
		Total U.S. Government Agency		2,580,169
		TOTAL DEBT OBLIGATIONS (COST $116,387,523)		106,811,299
		MUTUAL FUNDS — 94.8%
		Affiliated Issuers — 94.8%
	71,040,496	GMO Alpha Only Fund, Class IV		409,903,662
	25,633,419	GMO Domestic Bond Fund, Class VI		204,811,016
	1,401,205	GMO Emerging Country Debt Fund, Class IV		8,197,052
	23,845,810	GMO Emerging Markets Fund, Class VI		149,513,226
	3,369,441	GMO Flexible Equities Fund, Class VI		51,855,694
	1,861,156	GMO Inflation Indexed Plus Bond Fund, Class VI		27,675,383
	13,363,759	GMO International Core Equity Fund, Class VI		242,284,954
	5,889,873	GMO International Growth Equity Fund, Class IV		85,167,566
	5,520,717	GMO International Intrinsic Value Fund, Class IV		77,290,040
	359,664	GMO Short-Duration Investment Fund, Class III		2,571,600
	3,397,046	GMO Special Situations Fund, Class VI		86,658,653
	15,579,339	GMO Strategic Fixed Income Fund, Class VI		270,301,534
	4,520,206	GMO U.S. Core Equity Fund, Class VI		34,489,170

See accompanying notes to the financial statements.

21

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		Affiliated Issuers — continued
	44,944,684	GMO U.S. Quality Equity Fund, Class VI		637,315,620
	1,036,598	GMO World Opportunity Overlay Fund		19,021,564
		TOTAL MUTUAL FUNDS (COST $3,409,266,170)		2,307,056,734
		PREFERRED STOCKS — 0.0%
		Banking — 0.0%
	1,000	Home Ownership Funding 2 Preferred 144A, 1.00% (a)		90,000
		TOTAL PREFERRED STOCKS (COST $158,807)		90,000
		SHORT-TERM INVESTMENTS — 0.8%
		Money Market Funds — 0.8%
	19,907,563	State Street Institutional U.S. Government Money Market Fund - Institutional Class		19,907,563
		Other Short-Term Investments — 0.0%
	14,791	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		14,791
		TOTAL SHORT-TERM INVESTMENTS (COST $19,922,354)		19,922,354
		TOTAL INVESTMENTS — 100.0% (Cost $3,545,734,854)		2,433,880,387
		Other Assets and Liabilities (net) — (0.0%)		(893,345	)
		TOTAL NET ASSETS — 100.0%	$	2,432,987,042

See accompanying notes to the financial statements.

22

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

Notes to Schedule of Investments:

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

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

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

CDO - Collateralized Debt Obligation

CMBS - Collateralized Mortgage Backed Security

EUR LIBOR - London Interbank Offered Rate denominated in Euros.

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

RMAC - Residential Mortgage Acceptance Corp.

RMBS - Residential Mortgage Backed Security

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at February 28, 2009, 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).

Currency Abbreviations:

EUR - Euro

See accompanying notes to the financial statements.

23

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $136,468,684) (Note 2)	$	126,823,653
Investments in affiliated issuers, at value (cost $3,409,266,170) (Notes 2 and 8)		2,307,056,734
Receivable for investments sold		2,100,558
Dividends and interest receivable		181,008
Receivable for expenses reimbursed by Manager (Note 3)		7,784
Total assets		2,436,169,737
Liabilities:
Payable for Fund shares repurchased		3,086,885
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		8,443
Accrued expenses		87,367
Total liabilities		3,182,695
Net assets	$	2,432,987,042
Net assets consist of:
Paid-in capital	$	3,718,740,453
Distributions in excess of net investment income		(11,627,915	)
Accumulated net realized loss		(162,271,029	)
Net unrealized depreciation		(1,111,854,467	)
	$	2,432,987,042
Net assets attributable to:
Class III shares	$	2,432,987,042
Shares outstanding:
Class III		334,045,761
Net asset value per share:
Class III	$	7.28

See accompanying notes to the financial statements.

24

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	264,258,765
Interest		3,141,914
Dividends		37,494
Total investment income		267,438,173
Expenses:
Custodian, fund accounting agent and transfer agent fees		48,533
Audit and tax fees		34,220
Legal fees		76,993
Chief Compliance Officer (Note 3)		22,324
Trustees fees and related expenses (Note 3)		51,443
Registration fees		1,840
Miscellaneous		14,869
Total expenses		250,222
Fees and expenses reimbursed by Manager (Note 3)		(176,455	)
Expense reductions (Note 2)		(26,139	)
Net expenses		47,628
Net investment income (loss)		267,390,545
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		(323,173	)
Investments in affiliated issuers		(288,462,630	)
Realized gains distributions from affiliated issuers (Note 8)		182,670,563
Foreign currency, forward contracts and foreign currency related transactions		974
Net realized gain (loss)		(106,114,266	)
Change in net unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(9,645,031	)
Investments in affiliated issuers		(950,322,419	)
Net unrealized gain (loss)		(959,967,450	)
Net realized and unrealized gain (loss)		(1,066,081,716	)
Net increase (decrease) in net assets resulting from operations	$	(798,691,171	)

See accompanying notes to the financial statements.

25

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	267,390,545		$	138,520,227
Net realized gain (loss)		(106,114,266	)		256,198,017
Change in net unrealized appreciation (depreciation)		(959,967,450	)		(284,868,880	)
Net increase (decrease) in net assets from operations		(798,691,171	)		109,849,364
Distributions to shareholders from:
Net investment income
Class III		(309,984,149	)		(163,753,134	)
Net realized gains
Class III		(146,420,155	)		(185,650,495	)
		(456,404,304	)		(349,403,629	)
Net share transactions (Note 7):
Class III		322,020,967			524,385,283
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		1,206,564			860,204
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		323,227,531			525,245,487
Total increase (decrease) in net assets		(931,867,944	)		285,691,222
Net assets:
Beginning of period		3,364,854,986			3,079,163,764
End of period (including distributions in excess of net investment income of $11,627,915 and accumulated undistributed net investment income of $18,656,535, respectively)	$	2,432,987,042		$	3,364,854,986

See accompanying notes to the financial statements.

26

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	11.37		$	12.01		$	11.76		$	11.33		$	10.74
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.87			0.48			0.39			0.36			0.27
Net realized and unrealized gain (loss)		(3.43	)		0.05			0.66			0.86			0.90
Total from investment operations		(2.56	)		0.53			1.05			1.22			1.17
Less distributions to shareholders:
From net investment income		(1.04	)		(0.53	)		(0.43	)		(0.37	)		(0.32	)
From net realized gains		(0.49	)		(0.64	)		(0.37	)		(0.42	)		(0.26	)
Total distributions		(1.53	)		(1.17	)		(0.80	)		(0.79	)		(0.58	)
Net asset value, end of period	$	7.28		$	11.37		$	12.01		$	11.76		$	11.33
Total Return(b)		(24.30	)%		4.10	%		9.22	%		11.05	%		11.07	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	2,432,987		$	3,364,855		$	3,079,164		$	1,812,191		$	1,030,238
Net expenses to average daily net assets(c)(d)		0.00	%(e)		0.00	%(e)		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		8.81	%		3.89	%		3.28	%		3.17	%		2.53	%
Portfolio turnover rate		44	%		76	%		23	%		16	%		10	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.01	%		0.01	%		0.01	%		0.01	%		0.02	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.00	(f)	$	0.00	(f)	$	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. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder.

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

(d)  Net expenses to average daily net assets were less than 0.01%.

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

(f)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

27

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 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 Barclays Capital U.S. Aggregate Index in the following proportions: 65% (MSCI ACWI (All Country World Index) Index) and 35% (Barclays Capital U.S. Aggregate Index). The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include the GMO International Equity Funds (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, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund. The Fund typically exposes at least 25% of its assets to fixed income investments and at least 25% of its assets to equity investments. In addition, the Fund may hold securities (particularly asset-backed securities) directly or through one or more subsidiaries or other entities.

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 Alternative Asset Opportunity Fund, GMO Flexible Equities Fund, GMO Short-Duration Collateral Fund, GMO Special Situations Fund, and GMO World Opportunity Overlay Fund are not publicly available for direct purchase.

The Fund directly and indirectly (through underlying funds) invests in securities with contractual cash flows, such as collateralized mortgage obligations and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans, credit card receivables and auto loan receivables. 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 changes in interest rates and shifts in the market's perception of the securities' market values.

2.  Significant accounting policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Fund in preparing its financial statements. The preparation of financial statements in accordance with U.S. GAAP

28

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 generally 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. Debt instruments 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 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 25.72% 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.

Typically the Fund and the underlying funds value debt instruments based on prices supplied by a primary pricing source chosen by the Manager. The Manager evaluates primary pricing sources on an ongoing basis and may change a pricing source should the Manager deem it appropriate. If it deems appropriate, the Manager, at its discretion, may override a price supplied by a primary source by using a price provided by another source. The prices provided by 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 and underlying funds are valued on the basis of prices provided by a single source. As of February 28, 2009, the total value of these securities represented 6.81% of the net assets. The single source prices provided may differ from the value that would be realized if the securities were sold, and the differences could be material. In addition, although alternative prices are available for other securities held by the Fund, those alternative sources would not necessarily confirm the security price used by the Fund. Therefore, the existence of those alternative sources does not necessarily provide greater certainty about the prices used by the Fund.

29

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: the Fund valued debt securities using bids received from primary pricing sources.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	2,149,535,614	$	—
Level 2 - Other Significant Observable Inputs		177,983,510		—
Level 3 - Significant Unobservable Inputs		106,361,263		—
Total	$	2,433,880,387	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

30

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	—		$	—
Accrued discounts/premiums		1,268,047			—
Realized gain (loss)		1,029,653			—
Change in unrealized appreciation/depreciation		(9,671,797	)		—
Net purchases (sales)		113,735,360			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	106,361,263		$	—

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes

31

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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, partnership interest tax allocations, amortization and accretion of debt securities, losses on wash sale transactions, 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	12,309,154	$	(11,778,314	)	$	(530,840	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	310,011,148	$	165,809,077
Net long-term capital gain		146,393,156		183,594,552
Total distributions	$	456,404,304	$	349,403,629

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 26,621,953

As of February 28, 2009, 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	$	(638	)
Total	$	(638	)

32

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $103,692,912.

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	3,642,562,201	$	—	$	(1,208,681,814	)	$	(1,208,681,814	)

For the period ended February 28, 2009, the Fund had net realized losses attributed to redemption in-kind transactions of $530,840.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the Manager has a conflict in allocating among the underlying funds. (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the

33

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

earnings allowance. 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

Effective September 30, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.04% of the amount invested or redeemed. Effective October 8, 2008, the premium on cash purchases was changed to 0.05% of the amount invested and the fee on cash redemptions was changed to 0.31% of the amount redeemed. Effective October 21, 2008, the premium on cash purchases was changed to 0.09% of the amount invested and the fee on cash redemptions was changed to 0.64% of the amount redeemed. Effective November 24, 2008, the fee on cash redemptions was changed to 2.00% of the amount redeemed. As of February 28, 2009, the premium on cash purchases was 0.09% of the amount invested and the fee on cash redemptions was 2.00% of the amount redeemed. The level of purchase premium 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). The Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or a portion of the redemption fees may be waived at the Manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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

34

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund a management fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.404	%		0.066	%		0.002	%		0.472	%

35

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund's portion of the fees paid by the Trust to Trust's independent Trustees and CCO during the year ended February 28, 2009 was $42,057 and $22,324, respectively. The compensation and expenses of the CCO are included in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $1,624,839,107 and $1,328,761,392, respectively. Cost of purchases and proceeds from sales of securities for in-kind transactions for the year ended February 28, 2009 were $166,517,242 and $166,517,242 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 14.72% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investment into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.07% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

36

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		15,432,640		$	163,016,462			71,503,366		$	884,679,303
Shares issued to shareholders in reinvestment of distributions		48,859,380			425,639,992			28,319,819			339,998,843
Shares repurchased		(26,134,315	)		(266,635,487	)		(60,342,225	)		(700,292,863	)
Purchase premiums		—			136,196			—			770,412
Redemption fees		—			1,070,368			—			89,792
Net increase (decrease)		38,157,705		$	323,227,531			39,480,960		$	525,245,487

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	535,974,748	$	403,696,515	$	316,882,524	$	186,637,036	$	95,637,496	$	409,903,662
GMO Core Plus Bond Fund, Class IV		49,187,750		1,622,218		45,703,575		1,622,218		—		—
GMO Domestic Bond Fund, Class VI		47,058,826		312,910,229		117,863,038		10,685,898		561,986		204,811,016
GMO Emerging Countries Fund, Class III		24,700,654		3,011,181		22,291,876		—		3,011,181		—
GMO Emerging Country Debt Fund, Class IV		10,781,541		2,207,873		33,037		1,066,840		227,741		8,197,052
GMO Emerging Markets Fund, Class VI		325,787,540		277,136,285		231,961,223		3,053,320		62,740,769		149,513,226
GMO Flexible Equities Fund, Class VI		—		67,842,514		462,708		8,423		—		51,855,694

37

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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	$	—	$	50,868,296	$	12,103,317	$	3,260,479	$	—	$	27,675,383
GMO International Bond Fund, Class III		19,794,069		1,445,618		17,444,784		1,445,618		—		—
GMO International Core Equity Fund, Class VI		353,485,226		111,318,612		14,346,487		14,317,867		2,825,624		242,284,954
GMO International Growth Equity Fund, Class IV		178,541,031		13,641,748		29,350,461		5,249,458		5,589,542		85,167,566
GMO International Intrinsic Value Fund, Class IV		177,101,792		16,261,686		29,148,676		5,479,464		8,723,288		77,290,040
GMO Short-Duration Investment Fund, Class III		3,034,068		22,197		16,427		111,247		—		2,571,600
GMO Special Situations Fund, Class VI		183,337,321		2,772,482		124,489,189		—		—		86,658,653
GMO Strategic Fixed Income Fund, Class VI		825,676,074		28,677,793		460,083,089		18,373,200		—		270,301,534
GMO U.S. Core Equity Fund, Class VI		83,499,236		2,431,090		31,048,396		1,051,608		—		34,489,170
GMO U.S. Quality EquityFund, Class VI		546,781,435		330,893,528		12,962,513		11,896,089		3,352,936		637,315,620
GMO World Opportunity Overlay Fund		—		20,522,050		7,219		—		—		19,021,564
Totals	$	3,364,741,311	$	1,647,281,915	$	1,466,198,539	$	264,258,765	$	182,670,563	$	2,307,056,734

38

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

39

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	786.80	$	2.04
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

40

GMO Global Balanced Asset Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $146,393,156 from long-term capital gains.

For taxable, non-corporate shareholders, 13.99% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 5.51% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $31,524,200 or if determined to be different, the qualified interest income of such year.

41

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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

42

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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

43

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

44

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

45

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

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 -48.6% for the fiscal year ended February 28, 2009, as compared to -51.5% 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 was positive as the GMO International Growth Equity and GMO International Intrinsic Value Funds outperformed their respective benchmarks.

Asset allocation detracted slightly, as the Fund spent part of the year overweight in emerging market equities.

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 .18% on the purchase and .18% 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 28, 2009 (Unaudited)

Asset Class Summary*	% of Total Net Assets
Common Stocks		92.3	%
Short-Term Investments		3.2
Preferred Stocks		2.0
Investment Funds		0.7
Private Equity Securities		0.1
Debt Obligations		0.0
Convertible Securities		0.0
Rights and Warrants		0.0
Forward Currency Contracts		(0.4	)
Futures		(0.6	)
Other		2.7
		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 28, 2009 (Unaudited)

Country/Region Summary**	% of Investments
Japan		23.6	%
Euro Region***		21.2
United Kingdom		18.1
Switzerland		9.9
Brazil		3.1
Korea		3.0
Australia		2.4
Canada		2.4
Taiwan		2.3
China		2.0
Hong Kong		2.0
South Africa		1.2
Denmark		1.1
Singapore		1.1
Sweden		0.9
Turkey		0.9
Thailand		0.8
Russia		0.6
United States		0.6
Malaysia		0.5
Norway		0.4
India		0.3
Mexico		0.3
Egypt		0.2
Israel		0.2
Poland		0.2
Chile		0.1
Czech Republic		0.1
Hungary		0.1
Indonesia		0.1
Morocco		0.1
New Zealand		0.1
Philippines		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 International Equity Allocation Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	14,270,388	GMO Emerging Markets Fund, Class VI		89,475,333
	747,041	GMO Flexible Equities Fund, Class VI		11,496,954
	14,803,816	GMO International Growth Equity Fund, Class IV		214,063,176
	14,617,554	GMO International Intrinsic Value Fund, Class IV		204,645,762
		TOTAL MUTUAL FUNDS (COST $927,707,007)		519,681,225
		SHORT-TERM INVESTMENTS — 0.0%
	26,246	State Street Eurodollar Time Deposit, 0.01%, due 03/02/09		26,246
		TOTAL SHORT-TERM INVESTMENTS (COST $26,246)		26,246
		TOTAL INVESTMENTS — 100.0% (Cost $927,733,253)		519,707,471
		Other Assets and Liabilities (net) — (0.0%)		(44,584	)
		TOTAL NET ASSETS — 100.0%	$	519,662,887

See accompanying notes to the financial statements.

3

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments in unaffiliated issuers, at value (cost $26,246) (Note 2)	$	26,246
Investments in affiliated issuers, at value (cost $927,707,007) (Notes 2 and 8)		519,681,225
Receivable for Fund shares sold		1,152,812
Receivable for expenses reimbursed by Manager (Note 3)		9,324
Miscellaneous receivable		1,963
Total assets		520,871,570
Liabilities:
Payable for investments purchased		1,072,673
Payable for Fund shares repurchased		81,624
Payable to affiliate for (Note 3):
Trustees and Chief Compliance Officer of GMO Trust fees		1,922
Accrued expenses		52,464
Total liabilities		1,208,683
Net assets	$	519,662,887
Net assets consist of:
Paid-in capital	$	974,514,072
Accumulated net realized loss		(46,825,403	)
Net unrealized depreciation		(408,025,782	)
	$	519,662,887
Net assets attributable to:
Class III shares	$	519,662,887
Shares outstanding:
Class III		84,198,555
Net asset value per share:
Class III	$	6.17

See accompanying notes to the financial statements.

4

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends from affiliated issuers (Note 8)	$	23,497,018
Interest		310
Total investment income		23,497,328
Expenses:
Custodian, fund accounting agent and transfer agent fees		46,539
Audit and tax fees		33,380
Legal fees		17,106
Trustees fees and related expenses (Note 3)		9,713
Registration fees		8,550
Miscellaneous		8,617
Total expenses		123,905
Fees and expenses reimbursed by Manager (Note 3)		(109,246	)
Expense reductions (Note 2)		(3,630	)
Net expenses		11,029
Net investment income (loss)		23,486,299
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments in affiliated issuers		(40,554,833	)
Realized gains distributions from affiliated issuers (Note 8)		60,958,671
Net realized gain (loss)		20,403,838
Change in net unrealized appreciation (depreciation) on:
Investments in affiliated issuers		(463,476,207	)
Net realized and unrealized gain (loss)		(443,072,369	)
Net increase (decrease) in net assets resulting from operations	$	(419,586,070	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	23,486,299		$	13,683,208
Net realized gain (loss)		20,403,838			164,601,980
Change in net unrealized appreciation (depreciation)		(463,476,207	)		(115,404,606	)
Net increase (decrease) in net assets from operations		(419,586,070	)		62,880,582
Distributions to shareholders from:
Net investment income
Class III		(24,219,892	)		(42,033,244	)
Net realized gains
Class III		(163,749,117	)		(90,134,712	)
		(187,969,009	)		(132,167,956	)
Net share transactions (Note 7):
Class III		370,949,981			65,994,952
Purchase premiums and redemption fees (Notes 2 and 7):
Class III		725,960			77,341
Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees		371,675,941			66,072,293
Total increase (decrease) in net assets		(235,879,138	)		(3,215,081	)
Net assets:
Beginning of period		755,542,025			758,757,106
End of period	$	519,662,887		$	755,542,025

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	16.45		$	17.96		$	17.13		$	15.19		$	12.83
Income (loss) from investment operations:
Net investment income (loss)(a)†		0.40			0.31			0.33			0.18			0.29
Net realized and unrealized gain (loss)		(7.20	)		1.32			2.85			2.90			2.65
Total from investment operations		(6.80	)		1.63			3.18			3.08			2.94
Less distributions to shareholders:
From net investment income		(0.39	)		(1.00	)		(0.83	)		(0.47	)		(0.42	)
From net realized gains		(3.09	)		(2.14	)		(1.52	)		(0.67	)		(0.16	)
Total distributions		(3.48	)		(3.14	)		(2.35	)		(1.14	)		(0.58	)
Net asset value, end of period	$	6.17		$	16.45		$	17.96		$	17.13		$	15.19
Total Return(b)		(48.63	)%		7.81	%		19.33	%		21.15	%		23.25	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	519,663		$	755,542		$	758,757		$	659,520		$	489,026
Net expenses to average daily net assets(c)(d)		0.00	%(e)		0.00	%(e)		0.00	%		0.00	%		0.00	%
Net investment income to average daily net assets(a)		3.46	%		1.66	%		1.87	%		1.15	%		2.18	%
Portfolio turnover rate		33	%		9	%		4	%		7	%		15	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.02	%		0.01	%		0.01	%		0.02	%		0.03	%
Purchase premiums and redemption fees consisted of the following per share amounts:†	$	0.01		$	0.00	(f)	$	0.00	(f)	$	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 exclude expenses incurred indirectly through investment in the underlying funds (See Note 3).

(d)  Net expenses to average daily net assets were less than 0.01%.

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

(f)  Purchase premiums and redemption fees were less than $0.01 per share.

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

7

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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, GMO Flexible Equities 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. Shares of GMO Flexible Equities Fund are not publicly available for direct purchase.

2.  Significant accounting policies

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

Portfolio valuation

Shares of the underlying funds and other mutual funds are generally valued at their net asset value.

Investments held by the underlying funds are valued as follows. Securities listed on a securities exchange 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. Debt instruments 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

8

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

readily available or whose values the Manager has determined to be unreliable are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. 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 were sold. The difference between a fair value price and the value realized upon a sale 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, the Fund generally values foreign equity securities using fair value prices, which are based on adjustments to closing prices supplied by a third party vendor based on that vendor's proprietary models. As of February 28, 2009, 82.02% 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.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	508,210,517	$	—
Level 2 - Other Significant Observable Inputs		11,496,954		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	519,707,471	$	—

9

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

For the underlying fund's summary of valuation inputs please refer to the respective fund's portfolio valuation note.

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Taxes and distributions

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, semiannually, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and

10

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 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 28, 2009. The financial highlights exclude these adjustments.

Distributions In Excess of Net Investment Income		Accumulated Net Realized Loss			Paid-in Capital
$	733,593	$	(733,593	)	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	24,217,411	$	42,017,444
Net long-term capital gain		163,751,598		90,150,512
Total distributions	$	187,969,009	$	132,167,956

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed net long–term capital gain $ 9,681,712

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	984,240,368	$	—	$	(464,532,897	)	$	(464,532,897	)

11

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 incurs fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Fund may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by the Fund will vary and the Manager has a conflict in allocating among the underlying funds (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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. 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

Effective June 30, 2008, the premium on cash purchases and fee on cash redemptions of Fund shares were each changed to 0.17% of the amount invested or redeemed. Effective September 30, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.14% of the amount invested or redeemed. Effective October 21, 2008, the premium on cash purchases and fee on cash redemptions were each changed to 0.18% of the amount invested or redeemed. As of February 28, 2009, the premium on cash purchases and fee on cash redemptions were each 0.18% of the amount invested or redeemed. 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). The

12

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund may impose a new purchase premium and/or redemption fee, or modify or eliminate an existing purchase premium and/or redemption fee, at any time. If the Manager determines that any portion of a cash purchase or redemption is offset by a corresponding cash redemption or purchase on the same day, the Fund will ordinarily waive or reduce the purchase premium or redemption fee with respect to that portion. All or portion of the redemption fees may be waived at the manager's discretion under circumstances in which the Manager deems it equitable to do so, including without limitation in cases where the weighted average of (i) the estimated transaction costs for directly held assets and (ii) the redemption fees, if any, imposed by the underlying funds is less than the Fund's redemption fee. In addition, the Fund may waive or reduce the purchase premium or redemption fee in extraordinary circumstances if the purchase or redemption will not cause the Fund to incur transaction costs. All purchase premiums and redemption fees are paid to the Fund and recorded by the Fund as paid-in capital. The Fund will waive or reduce the purchase premium relating to the in-kind portion of a purchase transaction except for estimated or known transaction costs (e.g. stamp duties and transfer taxes) incurred by the Fund as a result of the transfer of the purchasing shareholder's securities to the Fund. In-kind redemption transactions are generally not subject to redemption fees except when they include a cash component. However, when a substantial portion of a Fund is being redeemed, the Fund may charge a redemption fee based on estimated or known transaction costs resulting from those redemptions. The Fund charges 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. The Fund is subject to risks involved in investing in foreign securities that are not presented by investments in U.S. securities. These risks may involve adverse political and economic developments, including expropriation and 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 greater to the extent that the underlying funds engage in derivative transactions.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

13

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

3.  Fees and other transactions with affiliates

The Manager decides how to allocate the assets of the Fund among underlying funds. The Manager does not directly charge the Fund a management fee or shareholder service fee, but it receives varying management and shareholder service fees from the underlying funds in which the Fund invests. Because of that variation the levels of indirect net expenses set forth below are affected by the Manager's asset allocation decisions.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date (excluding "Excluded Expenses", as defined below). Excluded Expenses include 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 28, 2009, 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
	0.604	%		0.084	%		0.688	%

The Fund's portion of the fees paid by the Trust to the Trust's independent Trustees and CCO during the year ended February 28, 2009 was $7,893 and $4,946, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration 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 28, 2009 aggregated $489,534,336 and $221,380,102, respectively.

14

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 13.54% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.01% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and none of the Fund's shares were held by accounts for which the Manager had investment discretion.

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		31,165,724		$	323,942,000			25,844		$	478,479
Shares issued to shareholders in reinvestment of distributions		18,335,555			179,922,703			6,819,633			126,019,627
Shares repurchased		(11,239,414	)		(132,914,722	)		(3,144,468	)		(60,503,154	)
Purchase premiums		—			547,551			—			742
Redemption fees		—			178,409			—			76,599
Net increase (decrease)		38,261,865		$	371,675,941			3,701,009		$	66,072,293

15

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

8.  Investments in affiliated issuers

A summary of the Fund's transactions in the shares of other funds of the Trust during the year ended February 28, 2009 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	$	24,331,147	$	2,177,207	$	22,240,591	$	—	$	2,177,207	$	—
GMO Emerging Markets Fund, Class VI		165,596,573		113,901,801		56,870,215		1,667,312		32,129,915		89,475,333
GMO Flexible Equities Fund, Class VI		—		15,242,929		345,770		1,479		—		11,496,954
GMO International Growth Equity Fund, Class IV		283,913,374		173,575,757		73,398,372		10,443,287		10,296,359		214,063,176
GMO International Intrinsic Value Fund, Class IV		281,716,937		184,636,642		68,525,154		11,384,940		16,355,190		204,645,762
Totals	$	755,558,031	$	489,534,336	$	221,380,102	$	23,497,018	$	60,958,671	$	519,681,225

16

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 28, 2009, 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 28 2009, by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

17

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.67	%	$	1,000.00	$	570.70	$	2.61
2) Hypothetical		0.67	%	$	1,000.00	$	1,021.47	$	3.36

*  Expenses are calculated using the Class's annualized expense ratio (including indirect expenses incurred) for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

18

GMO International Equity Allocation Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

The Fund's distributions to shareholders include $163,751,598 from long-term capital gains.

For taxable, non-corporate shareholders, 66.32% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

20

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

21

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

22

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4 and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

23

GMO Real Estate Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO Real Estate Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO Real Estate Fund returned -54.5% for the fiscal year ended February 28, 2009, as compared to -58.0% for the MSCI U.S. REIT Index. Consistent with the Fund's investment objectives and policies, 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. Stock selections within the Specialized, Office, and Retail GICS Sub-Industries added to relative returns while stock selections within the Industrial GICS Sub-Industry detracted. In terms of individual names, underweight positions in General Growth Properties and SL Green Realty Corp. and an overweight in Public Storage added to relative returns. Overweight positions in ProLogis and Kimco Realty and an underweight in Equity Residential detracted.

Sector selection added to returns relative to the MSCI U.S. REIT Index due to the Fund's small cash position. Underweight positions in the GICS Sub-Industry Retail and Office sectors detracted from returns versus the benchmark.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Real Estate Investments		97.3	%
Short-Term Investments		2.8
Other		(0.1	)
		100.0	%
Industry Sector Summary	% of REIT Investments
Health Care		16.1	%
Apartments		15.8
Shopping Centers		11.3
Storage		11.1
Office Suburban		10.2
Diversified		7.6
Regional Malls		7.2
Office Central Business District		6.8
Industrial		5.0
Triple Net		4.1
Hotels		3.5
Manufactured Housing		0.8
Outlets		0.5
		100.0	%

1

GMO Real Estate Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 97.3%
		REAL ESTATE INVESTMENT TRUSTS — 97.3%
		Apartments — 15.4%
	3,900	American Campus Communities, Inc.		66,768
	3,286	Apartment Investment & Management Co.-Class A		17,153
	5,573	AvalonBay Communities, Inc.		236,406
	4,000	BRE Properties, Inc.		75,680
	2,000	Camden Property Trust		37,580
	25,200	Equity Residential		443,520
	2,510	Essex Property Trust, Inc.		136,544
	3,200	Home Properties, Inc.		84,928
	1,300	Investors Real Estate Trust		11,882
	2,200	Mid-America Apartment Communities, Inc.		56,870
	3,700	Post Properties, Inc.		35,668
	9,081	UDR, Inc.		71,831
		Total Apartments		1,274,830
		Diversified — 7.4%
	340	Alexander's, Inc.		47,736
	6,400	Franklin Street Properties Corp.		67,840
	12,500	Vornado Realty Trust		409,125
	4,200	Washington Real Estate Investment Trust		72,030
	1,900	Winthrop Realty Trust		14,079
		Total Diversified		610,810
		Health Care — 15.7%
	23,000	HCP, Inc.		420,210
	8,800	Health Care, Inc.		270,776
	3,500	Healthcare Realty Trust, Inc.		50,715
	1,200	LTC Properties, Inc.		20,472
	5,000	Medical Properties Trust, Inc.		17,450
	2,200	National Health Investors, Inc.		52,470
	5,900	Nationwide Health Properties, Inc.		119,534
	6,900	Omega Healthcare Investors, Inc.		90,597

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	7,800	Senior Housing Properties Trust		98,436
	7,500	Ventas, Inc.		161,775
		Total Health Care		1,302,435
		Hotels — 3.4%
	2,700	DiamondRock Hospitality Co.		8,343
	8,500	Hospitality Properties Trust		96,900
	47,300	Host Hotels & Resorts, Inc.		175,010
	2,600	Sunstone Hotel Investors, Inc.		5,694
		Total Hotels		285,947
		Industrial — 4.8%
	7,000	AMB Property Corp.		83,370
	2,500	DCT Industrial Trust, Inc.		7,300
	3,500	Digital Realty Trust, Inc.		104,615
	2,500	EastGroup Properties, Inc.		61,475
	25,138	ProLogis		145,549
		Total Industrial		402,309
		Manufactured Housing — 0.8%
	2,000	Equity Lifestyle Properties, Inc.		66,660
		Office Central Business District — 6.6%
	9,600	BioMed Realty Trust, Inc.		81,888
	11,100	Boston Properties, Inc.		411,699
	2,400	Douglas Emmett, Inc.		18,048
	3,123	SL Green Realty Corp.		36,289
		Total Office Central Business District		547,924
		Office Suburban — 9.9%
	2,870	Alexandria Real Estate Equities, Inc.		114,685
	1,389	Brandywine Realty Trust		6,556
	3,600	Corporate Office Properties Trust		90,000
	10,900	Duke Realty Corp.		75,210

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 28, 2009

Shares		Description	Value ($)
		Office Suburban — continued
	3,800	Highwoods Properties, Inc.		71,782
	20,800	HRPT Properties Trust		67,184
	3,000	Kilroy Realty Corp.		55,830
	9,400	Liberty Property Trust		171,738
	7,100	Mack-Cali Realty Corp.		121,268
	1,400	PS Business Parks, Inc.		48,160
		Total Office Suburban		822,413
		Outlets — 0.5%
	1,500	Tanger Factory Outlet Centers, Inc.		41,400
		Regional Malls — 7.0%
	8,200	CBL & Associates Properties, Inc.		25,420
	3,400	General Growth Properties, Inc.		2,006
	2,300	Macerich Co. (The)		26,266
	15,300	Simon Property Group, Inc.		506,430
	1,500	Taubman Centers, Inc.		23,475
		Total Regional Malls		583,597
		Shopping Centers — 11.0%
	2,284	Acadia Realty Trust		22,932
	4,400	Cedar Shopping Centers, Inc.		20,856
	8,600	Developers Diversified Realty Corp.		25,370
	3,600	Equity One, Inc.		40,248
	3,500	Federal Realty Investment Trust		143,955
	7,600	Inland Real Estate Corp.		59,280
	25,858	Kimco Realty Corp.		228,843
	2,000	Kite Realty Group Trust		6,880
	7,000	Regency Centers Corp.		188,860
	1,400	Saul Centers, Inc.		36,078
	2,300	Urstadt Biddle Properties, Inc.		27,853
	9,600	Weingarten Realty Investors		108,384
		Total Shopping Centers		909,539

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 28, 2009

Shares		Description	Value ($)
		Storage — 10.8%
	5,500	Extra Space Storage, Inc.		34,485
	15,014	Public Storage		832,977
	1,400	Sovran Self Storage, Inc.		29,652
		Total Storage		897,114
		Triple Net — 4.0%
	2,400	Entertainment Properties Trust		35,784
	3,000	Getty Realty Corp.		49,920
	4,000	Lexington Realty Trust		12,880
	8,400	National Retail Properties, Inc.		120,708
	6,500	Realty Income Corp.		113,945
		Total Triple Net		333,237
		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $20,700,056)		8,078,215
		TOTAL REAL ESTATE INVESTMENTS (COST $20,700,056)		8,078,215
		SHORT-TERM INVESTMENTS — 2.8%
		Money Market Funds — 2.8%
	228,948	State Street Institutional Treasury Money Market Fund-Institutional Class		228,948
		TOTAL SHORT-TERM INVESTMENTS (COST $228,948)		228,948
		TOTAL INVESTMENTS — 100.1% (Cost $20,929,004)		8,307,163
		Other Assets and Liabilities (net) — (0.1%)		(7,754	)
		TOTAL NET ASSETS — 100.0%	$	8,299,409

See accompanying notes to the financial statements.

5

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Assets and Liabilities — February 28, 2009

Assets:
Investments, at value (cost $20,929,004) (Note 2)	$	8,307,163
Dividends and interest receivable		39,473
Receivable for expenses reimbursed by Manager (Note 3)		7,139
Total assets		8,353,775
Liabilities:
Payable to affiliate for (Note 3):
Management fee		2,435
Shareholder service fee		1,107
Trustees and Chief Compliance Officer of GMO Trust fees		58
Accrued expenses		50,766
Total liabilities		54,366
Net assets	$	8,299,409
Net assets consist of:
Paid-in capital	$	22,431,309
Accumulated undistributed net investment income		133,569
Accumulated net realized loss		(1,643,628	)
Net unrealized depreciation		(12,621,841	)
	$	8,299,409
Net assets attributable to:
Class III shares	$	8,299,409
Shares outstanding:
Class III		2,483,943
Net asset value per share:
Class III	$	3.34

See accompanying notes to the financial statements.

6

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Operations — Year Ended February 28, 2009

Investment Income:
Dividends	$	841,500
Interest		4,531
Total investment income		846,031
Expenses:
Management fee (Note 3)		56,747
Shareholder service fee – Class III (Note 3)		25,794
Custodian, fund accounting agent and transfer agent fees		7,657
Audit and tax fees		56,105
Legal fees		339
Trustees fees and related expenses (Note 3)		197
Registration fees		3,349
Miscellaneous		2,590
Total expenses		152,778
Fees and expenses reimbursed by Manager (Note 3)		(69,979	)
Expense reductions (Note 2)		(6	)
Net expenses		82,793
Net investment income (loss)		763,238
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(1,621,100	)
Change in net unrealized appreciation (depreciation) on investments		(9,140,643	)
Net realized and unrealized gain (loss)		(10,761,743	)
Net increase (decrease) in net assets resulting from operations	$	(9,998,505	)

See accompanying notes to the financial statements.

7

GMO Real Estate Fund

(A Series of GMO Trust)


Statement of Changes in Net Assets

	Year Ended February 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	763,238		$	1,085,345
Net realized gain (loss)		(1,621,100	)		2,263,639
Change in net unrealized appreciation (depreciation)		(9,140,643	)		(11,549,632	)
Net increase (decrease) in net assets from operations		(9,998,505	)		(8,200,648	)
Distributions to shareholders from:
Net investment income
Class III		(728,184	)		(360,012	)
Net realized gains
Class III		(312,412	)		(5,263,497	)
		(1,040,596	)		(5,623,509	)
Net share transactions (Note 7):
Class III		(126,775	)		(4,360,814	)
Total increase (decrease) in net assets		(11,165,876	)		(18,184,971	)
Net assets:
Beginning of period		19,465,285			37,650,256
End of period (including accumulated undistributed net investment income of $133,569 and $319,064, respectively)	$	8,299,409		$	19,465,285

See accompanying notes to the financial statements.

8

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	7.85		$	12.87		$	12.27		$	14.54		$	14.65
Income (loss) from investment operations:
Net investment income (loss)†		0.31			0.40			0.38			0.61			0.59
Net realized and unrealized gain (loss)		(4.40	)		(3.29	)		2.72			3.24			1.55
Total from investment operations		(4.09	)		(2.89	)		3.10			3.85			2.14
Less distributions to shareholders:
From net investment income		(0.29	)		(0.14	)		(0.31	)		(0.40	)		(0.87	)
From net realized gains		(0.13	)		(1.99	)		(2.19	)		(5.72	)		(1.38	)
Total distributions		(0.42	)		(2.13	)		(2.50	)		(6.12	)		(2.25	)
Net asset value, end of period	$	3.34		$	7.85		$	12.87		$	12.27		$	14.54
Total Return(a)		(54.45	)%		(24.04	)%		29.76	%		28.89	%		16.01	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	8,299		$	19,465		$	37,650		$	41,391		$	235,837
Net expenses to average daily net assets		0.48	%(b)		0.48	%		0.48	%		0.48	%		0.48	%
Net investment income to average daily net assets		4.44	%		3.78	%		3.24	%		3.91	%		4.13	%
Portfolio turnover rate		29	%		49	%		43	%		52	%		134	%
Fees and expenses reimbursed and/or waived by the Manager to average daily net assets:		0.41	%		0.22	%		0.28	%		0.25	%		0.25	%

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

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

†  Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements.

9

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 MSCI U.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 in companies with similar characteristics.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it does require additional disclosures about fair value measurements. SFAS 157 establishes a

10

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	8,078,215	$	—
Level 2 - Other Significant Observable Inputs		228,948		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	8,307,163	$	—
Liability Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	—	$	—
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	—

The Fund held no investments or other financial instruments at either February 29, 2008 or February 28, 2009, whose fair value was determined using Level 3 inputs.

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled on the following business day. Gains or losses are recognized but not

11

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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. The Fund had no futures contracts outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

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

12

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

U.S. GAAP and tax accounting differences primarily relate to adjustments related to real estate investment trust holdings, capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(220,549	)	$	220,549	$	—

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	748,940	$	725,652
Net long-term capital gain		291,656		4,897,857
Total distributions	$	1,040,596	$	5,623,509

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

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 133,569

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $730,582.

13

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, 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:

2/28/2017	$	(517,045	)
Total	$	(517,045	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	21,325,004	$	—	$	(13,017,841	)	$	(13,017,841	)

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. Distributions paid by real estate investment trusts ("REITs") in excess of their income are recorded as reductions of the cost of the related investments 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 return of capital is conclusively determined. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

14

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. 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 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 pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

GMO receives a management fee for the services it provides to the Fund. That fee is paid monthly at the annual rate of 0.33% of average daily net assets. The Fund has adopted a Shareholder Service Plan under which the Fund pays GMO a shareholder service fee for client and shareholder service, reporting, and other support. Pursuant to the Shareholder Service Plan, the shareholder service fee is calculated based on average daily net assets at the annual rate of 0.15% for Class III shares.

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.33% of the Fund's average daily net assets. Excluded Expenses include shareholder service fees, fees and expenses of the independent Trustees of the Trust,

15

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $197 and $28, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $5,108,091 and $4,766,837, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 85.20% of the outstanding shares of the Fund were held by two shareholders, each holding more than 10% of the Fund's outstanding shares. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund by or on behalf of these large shareholders may have a material effect on the Fund.

As of February 28, 2009, 0.49% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 74.44% of the Fund's shares were held by accounts for which the Manager had investment discretion.

16

GMO Real Estate Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		37,799		$	261,394			12,826		$	100,698
Shares issued to shareholders in reinvestment of distributions		62,656			420,430			514,775			4,830,216
Shares repurchased		(96,908	)		(808,599	)		(973,250	)		(9,291,728	)
Net increase (decrease)		3,547		$	(126,775	)		(445,649	)	$	(4,360,814	)

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 28, 2009, 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 28, 2009 by correspondence with the custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

18

GMO Real Estate Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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		0.48	%	$	1,000.00	$	427.10	$	1.70
2) Hypothetical		0.48	%	$	1,000.00	$	1,022.41	$	2.41

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

19

GMO Real Estate Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in early 2010.

The Fund's distributions to shareholders include $291,656 from long-term capital gains.

The Fund hereby designates as qualified short-term capital gains with respect to its taxable year ended February 28, 2009, $25,795 or if determined to be different, the qualified short-term capital gains of such year.

20

GMO Real Estate 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. 2.62% 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.

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 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

23

Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

24

Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

25

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Annual Report

February 28, 2009

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

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

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in this Fund and other important information. The GMO Trust prospectus can be obtained at www.gmo.com.

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Portfolio Management

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

Management Discussion and Analysis of Fund Performance

The GMO U.S. Intrinsic Value Fund returned -40.8% for the fiscal year ended February 28, 2009, as compared to -47.4% for the Russell 1000 Value Index. Consistent with the Fund's investment objectives and policies, the Fund was invested primarily in U.S. equity securities throughout the period.

Stock selection added to returns relative to the Russell 1000 Value Index. Stock selections within Consumer Discretionary, Information Technology, and Consumer Staples added to relative returns while stock selections within Health Care, Utilities, and Telecommunication Services detracted. An overweight in Wal-Mart Stores and underweight positions in GE and Bank of America were among the individual names adding to relative returns. Underweight positions in AT&T and Verizon Communications and an overweight in AIG were among the detractors.

Sector selection added to returns relative to the Russell 1000 Value Index. Sector weightings positively impacting relative performance included an underweight in Financials and overweight positions in Health Care and Energy. Sector weightings negatively impacting relative performance included underweight positions in Utilities and Telecommunication Services and an overweight in Consumer Discretionary.

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 28, 2009 (Unaudited)

Asset Class Summary	% of Total Net Assets
Common Stocks		97.9	%
Short-Term Investments		2.8
Rights and Warrants		0.0
Futures		(0.1	)
Other		(0.6	)
		100.0	%
Industry Sector Summary	% of Equity Investments
Health Care		23.2	%
Energy		22.2
Consumer Staples		13.8
Information Technology		12.1
Financials		10.6
Consumer Discretionary		9.4
Industrials		5.5
Telecommunication Services		1.2
Materials		1.2
Utilities		0.8
		100.0	%

1

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
February 28, 2009

Shares		Description	Value ($)
		COMMON STOCKS — 97.9%
		Consumer Discretionary — 9.2%
	200	Abercrombie & Fitch Co.-Class A		4,398
	100	Advance Auto Parts, Inc.		3,825
	400	American Eagle Outfitters, Inc.		3,904
	600	AutoNation, Inc. *		5,988
	50	AutoZone, Inc. *		7,111
	700	Bed Bath & Beyond, Inc. *		14,910
	200	Best Buy Co., Inc.		5,764
	100	Black & Decker Corp.		2,367
	300	Career Education Corp. *		7,401
	300	CBS Corp.-Class B (Non Voting)		1,281
	400	Coach, Inc. *		5,592
	3,400	Comcast Corp.-Class A		44,404
	500	D.R. Horton, Inc.		4,225
	100	Dollar Tree, Inc. *		3,882
	300	Family Dollar Stores, Inc.		8,232
	800	Foot Locker, Inc.		6,648
	800	Gannett Co., Inc.		2,592
	200	Gap (The), Inc.		2,158
	200	Harley-Davidson, Inc.		2,020
	100	Hasbro, Inc.		2,289
	5,300	Home Depot, Inc.		110,717
	100	JC Penney Co., Inc.		1,533
	300	Johnson Controls, Inc.		3,414
	600	Jones Apparel Group, Inc.		1,614
	700	Kohl's Corp. *		24,598
	200	Leggett & Platt, Inc.		2,286
	700	Limited Brands, Inc.		5,383
	2,800	Lowe's Cos., Inc.		44,352
	100	McDonald's Corp.		5,225
	100	Mohawk Industries, Inc. *		2,259
	100	Nordstrom, Inc.		1,347
	7	NVR, Inc. *		2,329

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 28, 2009

Shares		Description	Value ($)
		Consumer Discretionary — continued
	200	O'Reilly Automotive, Inc. *		6,672
	200	Omnicom Group, Inc.		4,806
	800	Penske Auto Group, Inc.		4,528
	100	Polo Ralph Lauren Corp.		3,447
	200	RadioShack Corp.		1,466
	100	Sears Holdings Corp. *		3,676
	200	Snap-On, Inc.		4,718
	1,700	Staples, Inc.		27,115
	10	Strayer Education, Inc.		1,698
	700	Target Corp.		19,817
	400	Time Warner Cable, Inc.-Class A *		7,292
	200	Toll Brothers, Inc. *		3,170
	600	Warnaco Group (The), Inc. *		12,990
		Total Consumer Discretionary		445,443
		Consumer Staples — 13.5%
	3,300	Altria Group, Inc.		50,952
	100	Avon Products, Inc.		1,759
	100	BJ's Wholesale Club, Inc. *		2,988
	100	Campbell Soup Co.		2,677
	1,600	Coca-Cola Co. (The)		65,360
	300	Colgate-Palmolive Co.		18,054
	100	Costco Wholesale Corp.		4,234
	100	Dean Foods Co. *		2,045
	800	General Mills, Inc.		41,984
	100	Hershey Co. (The)		3,369
	100	HJ Heinz Co.		3,267
	100	JM Smucker Co. (The)		3,712
	200	Kimberly-Clark Corp.		9,422
	107	Kraft Foods, Inc.-Class A		2,438
	300	Kroger Co. (The)		6,201
	400	NBTY, Inc. *		5,948
	600	PepsiAmericas, Inc.		9,966
	1,200	PepsiCo, Inc.		57,768

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 28, 2009

Shares		Description	Value ($)
		Consumer Staples — continued
	1,300	Philip Morris International, Inc.		43,511
	1,200	Procter & Gamble Co. (The)		57,804
	375	Supervalu, Inc.		5,854
	224	Tyson Foods, Inc.-Class A		1,888
	4,000	Wal-Mart Stores, Inc.		196,960
	2,300	Walgreen Co.		54,878
		Total Consumer Staples		653,039
		Energy — 21.7%
	200	Anadarko Petroleum Corp.		6,990
	390	Apache Corp.		23,045
	100	Baker Hughes, Inc.		2,931
	800	BJ Services Co.		7,736
	600	Chesapeake Energy Corp.		9,384
	4,500	Chevron Corp.		273,195
	200	Cimarex Energy Co.		3,930
	100	Comstock Resources, Inc. *		3,043
	4,129	ConocoPhillips		154,218
	300	Devon Energy Corp.		13,101
	200	ENSCO International, Inc.		4,916
	270	EOG Resources, Inc.		13,511
	200	EXCO Resources, Inc. *		1,822
	5,400	Exxon Mobil Corp.		366,660
	100	Frontier Oil Corp.		1,365
	200	Helmerich & Payne, Inc.		4,732
	180	Hess Corp.		9,844
	500	Nabors Industries Ltd. *		4,855
	200	Newfield Exploration Co. *		3,866
	300	Noble Corp.		7,377
	100	Noble Energy, Inc.		4,554
	900	Occidental Petroleum Corp.		46,683
	500	Oil States International, Inc. *		6,660
	500	Patterson-UTI Energy, Inc.		4,295
	300	Penn Virginia Corp.		4,155

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 28, 2009

Shares		Description	Value ($)
		Energy — continued
	200	Pioneer Natural Resources Co.		2,918
	200	Plains Exploration & Production Co. *		3,828
	300	Spectra Energy Corp.		3,900
	300	St. Mary Land & Exploration Co.		4,074
	300	Sunoco, Inc.		10,035
	100	Tidewater, Inc.		3,532
	200	Unit Corp. *		4,274
	1,700	Valero Energy Corp.		32,946
	200	W&T Offshore, Inc.		1,610
	100	Whiting Petroleum Corp. *		2,330
		Total Energy		1,052,315
		Financials — 10.4%
	2,000	Allstate Corp. (The)		33,660
	200	American Financial Group, Inc.		3,112
	400	Annaly Capital Management, Inc. REIT		5,560
	50	Apartment Investment & Management Co.-Class A REIT		261
	100	Arch Capital Group Ltd. *		5,400
	200	Associated Banc Corp.		2,892
	200	Assurant, Inc.		4,080
	103	AvalonBay Communities, Inc. REIT		4,369
	200	Axis Capital Holdings Ltd.		4,476
	4,110	Bank of America Corp.		16,234
	700	BB&T Corp.		11,291
	70	BlackRock, Inc.		6,777
	200	Boston Properties, Inc. REIT		7,418
	100	BRE Properties, Inc. REIT		1,892
	100	Capital One Financial Corp.		1,205
	1,300	Chubb Corp.		50,752
	300	Comerica, Inc.		4,503
	300	Endurance Specialty Holdings Ltd.		6,711
	600	Equity Residential REIT		10,560
	30	Essex Property Trust, Inc. REIT		1,632
	100	Everest Re Group Ltd.		6,513

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	300	Fidelity National Title Group, Inc.-Class A		4,971
	200	First American Corp.		4,634
	258	First Horizon National Corp.		2,366
	100	Goldman Sachs Group (The), Inc.		9,108
	600	Hartford Financial Services Group (The), Inc.		3,660
	200	HCC Insurance Holdings, Inc.		4,390
	300	HCP, Inc. REIT		5,481
	100	Health Care REIT, Inc.		3,077
	700	Hudson City Bancorp, Inc.		7,259
	200	JPMorgan Chase & Co.		4,570
	500	KeyCorp.		3,505
	100	Liberty Property Trust REIT		1,827
	200	Mack-Cali Realty Corp. REIT		3,416
	1,000	Marsh & McLennan Cos., Inc.		17,930
	300	Marshall & Ilsley Corp.		1,374
	700	MetLife, Inc.		12,922
	500	Morgan Stanley		9,770
	100	Nationwide Health Properties, Inc. REIT		2,026
	575	Old Republic International Corp.		5,221
	100	PartnerRe Ltd.		6,190
	1,600	Popular, Inc.		3,600
	1,600	Progressive Corp. (The) *		18,512
	800	Protective Life Corp.		3,024
	300	Prudential Financial, Inc.		4,923
	300	Public Storage REIT		16,644
	100	Regency Centers Corp. REIT		2,698
	200	Reinsurance Group of America, Inc.		5,440
	100	RenaissanceRe Holdings Ltd.		4,503
	100	Simon Property Group, Inc. REIT		3,310
	200	StanCorp Financial Group, Inc.		3,598
	100	SunTrust Banks, Inc.		1,203
	100	T. Rowe Price Group, Inc.		2,274
	200	Torchmark Corp.		4,120
	2,400	Travelers Cos. (The), Inc.		86,760

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 28, 2009

Shares		Description	Value ($)
		Financials — continued
	248	UDR, Inc. REIT		1,962
	300	Unum Group		3,054
	900	US Bancorp		12,879
	200	Vornado Realty Trust REIT		6,546
	700	W.R. Berkley Corp.		14,567
	100	Wells Fargo & Co.		1,210
	100	Zions Bancorporation		937
		Total Financials		504,759
		Health Care — 22.7%
	600	Abbott Laboratories		28,404
	800	AmerisourceBergen Corp.		25,408
	2,400	Amgen, Inc. *		117,432
	400	Biogen Idec, Inc. *		18,416
	100	Bristol-Myers Squibb Co.		1,841
	1,100	Cardinal Health, Inc.		35,695
	100	Covance, Inc. *		3,798
	600	Coventry Health Care, Inc. *		6,912
	900	Eli Lilly & Co.		26,442
	300	Endo Pharmaceuticals Holdings, Inc. *		5,694
	300	Express Scripts, Inc. *		15,090
	1,300	Forest Laboratories, Inc. *		27,872
	700	Gilead Sciences, Inc. *		31,360
	100	Health Net, Inc. *		1,320
	100	Humana, Inc. *		2,367
	2,800	Johnson & Johnson		140,000
	1,100	King Pharmaceuticals, Inc. *		8,074
	400	LifePoint Hospitals, Inc. *		8,408
	400	Lincare Holdings, Inc. *		8,428
	1,300	McKesson Corp.		53,326
	200	Mednax, Inc. *		5,920
	600	Medtronic, Inc.		17,754
	700	Merck & Co., Inc.		16,940
	400	Mylan, Inc. *		4,972

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 28, 2009

Shares		Description	Value ($)
		Health Care — continued
	100	Omnicare, Inc.		2,593
	100	Patterson Cos., Inc. *		1,807
	12,300	Pfizer, Inc.		151,413
	200	ResMed, Inc. *		7,376
	200	Stryker Corp.		6,734
	6,467	UnitedHealth Group, Inc.		127,077
	200	Universal Health Services, Inc.-Class B		7,366
	2,400	WellPoint, Inc. *		81,408
	1,600	Wyeth		65,312
	1,000	Zimmer Holdings, Inc. *		35,020
		Total Health Care		1,097,979
		Industrials — 5.4%
	300	3M Co.		13,638
	1,700	Avis Budget Group, Inc. *		680
	340	Burlington Northern Santa Fe Corp.		19,982
	100	CH Robinson Worldwide, Inc.		4,138
	100	Con-way, Inc.		1,511
	200	Copart, Inc. *		5,404
	600	CSX Corp.		14,808
	200	Danaher Corp.		10,152
	100	Fastenal Co.		3,012
	700	General Dynamics Corp.		30,674
	1,300	General Electric Co.		11,063
	100	Kansas City Southern *		1,769
	100	L-3 Communications Holdings, Inc.		6,765
	100	Manpower, Inc.		2,788
	400	Masco Corp.		2,060
	700	Norfolk Southern Corp.		22,204
	700	Owens Corning, Inc. *		5,845
	200	Paccar, Inc.		5,014
	250	Parker-Hannifin Corp.		8,342
	100	Rockwell Collins, Inc.		3,120
	100	Ryder System, Inc.		2,286

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 28, 2009

Shares		Description	Value ($)
		Industrials — continued
	400	Southwest Airlines Co.		2,356
	300	Trinity Industries, Inc.		2,214
	1,375	Tyco International Ltd.		27,569
	600	Union Pacific Corp.		22,512
	100	United Parcel Service, Inc.-Class B		4,118
	200	United Technologies Corp.		8,166
	100	Waste Management, Inc.		2,700
	300	Watson Wyatt Worldwide, Inc.		14,733
		Total Industrials		259,623
		Information Technology — 11.8%
	200	Accenture Ltd.-Class A		5,838
	100	Affiliated Computer Services, Inc.-Class A *		4,663
	6,800	Cisco Systems, Inc. *		99,076
	100	Citrix Systems, Inc. *		2,058
	1,800	Compuware Corp. *		10,638
	700	Dell, Inc. *		5,971
	400	Diebold, Inc.		8,848
	1,300	eBay, Inc. *		14,131
	100	Fiserv, Inc. *		3,262
	300	Global Payments, Inc.		9,204
	30	Google, Inc.-Class A *		10,140
	100	Hewlett-Packard Co.		2,903
	300	IAC/InterActiveCorp *		4,479
	400	Ingram Micro, Inc.-Class A *		4,356
	320	International Business Machines Corp.		29,449
	100	Lam Research Corp. *		1,956
	300	Lexmark International, Inc. *		5,142
	400	LSI Corp. *		1,160
	7,400	Microsoft Corp.		119,510
	700	NCR Corp. *		5,544
	6,200	Oracle Corp. *		96,348
	300	QLogic Corp. *		2,766
	2,800	Qualcomm, Inc.		93,604

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 28, 2009

Shares		Description	Value ($)
		Information Technology — continued
	200	Sybase, Inc. *		5,436
	600	Symantec Corp. *		8,298
	700	Tech Data Corp. *		12,103
	400	Western Digital Corp. *		5,464
		Total Information Technology		572,347
		Materials — 1.2%
	600	Cabot Corp.		6,288
	800	Dow Chemical Co. (The)		5,728
	100	FMC Corp.		4,043
	500	Nucor Corp.		16,825
	200	Pactiv Corp. *		3,166
	200	Reliance Steel & Aluminum Co.		4,758
	700	Sealed Air Corp.		7,812
	100	Sigma-Aldrich Corp.		3,570
	100	Vulcan Materials Co.		4,141
		Total Materials		56,331
		Telecommunication Services — 1.2%
	1,658	AT&T, Inc.		39,411
	652	Verizon Communications, Inc.		18,601
		Total Telecommunication Services		58,012
		Utilities — 0.8%
	100	Dominion Resources, Inc./Virginia		3,018
	100	Energen Corp.		2,680
	100	Exelon Corp.		4,722
	300	FirstEnergy Corp.		12,768
	300	Nicor, Inc.		9,414
	100	PG&E Corp.		3,822
	200	TECO Energy, Inc.		1,918
		Total Utilities		38,342
		TOTAL COMMON STOCKS (COST $7,079,071)		4,738,190

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 28, 2009

Shares		Description	Value ($)
		RIGHTS AND WARRANTS — 0.0%
		Information Technology — 0.0%
	800	Seagate Technology, Inc. Rights (a) (b) *		—
		TOTAL RIGHTS AND WARRANTS (COST $0)		—
		SHORT-TERM INVESTMENTS — 2.8%
		Money Market Funds — 2.8%
	134,429	State Street Institutional Treasury Money Market Fund-Institutional Class		134,429
		TOTAL SHORT-TERM INVESTMENTS (COST $134,429)		134,429
		TOTAL INVESTMENTS — 100.7%(Cost $7,213,500)		4,872,619
		Other Assets and Liabilities (net) — (0.7%)		(34,636	)
		TOTAL NET ASSETS — 100.0%	$	4,837,983

See accompanying notes to the financial statements.

11

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)
February 28, 2009

A summary of outstanding financial instruments at February 28, 2009 is as follows:

Futures Contracts

Number of Contracts		Type	Expiration Date	Contract Value		Net Unrealized Appreciation (Depreciation)
Buys
	1	S&P 500 E-Mini Index	March 2009	$	36,710	$	(5,162	)

As of February 28, 2009, 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)  Bankrupt issuer.

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 28, 2009

Assets:
Investments, at value (cost $7,213,500) (Note 2)	$	4,872,619
Dividends receivable		18,660
Receivable for collateral on open futures contracts (Note 2)		4,950
Receivable for expenses reimbursed by Manager (Note 3)		7,874
Total assets		4,904,103
Liabilities:
Payable to affiliate for (Note 3):
Management fee		1,278
Shareholder service fee		617
Trustees and Chief Compliance Officer of GMO Trust fees		14
Payable for variation margin on open futures contracts (Note 2)		890
Accrued expenses		63,321
Total liabilities		66,120
Net assets	$	4,837,983
Net assets consist of:
Paid-in capital	$	18,707,305
Accumulated undistributed net investment income		9,338
Accumulated net realized loss		(11,532,617	)
Net unrealized depreciation		(2,346,043	)
	$	4,837,983
Net assets attributable to:
Class III shares	$	4,837,983
Shares outstanding:
Class III		1,063,432
Net asset value per share:
Class III	$	4.55

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 28, 2009

Investment Income:
Dividends (net of withholding taxes of $26)	$	489,816
Interest		3,285
Total investment income		493,101
Expenses:
Management fee (Note 3)		63,735
Shareholder service fee – Class III (Note 3)		30,839
Custodian, fund accounting agent and transfer agent fees		28,756
Audit and tax fees		56,133
Legal fees		414
Trustees fees and related expenses (Note 3)		241
Miscellaneous		3,148
Total expenses		183,266
Fees and expenses reimbursed by Manager (Note 3)		(88,251	)
Expense reductions (Note 2)		(220	)
Net expenses		94,795
Net investment income (loss)		398,306
Realized and unrealized gain (loss):
Net realized gain (loss) on:
Investments		(10,616,559	)
Closed futures contracts		(136,068	)
Net realized gain (loss)		(10,752,627	)
Change in net unrealized appreciation (depreciation) on:
Investments		1,156,559
Open futures contracts		39,775
Net unrealized gain (loss)		1,196,334
Net realized and unrealized gain (loss)		(9,556,293	)
Net increase (decrease) in net assets resulting from operations	$	(9,157,987	)

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 28, 2009			Year Ended February 29, 2008
Increase (decrease) in net assets:
Operations:
Net investment income (loss)	$	398,306		$	662,983
Net realized gain (loss)		(10,752,627	)		606,964
Change in net unrealized appreciation (depreciation)		1,196,334			(5,075,041	)
Net increase (decrease) in net assets from operations		(9,157,987	)		(3,805,094	)
Distributions to shareholders from:
Net investment income
Class III		(435,336	)		(613,306	)
Net realized gains
Class III		—			(2,010,274	)
		(435,336	)		(2,623,580	)
Net share transactions (Note 7):
Class III		(14,926,712	)		60,351
Total increase (decrease) in net assets		(24,520,035	)		(6,368,323	)
Net assets:
Beginning of period		29,358,018			35,726,341
End of period (including accumulated undistributed net investment income of $9,338 and $49,547, respectively)	$	4,837,983		$	29,358,018

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,
	2009			2008			2007			2006			2005
Net asset value, beginning of period	$	7.86		$	9.68		$	10.78		$	11.71		$	11.36
Income (loss) from investment operations:
Net investment income (loss)†		0.14			0.18			0.21			0.26			0.20
Net realized and unrealized gain (loss)		(3.31	)		(1.23	)		0.80			0.58			0.86
Total from investment operations		(3.17	)		(1.05	)		1.01			0.84			1.06
Less distributions to shareholders:
From net investment income		(0.14	)		(0.18	)		(0.23	)		(0.28	)		(0.19	)
From net realized gains		—			(0.59	)		(1.88	)		(1.49	)		(0.52	)
Total distributions		(0.14	)		(0.77	)		(2.11	)		(1.77	)		(0.71	)
Net asset value, end of period	$	4.55		$	7.86		$	9.68		$	10.78		$	11.71
Total Return(a)		(40.83	)%		(11.88	)%		9.80	%		7.73	%		9.59	%
Ratios/Supplemental Data:
Net assets, end of period (000's)	$	4,838		$	29,358		$	35,726		$	95,605		$	112,411
Net expenses to average daily net assets		0.46	%(b)		0.46	%		0.46	%		0.48	%		0.48	%
Net investment income to average daily net assets		1.94	%		1.93	%		1.91	%		2.31	%		1.79	%
Portfolio turnover rate		57	%		75	%		72	%		62	%		60	%
Fees and expenses reimbursed by the Manager to average daily net assets:		0.43	%		0.23	%		0.13	%		0.12	%		0.10	%

(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.

16

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements
February 28, 2009

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 in companies with similar market capitalizations.

2.  Significant accounting policies

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

Portfolio valuation

Securities listed on a securities exchange 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. Debt instruments with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates fair value. Shares of investment funds are generally 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 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 were sold. The difference between a fair value price and the value realized upon a sale could be material.

In September 2006, the Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards No. 157, Fair Value Measurements ("SFAS 157"). SFAS 157 is effective for the Fund's current fiscal year. While the adoption of SFAS 157 does not have an effect on the Fund's net asset value, it

17

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

does require additional disclosures about fair value measurements. SFAS 157 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the reliability of inputs to the valuation of the Fund's investments. The three levels are defined as follows:

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

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

Level 3 – Valuations based on inputs that are unobservable and significant. The Fund utilized the following fair value techniques on Level 3 investments: The Fund considered certain bankrupt securities to be worthless.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the fair valuations according to inputs used as of February 28, 2009 in valuing the Fund's investments:

Asset Valuation Inputs	Investments in Securities		Other Financial Instruments
Level 1 - Quoted Prices	$	4,738,190	$	—
Level 2 - Other Significant Observable Inputs		134,429		—
Level 3 - Significant Unobservable Inputs*		—		—
Total	$	4,872,619	$	—

*  Represents the interest in bankrupt securities that have no value at February 28, 2009.

Liability Valuation Inputs	Investments in Securities		Other Financial Instruments**
Level 1 - Quoted Prices	$	—	$	(5,162	)
Level 2 - Other Significant Observable Inputs		—		—
Level 3 - Significant Unobservable Inputs		—		—
Total	$	—	$	(5,162	)

**  Other financial instruments include futures contracts.

18

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

	Investments in Securities			Other Financial Instruments
Balance as of February 29, 2008	$	8		$	—
Realized gain (loss)		—			—
Change in unrealized appreciation/depreciation		(8	)		—
Net purchases (sales)		—			—
Net transfers in and/or out of Level 3		—			—
Balance as of February 28, 2009	$	—		$	—

Futures contracts

The Fund may purchase and sell futures contracts. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations, or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. 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 contract. 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 settled 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 some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. 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 contract 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 various types of swap agreements, including without limitation, interest rate, total return, credit default and variance swap agreements. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. When entering into a swap agreement, the Fund and/or the swap counterparty may post or receive cash or securities as collateral. The party posting the collateral typically receives the interest associated with or payments related to the collateral and has the risk of loss related to the collateral.

19

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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

Total return swap agreements involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference instrument (e.g., a security or basket of securities), both based on notional amounts. To the extent the return of the reference instrument exceeds or falls short of the interest payments, one party will receive a payment from or make a payment to the other party.

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return if a credit event occurs with respect to a referenced entity or entities. Buying credit default protection reduces the buyer's exposure in the event of an issuer's default (e.g., it reduces risk where a party owns a security issued by or otherwise has exposure to the issuer). Selling credit default protection subjects the seller to exposure to an issuer's default. A seller of credit default protection receives payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event (e.g., issuer default or similar event). If no credit event occurs, the seller has no payment obligations. For credit default swap agreements on asset-backed securities, a credit event may be triggered by such events as the issuer's failure to pay interest or principal, an agreement of the holders of an asset-backed security to a maturity extension, a rating downgrade on the security or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such events as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium or restructuring.

Variance swap agreements involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. At the expiration date, the amount paid by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would receive a payment when the realized price variance of the underlying asset is greater than the strike price and would make a payment when that variance is less than the strike price. A payer of the realized price variance would make a payment when the realized price variance of the underlying asset is greater than the strike price and would receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

The Fund prices its swap agreements daily using models that may incorporate quotations from market makers and records the change in value, if any, as unrealized gain or loss in the Statement of Operations.

20

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Payments received or made on swap agreements are recorded as realized gain or loss in the Statement of Operations. Gains or losses are realized upon termination of the swap agreements.

Swap agreements often are not actively traded on financial markets. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves credit, legal, market and documentation risk that is not reflected in the amounts reported in the Statement of Assets and Liabilities. Such risks include the possibility that the party with whom the Fund contracts may default on its obligations to perform or disagree as to the meaning of contractual terms, or that the collateral that party posts may be insufficient or not timely received by the Fund. Credit risk may be particularly acute in an environment where financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. The Fund had no swap agreements outstanding at the end of the period.

Repurchase agreements

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities collateralizing the repurchase agreement. The collateral is marked to market daily to ensure that the market value of the underlying assets is at least equal to the amount owed to the Fund in the event of default by the seller. If the seller of a repurchase agreement defaults or enters into insolvency proceedings and the value of the collateral declines, the Fund's recovery of cash may be delayed or limited. The Fund had no repurchase agreements outstanding at the end of the period.

Securities lending

The Fund may lend its securities to qualified brokers. The loans are collateralized with cash or liquid securities with a market value at least equal to the market value of the securities upon entering into the 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. For the year from March 1, 2008 through February 28, 2009, 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 all of its net realized short-term and long-term capital gain, if any, after

21

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, no provision for U.S. federal income or excise tax is necessary.

The Fund's policy is to declare and pay distributions from net investment income, if any, quarterly, and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are 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 that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will reverse at some time in the future. Distributions in excess of net investment income or net realized gains are temporary over-distributions for financial statement purposes resulting from differences in the recognition or classification of income or distributions for financial statement and tax purposes.

U.S. GAAP and tax accounting differences primarily relate to capital loss carryforwards, 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 28, 2009. The financial highlights exclude these adjustments.

Accumulated Undistributed Net Investment Income			Accumulated Net Realized Loss		Paid-in Capital
$	(3,179	)	$	917,553	$	(914,374	)

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

	2/28/2009		2/29/2008
Ordinary income (including any net short-term capital gain)	$	435,336	$	1,421,484
Net long-term capital gain		—		1,202,096
Total distributions	$	435,336	$	2,623,580

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

22

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

As of February 28, 2009, the components of distributable earnings on a tax basis consisted of the following:

Undistributed ordinary income (including any
net short-term capital gain) $ 9,338

As of February 28, 2009, the Fund elected to defer to March 1, 2009 post-October capital losses of $7,496,232.

As of February 28, 2009, the Fund had capital loss carryforwards available to offset future realized gains if any, to the extent permitted by the Code. Such losses expire as follows:

2/28/2017	$	(3,433,141	)
Total	$	(3,433,141	)

As of February 28, 2009, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
$	7,821,906	$	21,602	$	(2,970,889	)	$	(2,949,287	)

Utilization of the capital loss carryforwards, post-October capital losses and future losses, if any, realized subsequent to February 28, 2009 could be subject to limitations imposed by the Code related to share ownership activity.

The Fund is subject to the provisions of Financial Accounting Standards Board Interpretation No. 48 ("FIN 48"), Accounting for Uncertainty in Income Taxes — an Interpretation of FASB Statement No. 109. FIN 48 sets forth a minimum threshold for financial statement recognition of a tax position taken or expected to be taken in a tax return that could affect the Fund's financial statements. The Fund did not have any unrecognized tax benefits or liabilities at February 28, 2009, nor did it have any increases or decreases in unrecognized tax benefits or liabilities for the period then ended. The Fund is subject to examination prior to the expiration of the statute of limitations by U.S. federal and state tax authorities for tax returns filed.

Security transactions and related investment income

Security transactions in the financial statements are accounted for on the trade date. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when the

23

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

Fund is informed of the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation indexed securities, is adjusted for inflation and any increase or decrease is recorded as interest income or 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 asset received. In determining the net gain or loss on securities sold, the Fund uses the identified cost basis for the purposes of determining the cost basis.

Expenses

The majority of the expenses of the Trust are directly identifiable to an individual fund. Expenses that 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 fees may be reduced by an earnings allowance calculated on the average daily cash balances the Fund maintains with State Street. The Fund receives the benefit of the earnings allowance. In addition, Goldman Sachs Agency Lending, the Fund's securities lending agent, has agreed to reimburse the Fund for certain transactional expenses related to securities lending activity. Credit balances or expense reimbursements used to reduce fees, if any, are reported as a reduction of expenses in the Statement of Operations.

Recently issued accounting pronouncement

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities ("SFAS 161"). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about the Fund's derivative and hedging activities. The Manager is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

3.  Fees and other transactions with affiliates

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

Through at least June 30, 2009, the Manager has contractually agreed to reimburse the Fund for Fund expenses incurred through that date to the extent the Fund's total annual operating expenses (excluding "Excluded Expenses", as defined below) exceed 0.31% of the Fund's average daily net assets. Excluded Expenses include 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

24

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

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 Trust's independent Trustees and CCO during the year ended February 28, 2009 was $241 and $154, respectively. The compensation and expenses of the CCO are included in miscellaneous expenses in the Statement of Operations. The Fund paid no remuneration to any other officer of the Trust.

4.  Purchases and sales of securities

Cost of purchases and proceeds from sales of securities, excluding short-term investments, for the year ended February 28, 2009 aggregated $11,440,737 and $25,465,153, 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 that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as it involves 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 its indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Fund.

6.  Principal shareholders and related parties

As of February 28, 2009, 97.31% of the outstanding shares of the Fund were held by one shareholder. On that date, no other shareholder owned more than 10% of the outstanding shares of the Fund. Redemptions from (or investments into) the Fund or on behalf of this large shareholder may have a material effect on the Fund.

As of February 28, 2009, 0.31% of the Fund's shares were held by senior management of the Manager and GMO Trust officers and 0.48% of the Fund's shares were held by accounts for which the Manager had investment discretion.

25

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Notes to Financial Statements — (Continued)
February 28, 2009

7.  Share transactions

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

	Year Ended February 28, 2009						Year Ended February 29, 2008
Class III:	Shares			Amount			Shares			Amount
Shares sold		3,140		$	16,864			183,699		$	1,585,009
Shares issued to shareholders in reinvestment of distributions		64,488			427,139			279,714			2,550,763
Shares repurchased		(2,738,867	)		(15,370,715	)		(421,121	)		(4,075,421	)
Net increase (decrease)		(2,671,239	)	$	(14,926,712	)		42,292		$	60,351

26

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 28, 2009, 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 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
April 29, 2009

27

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)

Fund Expenses
February 28, 2009 (Unaudited)

Expense Examples: The following information is in relation to expenses for the six month period ended February 28, 2009.

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, 2008 through February 28, 2009.

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	$	621.60	$	1.85
2) Hypothetical		0.46	%	$	1,000.00	$	1,022.51	$	2.31

*  Expenses are calculated using the Class's annualized expense ratio for the six months ended February 28, 2009, multiplied by the average account value over the period, multiplied by 181 days in the period, divided by 365 days in the year.

28

GMO U.S. Intrinsic Value Fund

(A Series of GMO Trust)


Tax Information for the Tax Year Ended February 28, 2009 (Unaudited)

The Fund will notify shareholders of amounts for use in preparing 2009 income tax forms in January 2010.

For taxable, non-corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 represents qualified dividend income subject to the 15% rate category.

For corporate shareholders, 100.00% of the income and short-term capital gains, if any, distributed in the Fund's fiscal year ended February 28, 2009 qualified for the dividends-received deduction.

The Fund hereby designates as qualified interest income with respect to its taxable year ended February 28, 2009, $2,916 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; Author of Legal Treatises.		59	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, 2007 and December 31, 2008, these entities paid $789,416 and $183,864 respectively, in legal fees and disbursements to Goodwin. In correspondence with the Staff of the Securities and Exchange Commission beginning in August 2006, the Independent Trustees' legal counsel provided the Staff with information regarding Mr. Glazer's relationship with Goodwin and his other business activities. On September 11, 2007, based on information that had been given to the Staff as of that date, the Staff provided oral no-action assurance consistent with the opinion of the Independent Trustees' legal counsel that Mr. Glazer is not an "interested person" of the Trust.

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
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).		59	Director of Courier Corporation (a book publisher and manufacturer); Member of the Investment Committee of Partners HealthCare System, Inc.3
Peter Tufano c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 04/22/1957	Trustee	Since December 2008.	Sylvan C. Coleman Professor of Financial Management, Harvard Business School (since 1989).		59	Trustee of State Street Navigator Securities Lending Trust (3 Portfolios).

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

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Principal Officers:

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
J.B. Kittredge DOB: 08/22/1954	President and Chief Executive Officer	Since March 2009.	General Counsel, Grantham, Mayo, Van Otterloo & Co. LLC (October 2005 – Present); Partner, Ropes & Gray LLP.
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).
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. LLC (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.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

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Principal Officers — (Continued)

Name, Address, and DOB	Position(s) Held with Trust	Term of Office4and Length of Time Served	Principal Occupation(s) During Past Five Years5
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.
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 (January 2007 – present); Attorney, Goodwin Procter LLP (September 2003 – January 2007).
Cheryl Wakeham c/o GMO Trust 40 Rowes Wharf Boston, MA 02110 DOB: 10/29/1958	Vice President and Anti-Money Laundering Officer	Since December 2004.	Manager, Client Service Administration, Grantham, Mayo, Van Otterloo & Co. LLC.

⁴  Each officer is elected to hold such office until his or her successor is duly elected and qualified to carry out the duties and responsibilities of the office, or until he or she resigns or is removed from office.

⁵  Each of Messrs. Burnett, Arvidson, Bohan, and Pottle serves as an officer and/or director of certain pooled investment vehicles of which GMO or an affiliate of GMO serves as the investment adviser.

33

Item 2. Code of Ethics.

As of February 28, 2009, the registrant has adopted a Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002. During the year ended February 28, 2009, 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 2009 and 2008 were $2,305,743 and $2,154,900, respectively.

(b)AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2009 and 2008 for engagements for audit-related services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $21,377 and $64,212, respectively. The aggregate fees billed in 2009 and 2008 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 $528,000 and $250,000, respectively.

(c)TAX FEES:  The aggregate fees billed to the registrant in 2009 and 2008 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 $753,938 and $904,314, respectively.   The aggregate fees billed in 2009 and 2008 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 $10,680 and $9,800, 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 2009 or 2008.

(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 2009 and 2008 for non-audit services rendered to the registrant, the registrant’s Service Affiliates were $1,313,995 and $1,229,726, respectively.  For the fiscal year ended February 28, 2009, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $0 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 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.

(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) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the 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 are attached hereto as EX-99.CERT.

(a)(3)  Not applicable to this registrant.

(b)Certifications by the Principal Executive Officer and Principal Financial Officer of the registrant pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and required by Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto as EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)	GMO Trust
By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Chief Executive Officer
	Date:	May 6, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):	/s/ J.B. Kittredge
	J.B. Kittredge, Principal Executive Officer
	Date:	May 6, 2009

By (Signature and Title):	/s/ Sheppard N. Burnett
	Sheppard N. Burnett, Principal Financial Officer
	Date:	May 6, 2009