GMO Trust

The Schedules of Investments for each series of the registrant for the periods ended November 30, 2012 are filed herewith.


Shares		Description	Value ($)
		COMMON STOCKS — 96.9%

		Capital Goods — 0.8%
	1,091,500	3M Co.		99,271,925


		Consumer Durables & Apparel — 0.7%
	900,820	Nike, Inc. – Class B		87,811,933


		Consumer Services — 2.1%
	2,709,500	McDonald’s Corp.		235,834,880
	343,435	Yum! Brands, Inc.		23,037,620

		Total Consumer Services		258,872,500


		Energy — 7.1%
	15,756,990	BP Plc		109,389,628
	3,623,070	Chevron Corp.		382,922,268
	1,319,700	Exxon Mobil Corp.		116,318,358
	4,769,682	Royal Dutch Shell Plc – A Shares		159,695,905
	2,545,357	Total SA		127,562,095

		Total Energy		895,888,254


		Food & Staples Retailing — 4.2%
	194,700	Costco Wholesale Corp.		20,246,853
	254,600	CVS Caremark Corp.		11,841,446
	1,686,409	Sysco Corp.		53,374,845
	15,695,247	Tesco Plc		81,877,906
	5,020,200	Wal–Mart Stores, Inc.		361,554,804

		Total Food & Staples Retailing		528,895,854


		Food, Beverage & Tobacco — 20.2%
	886,522	Anheuser-Busch InBev NV		77,847,618
	3,225,336	British American Tobacco Plc		169,429,947
	14,630,200	Coca-Cola Co. (The)		554,777,184
	10,045,100	Japan Tobacco, Inc.		301,197,749
	1,643,800	Lorillard, Inc.		199,162,808
	3,330,900	Nestle SA (Registered)		218,032,806
	4,812,711	PepsiCo, Inc.		337,900,439
	5,229,830	Philip Morris International, Inc.		470,057,120
	4,995,740	Unilever NV		189,582,741
	543,513	Unilever Plc		20,854,707

		Total Food, Beverage & Tobacco		2,538,843,119


		Health Care Equipment & Services — 6.3%
	173,100	Baxter International, Inc.		11,471,337
	6,116,480	Express Scripts Holding Co. ^*		329,372,448
	55,380	Henry Schein, Inc. ^*		4,473,043
	3,339	Intuitive Surgical, Inc. ^*		1,766,331
	876,665	Laboratory Corp. of America Holdings^*		74,157,092
	2,549,030	Medtronic, Inc.		107,339,653
	995,645	Quest Diagnostics, Inc.		57,528,368
	1,436,644	UnitedHealth Group, Inc.		78,139,067
	1,901,667	Zimmer Holdings, Inc.		125,452,972

		Total Health Care Equipment & Services		789,700,311


		Household & Personal Products — 5.2%
	677,653	Church & Dwight Co., Inc.		36,694,910
	2,561,650	Colgate–Palmolive Co.		277,939,025


Shares		Description	Value ($)
		Household & Personal Products — continued
	4,699,600	Procter & Gamble Co. (The)		328,173,068
	133,657	Reckitt Benckiser Group Plc		8,406,976

		Total Household & Personal Products		651,213,979


		Materials — 0.0%
	37,200	Praxair, Inc.		3,988,212


		Pharmaceuticals, Biotechnology & Life Sciences — 18.2%
	5,231,505	Abbott Laboratories		340,047,825
	395,213	Amgen, Inc.		35,094,914
	1,462,902	AstraZeneca Plc		69,485,268
	1,424,600	Bristol–Myers Squibb Co.		46,484,698
	175,400	Eli Lilly & Co.		8,601,616
	300,300	Gilead Sciences, Inc. ^*		22,522,500
	5,938,002	GlaxoSmithKline Plc		127,168,888
	8,509,800	Johnson & Johnson		593,388,354
	1,053,500	Merck & Co., Inc.		46,670,050
	2,670,195	Novartis AG (Registered)		165,464,864
	214,463	Novo Nordisk A/S-Class B		33,994,632
	18,639,539	Pfizer, Inc.		466,361,266
	789,911	Roche Holding AG		155,608,635
	1,766,140	Sanofi		157,747,078
	566,300	Takeda Pharmaceutical Co. Ltd		25,923,669

		Total Pharmaceuticals, Biotechnology & Life Sciences		2,294,564,257


		Retailing — 2.5%
	68,960	Hennes & Mauritz AB – Class B		2,239,883
	4,497,800	Target Corp.		283,946,114
	565,078	TJX Cos., Inc. (The)		25,055,559

		Total Retailing		311,241,556


		Software & Services — 19.0%
	731,700	Google, Inc. – Class A^*		510,997,329
	1,783,970	International Business Machines Corp.		339,079,178
	365,780	Mastercard, Inc. – Class A		178,749,370
	17,426,900	Microsoft Corp.		463,904,078
	19,260,100	Oracle Corp.		618,249,210
	1,576,528	SAP AG		123,093,817
	927,000	Visa, Inc. – Class A		138,781,170
	44,337	Yahoo! Japan Corp		14,936,579

		Total Software & Services		2,387,790,731


		Technology Hardware & Equipment — 9.9%
	614,818	Apple, Inc.		359,840,679
	26,567,331	Cisco Systems, Inc.		502,388,229
	1,435,900	EMC Corp.^*		35,639,038
	18,662,800	Hewlett-Packard Co.		242,429,772
	1,745,058	Qualcomm, Inc.		111,020,590

		Total Technology Hardware & Equipment		1,251,318,308


		Telecommunication Services — 0.7%
	59,174	NTT Docomo, Inc.		85,786,094


		TOTAL COMMON STOCKS (COST $10,553,483,816)		12,185,187,033

Shares

Description

Value ($)

MUTUAL FUNDS — 2.4%

Affiliated Issuers — 2.4%

11,819,044

GMO U.S. Treasury Fund

295,476,103

TOTAL MUTUAL FUNDS

(COST $295,476,103)

295,476,103

SHORT-TERM INVESTMENTS — 0.2%

Money Market Funds — 0.2%

22,624,343

State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(a)

22,624,343

TOTAL SHORT-TERM INVESTMENTS

(COST $22,624,343)

22,624,343

TOTAL INVESTMENTS — 99.5% (Cost $10,871,584,262)

12,503,287,479

Other Assets and Liabilities
(net) — 0.5%

66,964,741

TOTAL NET ASSETS — 100.0%

$12,570,252,220

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.


Country Summary*	% of Investments
United States		80.1	%
United Kingdom		6.1
Switzerland		4.4
Japan		3.5
France		2.4
Netherlands		1.6
Germany		1.0
Belgium		0.6
Denmark		0.3
Sweden		0.0	^

		100.0	%

The table above shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap agreements and other derivative financial instruments, if any.

^	Rounds to 0.0%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

The Fund makes investments in other GMO Trust funds (“underlying funds”). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund’s Schedule of Investments.

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		REAL ESTATE INVESTMENTS — 99.2%

		REAL ESTATE INVESTMENT TRUSTS — 99.2%

		Diversified — 6.3%
	8,400	Duke Realty Corp.		113,400
	4,708	Lexington Realty Trust		45,150
	3,700	Liberty Property Trust		128,871
	700	PS Business Parks, Inc.		45,143
	5,046	Vornado Realty Trust		385,666

		Total Diversified		718,230


		Industrial — 4.5%
	9,000	DCT Industrial Trust, Inc.		56,250
	900	EastGroup Properties, Inc.		47,052
	11,960	ProLogis, Inc.		405,922

		Total Industrial		509,224


		Office — 14.5%
	1,770	Alexandria Real Estate Equities, Inc.		120,218
	4,200	BioMed Realty Trust, Inc.		80,934
	4,440	Boston Properties, Inc.		455,677
	5,389	Brandywine Realty Trust		64,291
	2,100	Corporate Office Properties Trust		51,828
	3,700	Digital Realty Trust, Inc.		238,798
	4,500	Douglas Emmett, Inc.		102,195
	2,300	Highwoods Properties, Inc.		74,152
	2,300	Kilroy Realty Corp.		103,730
	2,700	Mack-Cali Realty Corp.		68,256
	5,300	Piedmont Office Realty Trust, Inc. – Class A		93,545
	2,623	SL Green Realty Corp.		197,722

		Total Office		1,651,346


		Residential — 17.6%
	3,100	American Campus Communities, Inc.		135,780
	4,086	Apartment Investment & Management Co. – Class A		102,436
	2,783	AvalonBay Communities, Inc.		366,772
	2,100	BRE Properties, Inc.		102,165
	2,300	Camden Property Trust		151,110
	2,400	Colonial Properties Trust		48,960
	1,100	Equity Lifestyle Properties, Inc.		72,204
	8,700	Equity Residential		482,937
	1,070	Essex Property Trust, Inc.		150,324
	1,400	Home Properties, Inc.		82,446
	1,100	Mid-America Apartment Communities, Inc.		68,552
	1,600	Post Properties, Inc.		78,608
	6,781	UDR, Inc.		156,031

		Total Residential		1,998,325


		Retail — 26.5%
	40	Alexander’s, Inc.		17,720
	4,531	CBL & Associates Properties, Inc.		101,993
	6,697	DDR Corp.		102,531
	2,040	Federal Realty Investment Trust		212,242
	12,200	General Growth Properties, Inc.		236,314
	12,458	Kimco Realty Corp.		239,941
	3,996	Macerich Co. (The)		225,774


Shares		Description	Value ($)
		Retail — continued
	3,100	National Retail Properties, Inc.		95,232
	4,100	Realty Income Corp.		166,788
	2,900	Regency Centers Corp.		135,865
	7,443	Simon Property Group, Inc.		1,132,303
	2,900	Tanger Factory Outlet Centers, Inc.		95,352
	2,000	Taubman Centers, Inc.		154,940
	3,900	Weingarten Realty Investors		106,002

		Total Retail		3,022,997


		Specialized — 29.8%
	3,700	CubeSmart		51,060
	5,511	DiamondRock Hospitality Co.		48,166
	1,300	EPR Properties		58,955
	3,300	Extra Space Storage, Inc.		115,995
	13,600	HCP, Inc.		612,680
	7,300	Health Care, Inc.		429,897
	2,600	Healthcare Realty Trust, Inc.		62,010
	4,200	Hospitality Properties Trust		95,340
	21,437	Host Hotels & Resorts, Inc.		314,909
	2,600	LaSalle Hotel Properties		62,686
	900	National Health Investors, Inc.		49,950
	3,400	Omega Healthcare Investors, Inc.		77,928
	5,034	Public Storage		707,982
	5,000	Senior Housing Properties Trust		111,750
	900	Sovran Self Storage, Inc.		55,611
	8,404	Ventas, Inc.		534,915

		Total Specialized		3,389,834


		TOTAL REAL ESTATE INVESTMENT TRUSTS (COST $8,237,021)		11,289,956


		TOTAL REAL ESTATE INVESTMENTS (COST $8,237,021)		11,289,956


		SHORT-TERM INVESTMENTS — 1.2%

		Money Market Funds — 1.2%
	143,137	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%^(a)		143,137


		TOTAL SHORT-TERM INVESTMENTS (COST $143,137)		143,137


		TOTAL INVESTMENTS — 100.4% (Cost $8,380,158)		11,433,093
		Other Assets and Liabilities (net) — (0.4%)		(47,382	)


		TOTAL NET ASSETS — 100.0%		$11,385,711

Notes to Schedule of Investments:

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 99.4%

		Automobiles & Components — 0.8%
	29,300	Dana Holding Corp		415,474
	416,166	General Motors Co. ^*		10,770,376

		Total Automobiles & Components		11,185,850


		Banks — 2.2%
	214,700	US Bancorp		6,926,222
	698,800	Wells Fargo & Co.		23,067,388

		Total Banks		29,993,610


		Capital Goods — 2.2%
	151,800	3M Co.		13,806,210
	8,800	Alliant Techsystems, Inc.		528,000
	23,100	Exelis, Inc.		261,030
	68,400	Fastenal Co.		2,859,804
	72,400	General Dynamics Corp.		4,814,600
	23,650	ITT Corp.		529,050
	18,800	L-3 Communications Holdings, Inc.		1,444,780
	28,400	Navistar International Corp. ^*		579,644
	106,200	Raytheon Co.		6,067,206

		Total Capital Goods		30,890,324


		Commercial & Professional Services — 0.2%
	51,700	RR Donnelley & Sons Co.		485,980
	23,100	Stericycle, Inc. ^*		2,159,157

		Total Commercial & Professional Services		2,645,137


		Consumer Durables & Apparel — 0.9%
	57,700	Coach, Inc.		3,337,368
	86,040	Nike, Inc. – Class B		8,387,179
	8,800	Wolverine World Wide, Inc.		380,864

		Total Consumer Durables & Apparel		12,105,411


		Consumer Services — 1.8%
	8,800	Choice Hotels International, Inc.		286,000
	18,100	DeVry, Inc.		471,867
	4,600	ITT Educational Services, Inc. ^*		83,398
	228,700	McDonald’s Corp.		19,906,048
	82,900	Starbucks Corp.		4,300,023

		Total Consumer Services		25,047,336


		Diversified Financials — 4.1%
	2,330,859	Bank of America Corp.		22,982,270
	83,800	Capital One Financial Corp.		4,826,880
	352,300	Citigroup, Inc.		12,179,011
	73,100	Discover Financial Services		3,041,691
	279,800	JPMorgan Chase & Co.		11,494,184
	135,200	SLM Corp.		2,237,560

		Total Diversified Financials		56,761,596


		Energy — 5.6%
	66,890	Apache Corp.		5,156,550
	371,744	Chevron Corp.		39,289,623
	303,100	Exxon Mobil Corp.		26,715,234


Shares		Description	Value ($)
		Energy — continued
	56,500	Marathon Petroleum Corp.		3,364,010
	112,200	Marathon Oil Corp.		3,461,370

		Total Energy		77,986,787


		Food & Staples Retailing — 2.7%
	157,000	Sysco Corp.		4,969,050
	449,078	Wal – Mart Stores, Inc.		32,342,598

		Total Food & Staples Retailing		37,311,648


		Food, Beverage & Tobacco — 9.9%
	39,150	Brown-Forman Corp. – Class B		2,747,547
	939,500	Coca-Cola Co. (The)		35,625,840
	156,200	General Mills, Inc.		6,402,638
	44,000	Hershey Co. (The)		3,223,880
	53,800	Kellogg Co.		2,983,748
	35,660	Lorillard, Inc.		4,320,565
	34,400	McCormick & Co., Inc. (Non Voting)		2,220,864
	45,940	Monster Beverage Corp.^*		2,391,177
	349,575	PepsiCo, Inc.		24,543,661
	539,703	Philip Morris International, Inc.		48,508,506
	81,900	Reynolds American, Inc.		3,580,668

		Total Food, Beverage & Tobacco		136,549,094


		Health Care Equipment & Services — 6.9%
	66,700	Aetna, Inc.		2,880,773
	110,700	Baxter International, Inc.		7,336,089
	40,400	Becton, Dickinson and Co.		3,097,468
	2	Cardinal Health, Inc.		81
	23,580	Cerner Corp. ^*		1,820,848
	81,100	Covidien Plc		4,712,721
	11,770	CR Bard, Inc.		1,165,348
	17,340	Edwards Lifesciences Corp. ^*		1,504,592
	183,350	Express Scripts Holding Co. ^*		9,873,397
	23,400	HCA Holdings, Inc.		742,950
	12,700	Henry Schein, Inc. ^*		1,025,779
	10,990	Idexx Laboratories, Inc. ^*		1,027,235
	7,660	Intuitive Surgical, Inc. ^*		4,052,140
	78,100	Laboratory Corp. of America Holdings ^*		6,606,479
	10,100	Mednax, Inc. ^*		797,900
	277,700	Medtronic, Inc.		11,693,947
	57,500	Stryker Corp.		3,114,200
	54,200	St Jude Medical, Inc.		1,857,976
	429,674	UnitedHealth Group, Inc.		23,369,969
	15,900	Varian Medical Systems, Inc. ^*		1,099,644
	60,500	WellPoint, Inc.		3,381,950
	71,025	Zimmer Holdings, Inc.		4,685,519

		Total Health Care Equipment & Services		95,847,005


		Household & Personal Products — 5.1%
	40,200	Church & Dwight Co., Inc.		2,176,830
	34,473	Clorox Co.		2,632,014
	109,460	Colgate - Palmolive Co.		11,876,410
	60,260	Estee Lauder Cos., Inc. (The), – Class A		3,510,145
	71,500	Kimberly - Clark Corp.		6,128,980
	633,900	Procter & Gamble Co. (The)		44,265,237

		Total Household & Personal Products		70,589,616


Shares		Description	Value ($)
		Insurance — 2.5%
	103,200	AFLAC Inc.		5,468,568
	67,200	Allstate Corp. (The)		2,720,256
	247,600	American International Group, Inc. ^*		8,202,988
	65,000	Assurant, Inc.		2,223,650
	194,000	Genworth Financial, Inc. – Class A ^*		1,154,300
	113,000	Hartford Financial Services Group, Inc. (The)		2,393,340
	73,500	Lincoln National Corp.		1,815,450
	138,600	MetLife, Inc.		4,600,134
	17,700	Protective Life Corp.		480,555
	83,800	Prudential Financial, Inc.		4,367,656
	33,700	Torchmark Corp.		1,752,063

		Total Insurance		35,178,960


		Media — 0.3%
	85,600	Gannett Co., Inc.		1,532,240
	56,900	Lamar Advertising Co. – Class A ^*		2,234,463

		Total Media		3,766,703


		Pharmaceuticals, Biotechnology & Life Sciences — 20.1%
	556,400	Abbott Laboratories		36,166,000
	59,600	Allergan, Inc.		5,527,900
	153,000	Amgen, Inc.		13,586,400
	26,090	Biogen Idec, Inc. ^*		3,889,758
	338,200	Bristol–Myers Squibb Co.		11,035,466
	472,700	Eli Lilly & Co.		23,181,208
	56,900	Forest Laboratories, Inc. ^*		2,017,674
	971,800	Johnson & Johnson		67,763,614
	1,387,085	Merck & Co., Inc.		61,447,865
	2,140,936	Pfizer Inc		53,566,219
	12,700	Waters Corp. ^*		1,073,785

		Total Pharmaceuticals, Biotechnology & Life Sciences		279,255,889


		Real Estate — 0.3%
	120,900	American Capital Agency Corp. REIT		3,814,395
	64,700	ARMOUR Residential, Inc. REIT		452,900

		Total Real Estate		4,267,295


		Retailing — 4.2%
	53,500	AutoNation, Inc. ^*		2,083,290
	6,400	Buckle , Inc. (The)		327,360
	64,900	Dollar Tree, Inc. ^*		2,708,926
	17,900	GameStop Corp. – Class A		469,875
	113,500	Gap Inc. (The)		3,911,210
	37,400	Genuine Parts Co.		2,434,366
	22,200	Guess?, Inc.		574,314
	191,100	Home Depot, Inc.		12,434,877
	63,500	J.C. Penney Co., Inc. ^*		1,139,190
	175,300	Lowe’s Cos., Inc.		6,326,577
	9,800	Rent-A – Center, Inc.		340,648
	64,000	Ross Stores, Inc.		3,642,880
	62,460	Sears Holdings Corp. ^*		2,623,945
	103,000	Target Corp		6,502,390
	277,800	TJX Cos., Inc. (The)		12,317,652

		Total Retailing		57,837,500


Shares		Description	Value ($)
		Semiconductors & Semiconductor Equipment — 0.6%
	23,000	First Solar, Inc. ^*		620,770
	369,800	Intel Corp.		7,236,986

		Total Semiconductors & Semiconductor Equipment		7,857,756


		Software & Services — 15.7%
	173,800	Accenture Plc. – Class A		11,804,496
	94,500	Automatic Data Processing, Inc.		5,363,820
	52,900	BMC Software, Inc. ^*		2,166,784
	15,000	Booz Allen Hamilton Holding Corp.		210,150
	41,700	Citrix Systems, Inc. ^*		2,550,372
	60,720	Google, Inc. – Class A ^*		42,405,026
	231,870	International Business Machines Corp.		44,071,531
	71,300	Intuit, Inc.		4,271,583
	2,529,657	Microsoft Corp.		67,339,469
	1,092,115	Oracle Corp.		35,056,892
	89,400	Paychex, Inc.		2,909,076
	1	Symantec Corp. ^*		19

		Total Software & Services		218,149,218


		Technology Hardware & Equipment — 9.2%
	27,500	ADTRAN, Inc.		540,100
	90,680	Apple, Inc.		53,073,190
	1,045,280	Cisco Systems Inc		19,766,245
	432,506	Dell, Inc.		4,169,358
	31,200	Harris Corp.		1,470,456
	1,086,563	Hewlett-Packard Co.		14,114,453
	33,900	Lexmark International, Inc.		824,787
	343,000	Qualcomm, Inc.		21,821,660
	108,365	SanDisk Corp. ^*		4,237,072
	106,200	Seagate Technology Plc		2,665,620
	146,400	Western Digital Corp.		4,895,616

		Total Technology Hardware & Equipment		127,578,557


		Telecommunication Services — 3.7%
	1,216,000	AT&T, Inc.		41,502,080
	72,400	NII Holdings, Inc. ^*		367,068
	1,500	United States Cellular Corp. ^*		52,275
	206,600	Verizon Communications, Inc.		9,115,192

		Total Telecommunication Services		51,036,615


		Transportation — 0.2%
	44,700	CH Robinson Worldwide, Inc.		2,759,778
	38,300	US Airways Group, Inc. ^*		493,687

		Total Transportation		3,253,465


		Utilities — 0.2%
	35,300	Entergy Corp.		2,242,962


		TOTAL COMMON STOCKS (COST $1,247,082,216)		1,377,338,334

Shares

Description

Value ($)

MUTUAL FUNDS — 0.3%

Affiliated Issuers — 0.3%

143,320

GMO U.S. Treasury Fund

3,583,000

TOTAL MUTUAL FUNDS
(COST $3,583,000)

3,583,000

SHORT-TERM INVESTMENTS — 0.1%

Money Market Funds — 0.1%

1,536,243

State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(a)

1,536,243

TOTAL SHORT-TERM INVESTMENTS
(COST $1,536,243)

1,536,243

TOTAL INVESTMENTS — 99.8%
(Cost $1,252,201,459)

1,382,457,577

Other Assets and Liabilities (net) — 0.2%

3,076,241

TOTAL NET ASSETS — 100.0%

$1,385,533,818

A summary of outstanding financial instruments at November 30, 2012 is as follows:

As of November 30, 2012, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

The Fund makes investments in other GMO Trust funds ("underlying funds"). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund's Schedule of Investments.

A summary of the Fund's transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 96.2%

		Capital Goods — 0.9%
	693,900	3M Co.		63,110,205


		Consumer Durables & Apparel — 0.8%
	574,800	Nike, Inc. – Class B		56,031,504


		Consumer Services — 2.4%
	1,718,900	McDonald’s Corp.		149,613,056
	218,000	Yum! Brands, Inc.		14,623,440

		Total Consumer Services		164,236,496


		Energy — 7.4%
	9,425,252	BP Plc		65,432,853
	2,299,800	Chevron Corp.		243,065,862
	837,000	Exxon Mobil Corp.		73,773,180
	1,845,525	Royal Dutch Shell Plc-A Shares		61,790,867
	1,354,038	Total SA		67,858,428

		Total Energy		511,921,190


		Food & Staples Retailing — 4.1%
	125,200	Costco Wholesale Corp.		13,019,548
	165,600	CVS Caremark Corp.		7,702,056
	1,022,000	Sysco Corp.		32,346,300
	3,185,100	Wal–Mart Stores, Inc.		229,390,902

		Total Food & Staples Retailing		282,458,806


		Food, Beverage & Tobacco — 15.3%
	9,283,400	Coca-Cola Co. (The)		352,026,528
	1,040,400	Lorillard, Inc.		126,054,864
	1,026,075	Nestle SA (Registered)		67,164,434
	3,049,100	PepsiCo, Inc.		214,077,311
	3,316,100	Philip Morris International, Inc.		298,051,068

		Total Food, Beverage & Tobacco		1,057,374,205


		Health Care Equipment & Services — 7.2%
	113,800	Baxter International, Inc.		7,541,526
	3,881,000	Express Scripts Holding Co. ^*		208,991,850
	29,200	Henry Schein, Inc. ^*		2,358,484
	1,800	Intuitive Surgical, Inc. ^*		952,200
	557,400	Laboratory Corp. of America Holdings ^*		47,150,466
	1,614,000	Medtronic, Inc.		67,965,540
	626,800	Quest Diagnostics, Inc.		36,216,504
	911,100	UnitedHealth Group, Inc.		49,554,729
	1,169,600	Zimmer Holdings, Inc.		77,158,512

		Total Health Care Equipment & Services		497,889,811


		Household & Personal Products — 5.9%
	404,500	Church & Dwight Co., Inc.		21,903,675
	1,616,700	Colgate-Palmolive Co.		175,411,950
	2,982,800	Procter & Gamble Co. (The)		208,288,924

		Total Household & Personal Products		405,604,549


		Materials — 0.0%
	22,600	Praxair, Inc.		2,422,946


Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — 17.2%
	3,319,100	Abbott Laboratories		215,741,500
	250,900	Amgen, Inc.		22,279,920
	920,500	Bristol – Myers Squibb Co.		30,035,915
	111,800	Eli Lilly & Co.		5,482,672
	191,200	Gilead Sciences, Inc. ^*		14,340,000
	1,919,605	GlaxoSmithKline Plc		41,110,467
	5,234,000	Johnson & Johnson		364,966,820
	650,300	Merck & Co., Inc.		28,808,290
	894,841	Novartis AG (Registered)		55,450,911
	11,817,600	Pfizer, Inc.		295,676,352
	285,792	Roche Holding AG		56,299,637
	591,907	Sanofi		52,867,609

		Total Pharmaceuticals, Biotechnology & Life Sciences		1,183,060,093


		Retailing — 2.9%
	2,855,000	Target Corp.		180,236,150
	365,500	TJX Cos., Inc. (The)		16,206,270

		Total Retailing		196,442,420


		Software & Services — 20.6%
	464,500	Google, Inc. – Class A^*		324,392,865
	1,132,700	International Business Machines Corp.		215,292,289
	231,800	Mastercard, Inc. – Class A		113,276,024
	11,064,200	Microsoft Corp.		294,529,004
	11,853,600	Oracle Corp.		380,500,560
	587,100	Visa, Inc. – Class A		87,894,741

		Total Software & Services		1,415,885,483


		Technology Hardware & Equipment — 11.5%
	390,300	Apple, Inc.		228,434,784
	16,860,100	Cisco Systems, Inc.		318,824,491
	915,100	EMC Corp.^*		22,712,782
	11,841,300	Hewlett-Packard Co.		153,818,487
	1,104,600	Qualcomm, Inc.		70,274,652

		Total Technology Hardware & Equipment		794,065,196


		TOTAL COMMON STOCKS (COST $6,566,273,658)		6,630,502,904


		MUTUAL FUNDS — 1.1%

		Affiliated Issuers — 1.1%
	2,903,158	GMO U.S. Treasury Fund		72,578,959


		TOTAL MUTUAL FUNDS (COST $72,578,959)		72,578,959


		SHORT-TERM INVESTMENTS — 2.2%

		Money Market Funds — 1.2%
	81,004,372	State Street Institutional Treasury Money Market Fund – Institutional Class, 0.00% ^(a)		81,004,372

Par Value ($)

Description

Value ($)

U.S. Government — 1.0%

70,000,000

U.S. Treasury Bill, 0.12%, due

05/09/13^(b)

69,963,390

TOTAL SHORT-TERM INVESTMENTS

(COST $150,962,635)

150,967,762

TOTAL INVESTMENTS — 99.5%
(Cost $6,789,815,252)

6,854,049,625

Other Assets and Liabilities (net) — 0.5%

35,180,793

TOTAL NET ASSETS — 100.0%

$6,889,230,418

A summary of outstanding financial instruments at November 30, 2012 is as follows:


Country Summary*	% of Investments
United States		93.0	%
Switzerland		2.7
United Kingdom		2.5
France		1.8

		100.0	%

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 98.8%

		Capital Goods — 3.1%
	373	3M Co.		33,924
	70	BE Aerospace, Inc. ^*		3,315
	84	TransDigm Group, Inc.		11,426
	283	United Technologies Corp.		22,671
	121	WABCO Holdings, Inc. ^*		7,508

		Total Capital Goods		78,844


		Commercial & Professional Services — 0.2%
	43	Stericycle, Inc. ^*		4,019


		Consumer Durables & Apparel — 2.4%
	66	Carter’s, Inc. ^*		3,501
	70	Deckers Outdoor Corp. ^*		2,680
	202	Michael Kors Holdings Ltd ^*		10,736
	217	Nike, Inc. – Class B		21,153
	3	NVR, Inc. ^*		2,700
	126	Ralph Lauren Corp.		19,793
	14	VF Corp.		2,247

		Total Consumer Durables & Apparel		62,810


		Consumer Services — 2.8%
	425	H&R Block, Inc.		7,663
	580	McDonald’s Corp.		50,483
	147	Starbucks Corp.		7,625
	102	Wyndham Worldwide Corp.		5,007

		Total Consumer Services		70,778


		Energy — 1.6%
	17	EOG Resources, Inc.		1,999
	249	Kinder Morgan, Inc.		8,419
	140	Oceaneering International, Inc.		7,375
	97	Range Resources Corp.		6,210
	224	Schlumberger Ltd.		16,043

		Total Energy		40,046


		Food & Staples Retailing — 4.7%
	201	Costco Wholesale Corp.		20,902
	203	CVS Caremark Corp.		9,442
	130	Kroger Co. (The)		3,411
	505	Sysco Corp.		15,983
	841	Wal–Mart Stores, Inc.		60,569
	113	Whole Foods Market, Inc.		10,550

		Total Food & Staples Retailing		120,857


		Food, Beverage & Tobacco — 16.2%
	521	Altria Group, Inc.		17,615
	204	Brown-Forman Corp. – Class B		14,317
	313	Campbell Soup Co.		11,503
	1,981	Coca-Cola Co. (The)		75,119
	130	Dr Pepper Snapple Group, Inc.		5,830
	408	Flowers Foods, Inc.		9,604
	494	General Mills, Inc.		20,249
	215	Hershey Co. (The)		15,753
	221	HJ Heinz Co.		12,920


Shares		Description	Value ($)
		Food, Beverage & Tobacco — continued
	406	Hormel Foods Corp.		12,590
	260	Kellogg Co.		14,420
	172	Lorillard, Inc.		20,839
	235	McCormick & Co., Inc. (Non Voting)		15,172
	85	Mead Johnson Nutrition Co.		5,796
	347	Monster Beverage Corp. ^*		18,061
	836	PepsiCo, Inc.		58,696
	797	Philip Morris International, Inc.		71,634
	355	Reynolds American, Inc.		15,521

		Total Food, Beverage & Tobacco		415,639


		Health Care Equipment & Services — 1.7%
	52	AmerisourceBergen Corp.		2,195
	46	Cardinal Health, Inc.		1,861
	103	DaVita, Inc. ^*		11,124
	237	Express Scripts Holding Co. ^*		12,762
	262	HCA Holdings, Inc.		8,319
	183	Medtronic, Inc.		7,706

		Total Health Care Equipment & Services		43,967


		Household & Personal Products — 6.3%
	288	Church & Dwight Co., Inc.		15,595
	178	Clorox Co.		13,590
	280	Colgate–Palmolive Co.		30,380
	423	Estee Lauder Cos., Inc. (The), – Class A		24,640
	270	Herbalife Ltd.		12,412
	221	Kimberly–Clark Corp.		18,944
	240	Nu Skin Enterprises, Inc. – Class A		10,896
	502	Procter & Gamble Co. (The)		35,055

		Total Household & Personal Products		161,512


		Insurance — 0.1%
	102	Marsh & McLennan Cos., Inc.		3,592


		Materials — 1.7%
	36	Albemarle Corp.		2,153
	64	Eastman Chemical Co.		3,894
	40	Martin Marietta Materials, Inc.		3,600
	212	Monsanto Co.		19,417
	49	Sherwin-Williams Co. (The)		7,474
	126	W.R. Grace & Co. ^*		8,249

		Total Materials		44,787


		Media — 2.4%
	63	Comcast Corp. – Class A		2,342
	48	DIRECTV ^*		2,386
	609	Liberty Global, Inc. – Class A ^*		34,128
	216	News Corp. – Class A		5,322
	1,980	Sirius XM Radio, Inc. ^*		5,505
	244	Walt Disney Co. (The)		12,117

		Total Media		61,800


		Pharmaceuticals, Biotechnology & Life Sciences — 7.9%
	855	Abbott Laboratories		55,575
	240	Amgen, Inc.		21,312
	62	Biogen Idec, Inc. ^*		9,244
	720	Bristol–Myers Squibb Co.		23,494
	382	Eli Lilly & Co.		18,733


Shares		Description	Value ($)
		Pharmaceuticals, Biotechnology & Life Sciences — continued
	141	Endo Health Solutions, Inc. ^*		4,041
	220	Gilead Sciences, Inc. ^*		16,500
	720	Johnson & Johnson		50,206
	33	Onyx Pharmaceuticals, Inc. ^*		2,490

		Total Pharmaceuticals, Biotechnology & Life Sciences		201,595


		Retailing — 7.0%
	79	Amazon.com, Inc. ^*		19,912
	13	AutoZone, Inc. ^*		4,989
	217	Dollar General Corp. ^*		10,850
	130	Dollar Tree, Inc. ^*		5,426
	87	Family Dollar Stores, Inc.		6,194
	248	Gap Inc. (The)		8,546
	526	Home Depot, Inc.		34,227
	67	Netflix, Inc. ^*		5,475
	85	Priceline.com, Inc. ^*		56,369
	55	Ross Stores, Inc.		3,131
	47	Tractor Supply Co.		4,212
	381	TripAdvisor, Inc. ^*		14,550
	50	Ulta Salon Cosmetics & Fragrance, Inc.		5,014

		Total Retailing		178,895


		Semiconductors & Semiconductor Equipment — 1.8%
	261	Avago Technologies Ltd.		9,161
	1,384	Intel Corp.		27,085
	432	Skyworks Solutions, Inc. ^*		9,785

		Total Semiconductors & Semiconductor Equipment		46,031


		Software & Services — 23.0%
	237	Accenture Plc. – Class A		16,097
	262	Cognizant Technology Solutions Corp. – Class A ^*		17,614
	510	eBay, Inc. ^*		26,938
	62	Equinix, Inc. ^*		11,517
	106	Facebook, Inc.		2,968
	163	Genpact Ltd.		2,616
	187	Google, Inc. – Class A ^*		130,595
	461	International Business Machines Corp.		87,622
	113	LinkedIn Corp. ^*		12,220
	74	Mastercard, Inc. – Class A		36,162
	3,408	Microsoft Corp.		90,721
	2,186	Oracle Corp.		70,171
	47	SolarWinds, Inc. ^*		2,633
	54	Teradata Corp. ^*		3,212
	235	Verisign, Inc. ^*		8,021
	467	Visa, Inc. – Class A		69,915

		Total Software & Services		589,022


		Technology Hardware & Equipment — 13.7%
	420	Apple, Inc.		245,818
	832	EMC Corp. ^*		20,650
	206	NetApp, Inc. ^*		6,532
	1,227	Qualcomm, Inc.		78,062

		Total Technology Hardware & Equipment		351,062


		Telecommunication Services — 1.8%
	195	Crown Castle International Corp. ^*		13,167
	734	Verizon Communications, Inc.		32,384

		Total Telecommunication Services		45,551


Shares		Description	Value ($)
		Transportation — 0.4%
	291	Delta Air Lines, Inc.^*		2,910
	163	United Continental Holdings, Inc.^*		3,296
	52	United Parcel Service, Inc. – Class B		3,801

		Total Transportation		10,007


		TOTAL COMMON STOCKS (COST $2,106,618)		2,530,814


		MUTUAL FUNDS — 1.6%

		Affiliated Issuers — 1.6%
	1,639	GMO U.S. Treasury Fund		40,973


		TOTAL MUTUAL FUNDS (COST $40,973)		40,973


		SHORT-TERM INVESTMENTS — 1.3%

		Money Market Funds — 1.3%
	32,833	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%^(a)		32,833


		TOTAL SHORT-TERM INVESTMENTS (COST $32,833)		32,833


		TOTAL INVESTMENTS — 101.7% (Cost $2,180,424)		2,604,620
		Other Assets and Liabilities (net) — (1.7%)		(44,111	)


		TOTAL NET ASSETS — 100.0%		$2,560,509

Notes to Schedule of Investments:

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		Common Stocks — 98.7%

		Automobiles & Components — 0.4%
	1,500	General Motors Co.^*		38,820


		Banks — 5.5%
	668	BB&T Corp.		18,818
	1,401	Fifth Third Bancorp		20,511
	1,550	Huntington Bancshares, Inc.		9,532
	1,700	KeyCorp.		13,736
	900	PNC Financial Services Group, Inc.		50,526
	2,089	Regions Financial Corp.		13,934
	894	SunTrust Banks, Inc.		24,272
	1,101	US Bancorp		35,518
	10,693	Wells Fargo & Co.		352,976

		Total Banks		539,823


		Capital Goods — 4.2%
	730	3M Co.		66,393
	7,320	General Electric Co.		154,672
	527	General Dynamics Corp.		35,046
	327	Ingersoll – Rand Plc		15,951
	185	L-3 Communications Holdings, Inc.		14,217
	530	Lockheed Martin Corp.		49,449
	500	Northrop Grumman Corp.		33,350
	838	Raytheon Co.		47,875

		Total Capital Goods		416,953


		Consumer Durables & Apparel — 0.8%
	172	Jarden Corp.		9,100
	425	Newell Rubbermaid, Inc.		9,269
	396	Nike, Inc. – Class B		38,602
	100	PVH Corp.		11,459
	121	Whirlpool Corp.		12,323

		Total Consumer Durables & Apparel		80,753


		Consumer Services — 0.7%
	823	McDonald’s Corp.		71,634


		Diversified Financials — 7.5%
	351	Ameriprise Financial, Inc.		21,295
	25,161	Bank of America Corp.		248,087
	1,973	Bank of New York Mellon Corp. (The)		47,234
	504	Capital One Financial Corp.		29,030
	617	Discover Financial Services		25,673
	8,944	JPMorgan Chase & Co.		367,420

		Total Diversified Financials		738,739


		Energy — 4.6%
	1,340	Chevron Corp.		141,624
	1,451	ConocoPhillips		82,620
	1,962	Exxon Mobil Corp.		172,931
	670	Marathon Petroleum Corp.		39,892
	700	Valero Energy Corp.		22,582

		Total Energy		459,649


Shares		Description	Value ($)
		Food & Staples Retailing — 6.6%
	1,799	CVS Caremark Corp.		83,672
	655	Kroger Co. (The)		17,187
	600	Sysco Corp.		18,990
	1,500	Walgreen Co.		50,865
	6,644	Wal–Mart Stores, Inc.		478,501

		Total Food & Staples Retailing		649,215


		Food, Beverage & Tobacco — 6.5%
	1,110	Altria Group, Inc.		37,529
	540	Archer-Daniels-Midland Co.		14,418
	160	Bunge Ltd.		11,706
	3,766	Coca-Cola Co. (The)		142,807
	554	General Mills, Inc.		22,708
	185	Hershey Co. (The)		13,555
	300	Kellogg Co.		16,638
	147	Lorillard, Inc.		17,810
	2,683	PepsiCo, Inc.		188,373
	1,792	Philip Morris International, Inc.		161,065
	469	Reynolds American, Inc.		20,505

		Total Food, Beverage & Tobacco		647,114


		Health Care Equipment & Services —6.2%
	443	Aetna, Inc.		19,133
	300	AmerisourceBergen Corp.		12,666
	800	Baxter International, Inc.		53,016
	315	Becton, Dickinson and Co.		24,151
	1,800	Boston Scientific Corp.^*		9,972
	400	Covidien Plc		23,244
	100	CR Bard, Inc.		9,901
	381	Express Scripts Holding Co.^*		20,517
	562	HCA Holdings, Inc.		17,843
	332	McKesson Corp.		31,364
	2,973	Medtronic, Inc.		125,193
	265	Quest Diagnostics, Inc.		15,312
	548	Stryker Corp.		29,680
	500	St Jude Medical, Inc.		17,140
	2,597	UnitedHealth Group, Inc.		141,251
	451	WellPoint, Inc.		25,211
	517	Zimmer Holdings, Inc.		34,106

		Total Health Care Equipment & Services		609,700


		Household & Personal Products — 3.6%
	600	Avon Products, Inc.		8,370
	157	Clorox Co.		11,987
	412	Colgate–Palmolive Co.		44,702
	274	Estee Lauder Cos., Inc. (The) – Class A		15,961
	854	Kimberly–Clark Corp.		73,205
	2,922	Procter & Gamble Co. (The)		204,043

		Total Household & Personal Products		358,268


		Insurance — 2.4%
	82	Allied World Assurance Co Holdings Ltd.		6,656
	862	Allstate Corp. (The)		34,894
	1,451	American International Group, Inc.^*		48,072
	600	Hartford Financial Services Group, Inc. (The)		12,708
	659	Lincoln National Corp.		16,277
	869	MetLife, Inc.		28,842


Shares		Description	Value ($)
		Insurance — continued
	528	Prudential Financial, Inc.		27,519
	200	Torchmark Corp.		10,398
	800	Travelers Cos., Inc. (The)		56,656

		Total Insurance		242,022


		Materials — 0.6%
	76	CF Industries Holdings Inc.		16,266
	156	PPG Industries, Inc.		19,386
	102	Reliance Steel & Aluminum Co.		5,753
	106	Sherwin-Williams Co. (The)		16,167

		Total Materials		57,572


		Media — 1.0%
	500	Gannett Co., Inc.		8,950
	1,565	Time Warner, Inc.		74,025
	346	Viacom, Inc. – Class B		17,857

		Total Media		100,832


		Pharmaceuticals, Biotechnology & Life Sciences — 21.5%
	4,283	Abbott Laboratories		278,395
	252	Allergan, Inc.		23,373
	2,491	Amgen, Inc.		221,201
	2,199	Bristol–Myers Squibb Co.		71,753
	3,862	Eli Lilly & Co.		189,393
	644	Forest Laboratories, Inc.^*		22,836
	1,717	Gilead Sciences, Inc.^*		128,775
	4,126	Johnson & Johnson		287,706
	9,800	Merck & Co., Inc.		434,140
	18,377	Pfizer, Inc.		459,793
	268	Thermo Fisher Scientific, Inc.		17,031

		Total Pharmaceuticals, Biotechnology & Life Sciences		2,134,396


		Real Estate — 0.4%
	700	American Capital Agency Corp. REIT		22,085
	1,100	Annaly Capital Management, Inc. REIT		16,192

		Total Real Estate		38,277


		Retailing — 3.9%
	170	Advance Auto Parts, Inc.		12,436
	161	Expedia, Inc.		9,959
	1,000	Gap Inc. (The)		34,460
	1,464	Home Depot, Inc.		95,263
	219	Kohl’s Corp.		9,778
	2,100	Lowe’s Cos., Inc.		75,789
	520	Macy’s, Inc.		20,124
	223	Ross Stores, Inc.		12,693
	117	Sears Holdings Corp.^*		4,915
	788	Staples, Inc.		9,220
	900	Target Corp.		56,817
	1,053	TJX Cos., Inc. (The)		46,690

		Total Retailing		388,144


		Semiconductors & Semiconductor Equipment — 0.5%
	2,271	Intel Corp.		44,443


		Software & Services — 13.1%
	953	Accenture Plc. – Class A		64,728
	400	Adobe Systems, Inc.^*		13,844


Shares		Description	Value ($)
		Software & Services — continued
	300	Amdocs Ltd.		10,038
	300	Automatic Data Processing, Inc.		17,028
	369	BMC Software, Inc.^*		15,114
	964	CA, Inc.		21,362
	576	eBay, Inc.^*		30,425
	603	Fidelity National Information Services, Inc.		21,768
	130	Fiserv, Inc.^*		10,009
	260	Google, Inc. – Class A^*		181,576
	1,245	International Business Machines Corp.		236,637
	254	Intuit, Inc.		15,217
	17,219	Microsoft Corp.		458,370
	5,562	Oracle Corp.		178,540
	1,000	Symantec Corp.^*		18,760

		Total Software & Services		1,293,416


		Technology Hardware & Equipment — 5.0%
	225	Apple, Inc.		131,688
	8,681	Cisco Systems, Inc.		164,158
	2,200	Dell, Inc.		21,208
	269	Harris Corp.		12,678
	2,702	Hewlett-Packard Co.		35,099
	1,300	Qualcomm, Inc.		82,706
	743	Seagate Technology Plc		18,649
	600	Western Digital Corp.		20,064
	1,600	Xerox Corp.		10,896

		Total Technology Hardware & Equipment		497,146


		Telecommunication Services — 3.6%
	7,065	AT&T, Inc.		241,129
	800	Centurylink, Inc.		31,072
	2,595	Sprint Nextel Corp.^*		14,869
	1,619	Verizon Communications, Inc.		71,430

		Total Telecommunication Services		358,500


		Transportation — 0.1%
	500	United Continental Holdings, Inc.^*		10,110

		TOTAL COMMON STOCKS (COST $8,646,470)		9,775,526


		MUTUAL FUNDS — 0.9%

		Affiliated Issuers — 0.9%
	3,360	GMO U.S. Treasury Fund		83,995


		TOTAL MUTUAL FUNDS (COST $83,995)		83,995


		RIGHTS/WARRANTS — 0.0%

		Insurance — 0.0%
	160	American International Group, Inc., Warrants, Strike 45.00 ^*		2,224


		Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
	400	Sanofi Aventis, Rights, Expires 12/31/20 ^*		692


		TOTAL RIGHTS/WARRANTS (COST $3,658)		2,916

Shares

Description

Value ($)

SHORT-TERM INVESTMENTS — 0.6%

Money Market Funds — 0.6%

63,251

State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(a)

63,251

TOTAL SHORT-TERM INVESTMENTS (COST $63,251)

63,251

TOTAL INVESTMENTS — 100.2%

(Cost $8,797,374)

9,925,688

Other Assets and Liabilities (net) — (0.2%)

(18,854

)

TOTAL NET ASSETS — 100.0%

$9,906,834

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 98.8%

		Automobiles & Components — 1.3%
	621	American Axle & Manufacturing Holdings, Inc.^*		6,496
	589	Cooper Tire & Rubber Co.		14,713
	510	Dana Holding Corp		7,232
	600	Federal-Mogul Corp. ^*		4,716
	653	Goodyear Tire & Rubber Co. ^*		8,228
	535	Lear Corp.		23,363
	200	Tenneco, Inc. ^*		6,414
	700	Thor Industries, Inc.		26,418
	350	TRW Automotive Holdings Corp. ^*		17,724

		Total Automobiles & Components		115,304


		Banks — 6.8%
	300	1st Source Corp.		6,345
	892	Associated Banc Corp.		11,462
	1,358	Astoria Financial Corp.		12,670
	100	Bancfirst Corp.		4,235
	600	Banco Latinoamericano de Comercio Exterior SA		12,960
	997	Bancorpsouth, Inc.		13,190
	267	Bank of Hawaii Corp.		11,606
	319	BOK Financial Corp.		17,558
	331	Cathay General Bancorp		5,925
	310	Chemical Financial Corp.		6,749
	264	City National Corp.		12,854
	332	Community Bank System, Inc.		8,924
	200	Community Trust Bancorp		6,548
	231	Cullen/Frost Bankers, Inc.		12,615
	910	CVB Financial Corp.		9,246
	400	Dime Community Bancshares		5,580
	654	East West Bancorp, Inc.		13,832
	78	Federal Agricultural Mortgage Corp. – Class C		2,627
	60	First Citizens BancShares, Inc. – Class A		9,900
	1,000	First Commonwealth Financial Corp.		6,410
	1,415	First Horizon National Corp.		13,386
	179	First Interstate Bancsystem, Inc.		2,735
	500	First Merchants Corp.		6,790
	470	First Midwest Bancorp, Inc.		5,875
	1,975	First Niagara Financial Group, Inc.		14,891
	796	FirstMerit Corp.		11,208
	408	Flagstar Bancorp, Inc. ^*		7,450
	400	Flushing Financial Corp.		5,984
	699	FNB Corp.		7,549
	1,131	Fulton Financial Corp.		11,005
	200	Great Southern Bancorp, Inc.		5,040
	300	Heartland Financial USA, Inc.		7,851
	5,500	Hudson City Bancorp, Inc.		44,330
	10,276	Huntington Bancshares, Inc.		63,197
	200	Independent Bank Corp.		5,740
	1,023	International Bancshares Corp.		18,516
	299	NBT Bancorp, Inc.		5,911
	900	Old National Bancorp		10,566
	194	PacWest Bancorp		4,833
	587	Popular Inc ^*		11,605
	185	Prosperity Bancshares, Inc.		7,609
	510	Provident Financial Services, Inc.		7,390
	300	Republic Bancorp, Inc. – Class A		6,141


Shares		Description	Value ($)
		Banks — continued
	1,442	Susquehanna Bancshares, Inc.		14,824
	884	TCF Financial Corp.		10,502
	607	Trustmark Corp.		13,488
	452	UMB Financial Corp.		19,156
	400	Union First Market Bankshares Corp.		6,116
	251	United Bankshares, Inc.		6,200
	641	Valley National Bancorp		6,115
	872	Washington Federal, Inc.		14,013
	634	Webster Financial Corp.		13,200
	300	WesBanco, Inc.		6,333
	749	Zions Bancorporation		15,032

		Total Banks		601,817


		Capital Goods — 8.0%
	110	A.O. Smith Corp.		6,925
	331	AAR Corp.		5,084
	417	Actuant Corp. – Class A		11,997
	116	Acuity Brands, Inc.		7,673
	588	Aecom Technology Corp. ^*		13,283
	221	AGCO Corp.^*		10,199
	900	Aircastle Ltd.		10,233
	400	Alliant Techsystems, Inc.		24,000
	451	Applied Industrial Technologies, Inc.		18,054
	146	AZZ, Inc.		5,566
	200	Barnes Group, Inc.		4,218
	365	Beacon Roofing Supply, Inc. ^*		11,257
	236	Belden, Inc.		8,892
	299	Brady Corp. – Class A		9,550
	621	Briggs & Stratton Corp.		12,600
	152	Carlisle Cos., Inc.		8,614
	100	Cascade Corp.		6,497
	225	Crane Co.		9,549
	309	Curtiss-Wright Corp.		9,805
	156	DXP Enterprises, Inc. ^*		7,533
	457	EMCOR Group, Inc.		15,012
	610	EnerSys ^*		21,252
	210	ESCO Technologies, Inc.		7,707
	100	Esterline Technologies Corp. ^*		6,114
	1,698	Exelis, Inc.		19,187
	142	GATX Corp.		5,982
	381	General Cable Corp. ^*		10,939
	200	Granite Construction, Inc.		6,120
	300	Harsco Corp.		6,045
	385	Hubbell, Inc. – Class B		32,436
	783	Huntington Ingalls Industries, Inc.		31,986
	130	Hyster – Yale Materials Handling, Inc.		5,392
	591	ITT Corp.		13,221
	215	Kennametal, Inc.		8,196
	408	Lennox International, Inc.		21,457
	599	Manitowoc Co., Inc. (The)		8,985
	263	MasTec, Inc. ^*		6,007
	255	Moog, Inc. – Class A ^*		9,374
	100	Mueller Industries, Inc.		4,776
	1,025	Mueller Water Products, Inc. – Class A		5,720
	583	Navistar International Corp. ^*		11,899
	56	Nortek, Inc. ^*		3,656
	1,150	Oshkosh Corp. ^*		33,753
	219	Regal-Beloit Corp.		15,275
	9	Seaboard Corp. ^*		21,243


Shares		Description	Value ($)
		Capital Goods — continued
	286	Snap-On, Inc.		22,720
	400	Spirit Aerosystems Holdings, Inc. – Class A^*		6,300
	134	Standex International Corp.		6,601
	352	Textainer Group Holdings Ltd.		10,623
	284	Timken Co. (The)		12,794
	407	Toro Co. (The)		18,258
	207	Trinity Industries, Inc.		6,576
	610	Tutor Perini Corp. ^*		7,845
	153	Universal Forest Products, Inc.		5,762
	584	URS Corp.		22,005
	110	Valmont Industries, Inc.		15,363
	200	Watts Water Technologies, Inc. – Class A		8,178
	399	WESCO International, Inc. ^*		25,795

		Total Capital Goods		702,083


		Commercial & Professional Services — 5.7%
	710	ABM Industries, Inc.		13,547
	1,067	ACCO Brands Corp. ^*		7,192
	1,374	Avery Dennison Corp.		45,960
	300	Brink’s Co. (The)		8,238
	300	CDI Corp.		4,956
	951	Cintas Corp.		39,409
	612	Corrections Corp. of America		20,747
	853	Deluxe Corp.		24,566
	568	Dun & Bradstreet Corp.		44,974
	239	Encore Capital Group, Inc. ^*		6,353
	1,119	Equifax, Inc.		57,337
	337	FTI Consulting, Inc. ^*		10,417
	210	G&K Services, Inc. – Class A		7,119
	277	Geo Group, Inc. (The)		7,811
	400	HNI Corp.		11,912
	128	Insperity, Inc.		3,866
	510	Kelly Services, Inc. – Class A		6,967
	699	Kimball International, Inc. – Class B		8,723
	1,208	Manpower, Inc.		46,435
	242	Mine Safety Appliances Co.		9,361
	2,021	Pitney Bowes, Inc.		22,615
	510	Quad Graphics, Inc.		8,262
	1,810	RR Donnelley & Sons Co.		17,014
	1,831	Steelcase, Inc. – Class A		21,313
	521	Sykes Enterprises, Inc. ^*		7,638
	221	Tetra Tech, Inc. ^*		5,693
	227	Towers Watson & Co. – Class A		12,004
	100	UniFirst Corp.		7,057
	510	United Stationers, Inc.		15,652

		Total Commercial & Professional Services		503,138


		Consumer Durables & Apparel — 4.0%
	600	American Greetings Corp. – Class A		10,344
	347	Carter’s, Inc. ^*		18,405
	461	Fifth & Pacific Co., Inc. ^*		5,555
	310	G-III Apparel Group Ltd. ^*		11,795
	373	Hanesbrands, Inc. ^*		13,465
	1,272	Hasbro, Inc.		48,921
	333	Helen of Troy Ltd. ^*		10,276
	281	Iconix Brand Group, Inc. ^*		5,665
	400	Jakks Pacific, Inc.		4,992
	1,153	Jarden Corp.		61,005
	1,309	Jones Group, Inc. (The)		15,394


Shares		Description	Value ($)
		Consumer Durables & Apparel — continued
	400	La-Z-Boy, Inc. ^*		5,968
	234	Mohawk Industries, Inc. ^*		20,122
	207	Movado Group, Inc.		7,181
	157	NACCO Industries, Inc. – Class A		8,371
	300	Perry Ellis International, Inc. ^*		6,504
	529	PVH Corp.		60,618
	399	Skechers U.S.A., Inc. ^*		7,765
	241	Tupperware Brands Corp.		15,629
	259	Warnaco Group, Inc. (The) ^*		18,620

		Total Consumer Durables & Apparel		356,595


		Consumer Services — 3.4%
	500	Ameristar Casinos, Inc.		9,950
	915	Apollo Group, Inc. – Class A ^*		17,559
	253	Bally Technologies, Inc. ^*		11,420
	400	Bob Evans Farms, Inc.		15,076
	1,442	Boyd Gaming Corp. ^*		7,931
	800	Bridgepoint Education, Inc. ^*		7,792
	767	Brinker International, Inc.		22,972
	210	Capella Education Co. ^*		5,811
	200	CEC Entertainment, Inc.		6,260
	169	Choice Hotels International, Inc.		5,492
	254	Coinstar, Inc. ^*		11,948
	400	Cracker Barrel Old Country Store, Inc.		24,580
	610	DeVry, Inc.		15,903
	162	DineEquity, Inc. ^*		10,214
	2,627	H&R Block, Inc.		47,365
	528	Hillenbrand, Inc.		11,172
	300	ITT Educational Services, Inc. ^*		5,439
	200	Jack in the Box, Inc. ^*		5,510
	136	Marriott Vacations Worldwide Corp. ^*		5,414
	200	Matthews International Corp. – Class A		6,050
	159	Papa John’s International, Inc. ^*		8,416
	917	Regis Corp.		15,103
	552	Service Corp. International		7,689
	600	Speedway Motorsports, Inc.		9,732
	135	Strayer Education, Inc.		7,065

		Total Consumer Services		301,863


		Diversified Financials — 2.6%
	1,515	American Capital Ltd. ^*		18,150
	717	Apollo Investment Corp.		5,822
	1,131	BGC Partners, Inc. – Class A		4,071
	600	BlackRock Kelso Capital Corp.		6,060
	232	Cash America International, Inc.		8,640
	100	Credit Acceptance Corp. ^*		9,226
	776	Federated Investors Inc. – Class B		15,403
	621	Interactive Brokers Group, Inc. – Class A		9,495
	2,302	Janus Capital Group, Inc.		18,876
	833	Jefferies Group, Inc.		14,128
	1,307	NASDAQ OMX Group, Inc. (The)		31,669
	818	Nelnet, Inc. – Class A		23,387
	1,018	PHH Corp. ^*		22,304
	205	Piper Jaffray Cos., Inc. ^*		5,816
	592	SEI Investments Co.		13,030
	221	Solar Capital Ltd.		5,061
	210	Stifel Financial Corp. ^*		6,388
	115	World Acceptance Corp. ^*		8,396

		Total Diversified Financials		225,922


Shares		Description	Value ($)
		Energy — 4.2%
	610	Alon USA Energy, Inc.		8,674
	994	Alpha Natural Resources, Inc. ^*		7,435
	799	Arch Coal, Inc.		5,369
	162	Bristow Group, Inc.		8,440
	390	C&J Energy Services, Inc. ^*		7,788
	269	Cloud Peak Energy, Inc. ^*		5,103
	346	CVR Energy, Inc. ^*		15,826
	956	Delek US Holdings, Inc.		25,114
	539	Exterran Holdings, Inc. ^*		11,249
	410	Helix Energy Solutions Group, Inc. ^*		7,179
	1,823	HollyFrontier Corp.		82,637
	1,037	Nabors Industries Ltd. ^*		15,244
	153	SEACOR Holdings, Inc. ^*		13,862
	711	Ship Finance International Ltd.		11,511
	1,474	Tesoro Corp.		62,321
	284	W&T Offshore, Inc.		4,706
	1,561	Western Refining, Inc.		45,347
	781	World Fuel Services Corp.		30,420

		Total Energy		368,225


		Food & Staples Retailing — 1.0%
	200	Andersons, Inc. (The)		8,436
	252	Harris Teeter Supermarkets, Inc.		9,573
	410	Ingles Markets, Inc. – Class A		6,679
	400	Pantry, Inc.^*		5,136
	1,210	Safeway, Inc.		20,703
	2,765	Supervalu, Inc.		6,581
	199	Susser Holdings Corp. ^*		7,265
	128	United Natural Foods, Inc. ^*		6,627
	200	Village Super Market, Inc.		7,532
	362	Weis Markets, Inc.		14,158

		Total Food & Staples Retailing		92,690


		Food, Beverage & Tobacco — 2.6%
	160	Cal-Maine Foods, Inc.		7,355
	124	Coca-Cola Bottling Co.		8,511
	1,917	Constellation Brands, Inc. – Class A ^*		68,782
	2,614	Dean Foods Co. ^*		44,804
	1,210	Dole Food Co., Inc. ^*		13,891
	668	Fresh Del Monte Produce, Inc.		17,335
	281	Ingredion, Inc.		18,251
	1,100	Pilgrim’s Pride Corp. ^*		7,854
	943	Smithfield Foods, Inc. ^*		21,095
	422	Universal Corp.		21,058

		Total Food, Beverage & Tobacco		228,936


		Health Care Equipment & Services — 5.2%
	612	Alere, Inc. ^*		11,322
	500	Amedisys, Inc. ^*		5,235
	152	AMERIGROUP Corp. ^*		13,957
	172	Chemed Corp.		11,710
	1,477	Community Health Systems, Inc. ^*		43,513
	400	Conmed Corp.		11,052
	1,700	Coventry Health Care, Inc.		74,256
	614	Gentiva Health Services, Inc. ^*		6,324
	923	Health Management Associates, Inc. – Class A ^*		7,338
	948	Health Net, Inc.^*		22,325


Shares		Description	Value ($)
		Health Care Equipment & Services — continued
	500	Hill-Rom Holdings, Inc.		13,980
	354	Integra LifeSciences Holdings Corp. ^*		13,721
	310	Invacare Corp.		4,380
	610	Kindred Healthcare, Inc. ^*		6,619
	300	LHC Group, Inc. ^*		5,813
	445	LifePoint Hospitals, Inc. ^*		16,011
	231	Magellan Health Services, Inc. ^*		11,984
	560	Molina Healthcare, Inc. ^*		15,590
	871	Omnicare, Inc.		31,565
	700	Owens & Minor, Inc.		19,166
	453	Patterson Cos., Inc.		15,447
	400	PharMerica Corp. ^*		5,776
	300	PSS World Medical, Inc. ^*		8,532
	931	Select Medical Holdings Corp. ^*		10,278
	321	Skilled Healthcare Group, Inc. – Class A ^*		2,151
	323	STERIS Corp.		11,037
	165	Teleflex, Inc.		11,418
	258	Tenet Healthcare Corp. ^*		7,472
	400	Triple-S Management Corp. – Class B ^*		6,980
	500	Universal American Corp.		4,145
	209	Universal Health Services, Inc. – Class B		9,420
	268	WellCare Health Plans, Inc. ^*		12,936
	143	West Pharmaceutical Services, Inc.		7,726

		Total Health Care Equipment & Services		459,179


		Household & Personal Products — 1.3%
	1,000	Central Garden & Pet Co. – Class A ^*		11,730
	360	Energizer Holdings, Inc.		28,714
	900	Harbinger Group, Inc. ^*		7,695
	201	Herbalife Ltd.		9,240
	182	Nu Skin Enterprises, Inc. – Class A		8,263
	400	Prestige Brands Holdings, Inc. ^*		8,640
	600	Revlon, Inc. – Class A ^*		8,952
	386	Spectrum Brands Holdings, Inc.		18,462
	254	USANA Health Sciences, Inc. ^*		10,485

		Total Household & Personal Products		112,181


		Insurance — 12.1%
	539	Allied World Assurance Co Holdings Ltd.		43,751
	514	Alterra Capital Holdings Ltd.		12,028
	1,062	American Equity Investment Life Holding Co.		12,245
	984	American Financial Group, Inc.		39,016
	300	American National Insurance Co.		20,697
	461	AmTrust Financial Services, Inc.		13,286
	251	Arch Capital Group Ltd. ^*		11,320
	200	Argo Group International Holdings Ltd.		6,638
	526	Aspen Insurance Holdings Ltd.		16,464
	1,066	Assurant, Inc.		36,468
	2,214	Assured Guaranty Ltd.		30,885
	1,279	Axis Capital Holdings Ltd.		46,006
	4,084	CNO Financial Group, Inc.		37,164
	510	Endurance Specialty Holdings Ltd.		20,502
	77	Enstar Group Ltd. ^*		7,886
	403	Everest Re Group Ltd.		43,713
	200	FBL Financial Group, Inc. – Class A		6,648
	1,495	Fidelity National Financial, Inc. – Class A		36,194
	1,420	First American Financial Corp.		33,796
	5,856	Genworth Financial, Inc. – Class A ^*		34,843
	554	Hanover Insurance Group, Inc. (The)		20,249


Shares		Description	Value ($)
		Insurance — continued
	1,110	HCC Insurance Holdings, Inc.		40,937
	700	Horace Mann Educators Corp.		13,384
	200	Kansas City Life Insurance Co.		7,666
	723	Kemper Corp.		21,408
	1,021	Maiden Holdings Ltd.		9,169
	1,014	MBIA, Inc. ^*		9,065
	146	Mercury General Corp.		6,076
	299	Montpelier Re Holdings Ltd.		6,545
	400	National Financial Partners Corp. ^*		6,644
	522	PartnerRe Ltd.		43,263
	871	Primerica, Inc.		24,937
	243	ProAssurance Corp.		22,035
	1,537	Protective Life Corp.		41,729
	1,055	Reinsurance Group of America, Inc.		54,016
	107	RenaissanceRe Holdings Ltd.		8,855
	548	Selective Insurance Group, Inc.		10,237
	810	StanCorp Financial Group, Inc.		27,548
	299	Stewart Information Services Corp.		8,163
	2,136	Symetra Financial Corp.		26,123
	1,584	Torchmark Corp.		82,352
	500	Tower Group, Inc.		8,450
	536	Unum Group		10,929
	1,029	Validus Holdings Ltd.		36,488
	240	W.R. Berkley Corp.		9,540

		Total Insurance		1,065,358


		Materials — 5.8%
	510	A Schulman, Inc.		13,352
	100	AEP Industries, Inc. ^*		6,050
	384	Ashland, Inc.		27,233
	443	Ball Corp.		19,798
	553	Bemis Co., Inc.		18,581
	1,021	Boise, Inc.		8,372
	414	Cabot Corp.		15,620
	1,614	Commercial Metals Co.		21,870
	239	Cytec Industries, Inc.		16,405
	286	Domtar Corp.		22,911
	200	Georgia Gulf Corp.		9,172
	1,256	Graphic Packaging Holding Co. ^*		8,151
	135	Greif, Inc. – Class A		5,539
	497	HB Fuller Co.		16,326
	2,530	Huntsman Corp.		41,593
	200	Kraton Performance Polymers, Inc. ^*		4,698
	293	Metals USA Holdings Corp.		4,583
	74	Minerals Technologies, Inc.		5,476
	237	Olin Corp.		4,913
	310	OM Group, Inc. ^*		6,191
	750	Owens-Illinois, Inc. ^*		15,022
	310	PH Glatfelter Co.		5,267
	510	PolyOne Corp.		10,271
	747	Reliance Steel & Aluminum Co.		42,131
	1,062	RPM International, Inc.		30,809
	235	Schnitzer Steel Industries, Inc. – Class A		6,625
	1,329	Sealed Air Corp.		22,354
	220	Sonoco Products Co.		6,615
	1,015	Steel Dynamics, Inc.		13,114
	67	Stepan Co.		6,697
	200	TPC Group, Inc.^*		9,606
	785	Valspar Corp.		49,282


Shares		Description	Value ($)
		Materials — continued
	600	Worthington Industries, Inc.		14,136

		Total Materials		508,763


		Media — 2.8%
	1,277	Belo Corp. – Class A		9,194
	839	Cablevision Systems Corp. – Class A		11,612
	3,803	Gannett Co., Inc.		68,074
	226	John Wiley and Sons, Inc. – Class A		9,650
	430	LIN TV Corp. – Class A ^*		2,786
	381	Lions Gate Entertainment Corp. ^*		6,241
	1,031	Live Nation Entertainment, Inc. ^*		9,052
	700	Meredith Corp.		21,826
	1,497	New York Times Co. (The) – Class A ^*		12,141
	699	Regal Entertainment Group – Class A		10,890
	610	Scholastic Corp.		17,117
	1,300	Sinclair Broadcast Group, Inc.		14,339
	703	Valassis Communications, Inc. ^*		18,264
	97	Washington Post Co. (The) – Class B		35,605

		Total Media		246,791


		Pharmaceuticals, Biotechnology & Life Sciences — 2.2%
	501	Charles River Laboratories International, Inc. ^*		19,223
	1,518	Endo Health Solutions, Inc. ^*		43,506
	1,042	Hospira, Inc. ^*		31,052
	2,400	PDL BioPharma, Inc.		18,960
	1,408	PerkinElmer, Inc.		44,563
	376	Viropharma, Inc. ^*		9,321
	2,127	Warner Chilcott Plc. – Class A		24,801

		Total Pharmaceuticals, Biotechnology & Life Sciences		191,426


		Real Estate — 3.9%
	508	American Capital Mortgage Investment Corp. REIT		12,974
	2,000	Anworth Mortgage Asset Corp. REIT		11,800
	300	Apollo Residential Mortgage, Inc. REIT		6,507
	1,654	ARMOUR Residential, Inc. REIT		11,578
	450	Ashford Hospitality Trust, Inc. REIT		4,073
	1,269	Brandywine Realty Trust REIT		15,139
	1,410	Capstead Mortgage Corp. REIT		17,117
	12,118	Chimera Investment Corp. REIT		33,203
	685	CommonWealth REIT		10,364
	721	CreXus Investment Corp. REIT		9,005
	1,300	CYS Investments, Inc. REIT		16,627
	1,220	Hatteras Financial Corp. REIT		32,525
	1,227	Hospitality Properties Trust REIT		27,853
	1,582	Invesco Mortgage Capital, Inc. REIT		33,491
	2,931	MFA Financial, Inc. REIT		24,650
	2,531	Newcastle Investment Corp. REIT		21,235
	2,000	NorthStar Realty Finance Corp. REIT		13,460
	513	Pennsylvania Real Estate Investment Trust REIT		8,547
	710	Pennymac Mortgage Investment Trust REIT		17,502
	1,789	Two Harbors Investment Corp. REIT		20,252

		Total Real Estate		347,902


		Retailing — 8.0%
	900	Aaron’s, Inc.		25,830
	200	Abercrombie & Fitch Co. – Class A		9,178
	718	Advance Auto Parts, Inc.		52,522
	1,121	Aeropostale, Inc. ^*		15,481
	1,904	American Eagle Outfitters, Inc.		40,365


Shares		Description	Value ($)
		Retailing — continued
	486	ANN, Inc. *		16,305
	510	Asbury Automotive Group, Inc. *		15,397
	1,502	Ascena Retail Group, Inc. *		30,190
	710	Barnes & Noble, Inc. *		10,189
	301	Big 5 Sporting Goods Corp.		4,214
	662	Big Lots, Inc. *		18,642
	308	Bon-Ton Stores, Inc. (The)		3,650
	900	Brown Shoe Co., Inc.		17,145
	207	Cabela’s, Inc. *		9,888
	360	Cato Corp. (The) – Class A		10,462
	691	Chico’s FAS, Inc.		12,887
	82	Childrens Place Retail Stores, Inc. (The) *		3,986
	437	Conn’s, Inc. *		12,358
	200	Core-Mark Holding Co., Inc.		9,150
	288	Dick’s Sporting Goods, Inc.		15,123
	505	Dillard’s, Inc. – Class A		44,900
	210	Finish Line, Inc. (The) – Class A		4,332
	961	Foot Locker, Inc.		34,442
	510	Fred’s, Inc. – Class A		6,783
	1,228	GameStop Corp. – Class A		32,235
	199	Genesco, Inc. *		11,011
	400	Group 1 Automotive, Inc.		24,304
	559	Guess?, Inc.		14,461
	329	HSN, Inc.		17,401
	400	Lithia Motors, Inc. – Class A		14,312
	667	Men’s Wearhouse, Inc. (The)		21,637
	1,528	OfficeMax, Inc.		15,280
	1,678	Penske Auto Group, Inc.		48,880
	174	Pool Corp.		7,289
	1,100	Rent-A-Center, Inc.		38,236
	975	Sonic Automotive, Inc.		19,246
	510	Stage Stores, Inc.		13,194
	700	Systemax, Inc. *		7,210

		Total Retailing		708,115


		Semiconductors & Semiconductor Equipment — 0.7%
	2,352	Amkor Technology, Inc. *		9,996
	600	Fairchild Semiconductor International, Inc. *		8,004
	564	First Solar, Inc. *		15,223
	1,542	GT Advanced Technologies, Inc.*		5,197
	274	Microsemi Corp. *		5,244
	300	MKS Instruments, Inc.		7,275
	449	Omnivision Technologies, Inc. *		6,780
	599	Spansion, Inc. *		7,020

		Total Semiconductors & Semiconductor Equipment		64,739


		Software & Services — 8.4%
	493	Acxiom Corp. *		8,721
	234	Alliance Data Systems Corp. *		33,343
	1,721	Amdocs Ltd.		57,585
	1,427	AOL, Inc. *		53,541
	1,297	Booz Allen Hamilton Holding Corp.		18,171
	281	Broadridge Financial Solutions, Inc.		6,634
	353	CACI International, Inc. – Class A *		18,056
	1,884	Computer Sciences Corp.		71,705
	1,579	Compuware Corp. *		14,764
	1,821	Convergys Corp.		28,426
	808	CoreLogic, Inc. *		20,879
	510	CSG Systems International, Inc. *		9,476


Shares		Description	Value ($)
		Software & Services — continued
	331	Digital River, Inc.^*		4,836
	364	DST Systems, Inc.		20,981
	1,921	EarthLink, Inc.		12,679
	300	Ebix, Inc.		5,043
	767	Electronic Arts, Inc.^*		11,359
	100	ePlus, Inc.^*		4,044
	300	Euronet Worldwide, Inc.^*		6,678
	400	Fair Isaac Corp.		17,128
	1,000	Global Cash Access Holdings, Inc.^*		7,870
	200	Global Payments, Inc.		8,782
	245	Heartland Payment Systems, Inc.		7,259
	200	j2 Global, Inc.		6,048
	310	JDA Software Group, Inc.^*		13,845
	1,407	Lender Processing Services, Inc.		34,964
	100	Manhattan Associates, Inc.^*		5,724
	400	Mantech International Corp. – Class A		9,992
	1,472	Mentor Graphics Corp.^*		21,977
	207	Netscout Systems, Inc.^*		5,200
	330	NeuStar, Inc. – Class A^*		13,266
	626	Parametric Technology Corp.^*		12,670
	3,480	SAIC, Inc.		40,124
	181	SS&C Technologies Holdings, Inc.^*		4,270
	1,539	Synopsys, Inc.^*		50,479
	400	TeleTech Holdings, Inc.^*		6,808
	399	TNS, Inc.^*		5,825
	1,601	Total System Services, Inc.		35,142
	607	Unisys Corp.^*		10,489
	1,200	United Online, Inc.		6,864
	289	Valueclick, Inc.^*		5,453
	246	VistaPrint NV^*		7,637

		Total Software & Services		744,737


		Technology Hardware & Equipment — 6.2%
	485	Anixter International, Inc.		29,624
	810	Arris Group, Inc.^*		11,316
	1,408	Arrow Electronics, Inc.^*		52,462
	1,988	Avnet, Inc.^*		58,228
	1,110	AVX Corp.		11,322
	500	Benchmark Electronics, Inc.^*		7,770
	200	Black Box Corp.		4,930
	3,721	Brocade Communications Systems, Inc.^*		21,135
	553	Diebold, Inc.		16,540
	964	Dolby Laboratories, Inc. – Class A^*		32,169
	1,965	Harris Corp.		92,610
	1,699	Ingram Micro, Inc. – Class A^*		27,524
	900	Insight Enterprises, Inc.^*		15,246
	314	Itron, Inc.^*		13,753
	1,050	Jabil Circuit, Inc.		19,950
	1,007	Lexmark International, Inc.		24,500
	128	MTS Systems Corp.		6,189
	537	NCR Corp.^*		12,850
	400	PC Connection, Inc.		4,240
	1,099	QLogic Corp.^*		10,419
	1,400	Sanmina Corp.^*		13,188
	729	SYNNEX Corp.^*		24,072
	534	Tech Data Corp.^*		23,587
	1,721	Vishay Intertechnology, Inc.^*		16,694

		Total Technology Hardware & Equipment		550,318


Shares		Description	Value ($)
		Telecommunication Services — 0.7%
	2,049	Cincinnati Bell, Inc.^*		10,921
	3,400	Frontier Communications Corp.		16,354
	883	NII Holdings, Inc.^*		4,477
	1,143	Telephone & Data Systems, Inc.		26,300

		Total Telecommunication Services		58,052


		Transportation — 1.3%
	245	Alaska Air Group, Inc.^*		10,474
	46	Amerco		5,521
	510	Avis Budget Group, Inc.^*		9,659
	124	Copa Holdings SA -Class A		11,760
	900	Hawaiian Holdings, Inc.^*		5,616
	1,045	JetBlue Airways Corp.^*		5,371
	254	Macquarie Infrastructure Co. LLC		10,958
	146	Ryder System, Inc.		6,872
	721	Skywest, Inc.		8,356
	2,310	US Airways Group, Inc.^*		29,776
	510	UTi Worldwide, Inc.		7,201

		Total Transportation		111,564


		Utilities — 0.6%
	210	Avista Corp.		4,979
	400	PNM Resources, Inc.		8,452
	410	Portland General Electric Co.		11,082
	645	UGI Corp.		21,427
	129	UNS Energy Corp.		5,493

		Total Utilities		51,433


		TOTAL COMMON STOCKS (COST $8,140,246)		8,717,131


		MUTUAL FUNDS — 0.2%

		Affiliated Issuers — 0.2%
	600	GMO U.S. Treasury Fund		14,998


		TOTAL MUTUAL FUNDS (COST $14,998)		14,998

Shares

Description

Value ($)

SHORT-TERM INVESTMENTS — 1.1%

Money Market Funds — 1.1%

99,697

State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%^(a)

99,697

TOTAL SHORT-TERM INVESTMENTS

(COST $99,697)

99,697

TOTAL INVESTMENTS — 100.1%

(Cost $8,254,941)

8,831,826

Other Assets and Liabilities (net) — (0.1%)

(11,620

)

TOTAL NET ASSETS — 100.0%

$8,820,206

Notes to Schedule of Investments:

REIT – Real Estate Investment Trust

*	Non-income producing security.

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon sale of those securities.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie instruments (to the extent the market for such instruments closes prior to the close of the NYSE) are classified as being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a security is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or using fair value inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on the Funds’ net assets) as of November 30, 2012 is as follows:

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2, and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between levels.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (being determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the Valuation Inputs table below). On both November 30, 2012 and February 29, 2012, none of the Funds held securities or derivative financial instruments directly whose fair value was categorized using Level 3 inputs.

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, certain U.S. government obligations with a remaining maturity of greater than 60 days, derivatives actively traded on a national securities exchange (such as some futures and options), and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

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

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the “Investment and other risks” and “Derivative financial instruments” sections below for a further discussion of risks.

All of the Funds’ common stocks except for Quality Fund and U.S. Flexible Equities Fund held at period end are classified as Level 1. The classifications for Quality Fund and U.S. Flexible Equities Fund are shown in the tables above. Please refer to the Schedule of Investments for a more detailed categorization of common stocks.

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

For all Funds for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

Each Fund that invests in other GMO Funds and other investment companies is exposed to the risks to which the underlying funds in which it invests are exposed. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and, references in this section to investments made by a Fund include those made both directly by the Fund and indirectly by the Fund through other GMO Funds and other investment companies.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equity Securities Risk — Funds with equity investments run the risk that the market prices of those investments will decline. The market price of an equity investment may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. It also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equity investments generally have greater price volatility than fixed income and other investments with a scheduled stream of payments, and the market price of equity investments is more susceptible to moving up or down in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and generally do not take temporary defensive positions. As a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

If a Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or decline from that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

Equity investments trading at high multiples of current earnings are more sensitive to changes in future earnings expectations than securities trading at lower multiples. At times when the market is concerned that these expectations may not be met, the market prices of those securities typically fall.

Fixed Income Investments Risk — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising (or, in some limited cases, declining) interest rates and widening credit spreads, or decreased liquidity that reflect the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, resulting in differences between the prices realized on their sale and the value at which they are carried on the books of a Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A principal risk run by each Fund with a significant investment in fixed income securities is that an increase (or, in some limited cases, a decrease) in prevailing interest rates will cause the market price of those securities to decline. The risk associated with such changes in interest rates (also called “interest rate risk”) is generally greater for Funds investing in fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer-maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the price of inflation indexed bonds may decline more than the price of non-inflation indexed (or nominal) fixed income bonds with similar maturities. The price of a Fund’s inflation indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

Asset-Backed Securities Risk — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

Funds investing in asset-backed securities are exposed to the risk that these securities experience severe credit downgrades, illiquidity, defaults, and declines in market value. These risks are particularly acute during periods of adverse market conditions, such as those that occurred in 2008. Asset-backed securities may be backed by many types of assets, including pools of residential and commercial mortgages, automobile loans, educational loans, home equity loans, and credit-card receivables. They also may be backed by pools of corporate or sovereign bonds, bank loans made to corporations, or a combination of these bonds and loans (commonly referred to as “collateralized debt obligations” or “collateralized loan obligations”) and by the fees earned by service providers.

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a decrease in the payment stream expected by a Fund at the time it purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceed whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. See “Credit Risk” below for more information about credit risk.

With the deterioration of worldwide economic and liquidity conditions that occurred and became acute in 2008, the markets for asset-backed securities became fractured, and uncertainty about the creditworthiness of those securities (and underlying assets) caused credit spreads (the difference between yields on asset-backed securities and U.S. Government securities) to widen dramatically. Concurrently, systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions reduced the ability of financial institutions to make markets in many fixed income securities. These events reduced liquidity and contributed to substantial declines in the market prices of asset-backed and other fixed income securities. These conditions may occur again. Also, government actions and proposals affecting the terms of underlying home and consumer loans, changes in demand for products (e.g., automobiles) financed by those loans, and the inability of borrowers to refinance existing loans (e.g., sub-prime mortgages) have had, and may continue to have, adverse valuation and liquidity effects on asset-backed securities.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and a Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security.

The risk of investing in asset-backed securities has increased since the deterioration in worldwide economic and liquidity conditions referred to above because performance of the various sectors in which the assets underlying asset-backed securities are concentrated (e.g., auto loans, student loans, sub-prime mortgages, and credit card receivables) has become more highly correlated. See “Focused Investment Risk” below for more information about risks of investing in correlated sectors. A single financial institution may serve as a trustee for many asset-backed securities. As a result, a disruption in that institution’s business may have a material impact on many investments.

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s or guarantor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

All fixed income securities are subject to credit risk. Financial strength and solvency of an issuer are the primary factors influencing credit risk. The risk varies depending upon whether the issuer is a corporation or U.S. or non-U.S. government (or sub-division or instrumentality) and whether the particular security has a priority over other obligations of the issuer in payment of principal and interest and whether it has any collateral backing or credit enhancement. Credit risk may change over the life of a fixed income security. U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for emerging market securities.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

As described under “Market Risk — Asset-Backed Securities Risk” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk — Asset Backed Securities Risk” above.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. A Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.

The extent to which the price of a fixed income security changes in response to a credit event depends on a number of factors and can be difficult to predict. For example, floating rate securities may have final maturities of ten or more years, but their effective durations will tend to be very short. If the issuer of floating rate securities experiences an adverse credit event, or a change occurs in its perceived creditworthiness, the price of its securities could decline much more than would be predicted by the change in their yield in relation to their effective duration.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Funds may be unable to pursue legal action against the sovereign issuer.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. A Fund is also exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk to some extent but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, resulting in differences between the price at which they are sold and the value at which they are carried on the books of a Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when markets decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

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

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., forward currency contracts), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values a Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when a Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of a Fund’s net asset value. Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track.

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

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

Swap agreements and other OTC derivatives are highly susceptible to liquidity risk (see “Liquidity Risk” above) and counterparty risk (see “Counterparty Risk” below), and are subject to documentation risks. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish and/or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself.

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or increasing margin or capital requirements.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. securities, (ii) transactions in those securities and (iii) the repatriation of proceeds generated from the sale of those securities. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, a Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including a Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Funds that invest a significant portion of their assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets) are subject to greater non-U.S. investment risk than Funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in a Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on a Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event, the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

Many of the Funds use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of their portfolios. As a result, their currency exposure may differ (in some cases significantly) from the currency exposure of their benchmarks. If the exchange rates of the currencies involved do not move as expected, a Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and a Fund may not be able to convert them into U.S. dollars, in which case the Manager may decide to purchase U.S. dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

Derivative transactions in non-U.S. currencies (such as futures, forwards, options and swaps) may involve leveraging risk in addition to currency risk, as described below under “Leveraging Risk.” In addition, the obligations of counterparties in currency derivative transactions are often not secured by collateral, which increases counterparty risk (see “Counterparty Risk” below).

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services) are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market value of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

A Fund that focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments. See also “Real Estate Risk” below.

Similarly, Funds having a significant portion of their assets in investments tied economically to (or related to) a particular geographic region, non-U.S. country (e.g., Taiwan) or particular market (e.g., emerging markets) have more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or non-U.S. country are vulnerable to events affecting other companies located in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• REAL ESTATE RISK. Because Real Estate Fund concentrates its assets in real-estate related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. Factors affecting real estate values include the supply of real property in particular markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in real estate values, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating costs, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional market conditions. The value of real-estate related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends. For instance, during periods of declining interest rates, some mortgage REITs may hold mortgages that the mortgagors elect to prepay, which prepayment may reduce the yield on securities issued by those REITs. Some REITs have relatively small market capitalizations, which can tend to increase the volatility of the market price of their securities. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and their failure to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, or to maintain their exemption from investment company status under the Investment Company Act of 1940, as amended.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases the magnitude of a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest cost based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

A Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, a Fund may perform as if it were leveraged.

investments it would prefer to sell, resulting in losses for the Fund. There is neither an explicit limit on the amount of exposure that a Fund may have with any one counterparty nor a requirement that counterparties maintain a specific rating by a nationally recognized rating organization in order to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose a Fund to greater counterparty risk than exchange-traded derivatives. A Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to a Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If the counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the greater possibility that events will intervene to prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Funds also are subject to counterparty risk because they execute their securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Funds could miss investment opportunities or be unable to dispose of investments they would prefer to sell, resulting in losses for the Funds.

Counterparty risk with respect to OTC derivatives may be affected by new regulations affecting the derivatives market. Certain derivatives are likely to be required to be cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing house and the clearing member through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivative transaction. Also, new regulations may cause certain bank and dealer counterparties to enter into derivatives transactions through affiliated entities, which affiliates may be less creditworthy than the bank or dealer itself.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. The uncertainty surrounding the sovereign debt of the European Union countries of Greece, Spain, Portugal, Ireland and Italy, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, there likely will be significant disruptions in the world’s securities markets and substantial government interventions (e.g., currency controls), which could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investment and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a disruption may cause disruptions to the orderly functioning of the securities markets and/or may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis.

are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments into) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or accelerate the realization of taxable income and/or gains to shareholders if the sales of portfolio securities they necessitate result in gains. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results, and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

For some Funds the Manager’s portfolio managers use quantitative analyses and models. Any imperfections or limitations in those analyses and models could affect the ability of the portfolio managers to implement the strategies they wish to pursue. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Funds also run the risk that GMO’s fundamental assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Funds’ investment objectives.

The Funds also are subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent a Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Funds for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Funds. Other Fund service providers also have limitations on their liability to the Funds for losses resulting from their errors.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and Exchange-Traded Funds (“ETFs”) (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying Funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying Funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying Funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Because some underlying Funds (e.g., many of the Fixed Income Funds) in turn invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Funds that invest in shares of other GMO Funds also are likely to be subject to Large Shareholder Risk because underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

Investments in ETFs involve the risk that the ETF’s performance may not track the performance of the index the ETF is designed to track. Unlike the index, an ETF incurs administrative expenses and transaction costs in trading securities. In addition, the timing and magnitude of cash inflows and outflows from and to investors buying and redeeming shares in the ETF could create cash balances that cause the ETF’s performance to deviate from the index (which remains “fully invested” at all times). Performance of an ETF and the index it is designed to track also may diverge because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended. This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act:

Temporary Defensive Positions. The following paragraphs provide additional information about whether, and to what extent, the Funds take temporary defensive positions.

The Funds (other than Quality Fund) normally do not take temporary defensive positions.

Quality Fund reserves the right to make tactical allocations of up to 20% of its net assets to investments in cash and high quality debt investments.

To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Funds’ portfolios. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives as substitutes for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements, and options) to gain exposure to a given currency.

The Funds also may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

In addition, the Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and in the case of Quality Fund and U.S. Flexible Equities Fund, currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, Quality Fund and U.S. Flexible Equities Fund also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets. (i.e. they may be leveraged).

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See “Investments and other risks” above for further information.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

When an option contract is closed, that Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

The Funds may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

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

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

In a credit default swap agreement, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap agreements on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer’s failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap agreements on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer’s bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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

Generally, the Funds price their swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close) and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

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

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

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

The volume of derivative activity, based on absolute values (futures contracts and rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, if any, was as follows for the period ended November 30, 2012:

The Board of Trustees of GMO Trust has approved the liquidation of the Class M shares of GMO U.S. Core Equity Fund and GMO U.S. Growth Fund. It is expected that Class M shares of GMO U.S. Core Equity Fund and GMO U.S. Growth Fund will be liquidated on or about January 31, 2013.

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

Par Value ($)/
Shares

Description

Value ($)

DEBT OBLIGATIONS — 99.7%

U.S. Government — 99.7%

110,000,000

U.S. Treasury Note,
0.50%, due 11/15/13

110,305,030

47,000,000

U.S. Treasury Note,
1.25%, due 08/31/15

48,193,377

Total U.S. Government

158,498,407

TOTAL DEBT OBLIGATIONS
(COST $158,362,281)

158,498,407

SHORT-TERM
INVESTMENTS — 0.2%

Money Market Funds — 0.2%

326,040

State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(a)

326,040

TOTAL SHORT-TERM
INVESTMENTS
(COST $326,040)

326,040

TOTAL INVESTMENTS — 99.9%
(Cost $158,688,321)

158,824,447

Other Assets and Liabilities
(net) — 0.1%

83,410

TOTAL NET ASSETS — 100.0%

$158,907,857

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 33.5%

		Albania — 3.5%
		Foreign Government Obligations — 3.5%
USD	14,281,227	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 ^(a)		8,283,112


		Australia — 0.1%
		Asset-Backed Securities
USD	135,134	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.38%, due 04/19/38		132,210
USD	193,931	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.39%, due 05/10/36		192,330

		Total Australia		324,540


		United Kingdom — 0.2%
		Asset-Backed Securities
USD	408,859	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.54%, due 01/13/39		401,090
USD	22,746	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.29%, due 12/20/54		22,314

		Total United Kingdom		423,404


		United States — 29.7%
		Asset-Backed Securities — 1.8%
USD	289,777	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.61%, due 05/25/37¿		14,851
USD	973,847	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36¿		350,281
USD	817,585	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36¿		246,809
USD	97,168	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36¿		32,309
USD	116,995	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		86,576
USD	300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.57%, due 01/25/24		292,500
USD	213,533	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.71%, due 06/28/19		200,721
USD	526,199	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 04/25/36¿		359,788
USD	369,705	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.40%, due 05/25/36¿		192,362
USD	93,721	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36¿		32,802


Par Value		Description	Value ($)
		United States (continued)
USD	640,755	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		538,554
USD	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		799,040
USD	136,756	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36¿		85,815
USD	656,413	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36¿		291,283
USD	491,859	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.44%, due 02/25/37¿		211,499
USD	40,366	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.50%, due 12/25/32		29,770
USD	63,779	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35		60,660
USD	10,237	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.42%, due 09/15/22		10,231
USD	23,741	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.79%, due 11/25/35¿		22,791
USD	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		400,016

				4,258,658


		U.S. Government — 21.1%
USD	18,499,585	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^{(b) (c)}		18,489,466
USD	30,000,000	U.S. Treasury Note, 2.50%, due 03/31/15 ^(b)		31,542,180

				50,031,646


		U.S. Government Agency — 6.8%
USD	15,000,000	Federal National Mortgage Assoc.,TBA, 3.50%, due 12/01/41		16,007,812


		Total United States		70,298,116


		TOTAL DEBT OBLIGATIONS (COST $76,840,561)		79,329,172

Shares/
Par Value ($)

Description

Value ($)

SHORT-TERM INVESTMENTS — 1.0%

Money Market Funds — 0.2%

427,974

State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03% ^(e)

427,974

U.S. Government — 0.8%

1,785,000

U.S. Treasury Bill,
0.16%, due 10/17/13 ^{(b) (f)}

1,782,521

TOTAL SHORT-TERM
INVESTMENTS
(COST $2,210,173)

2,210,495

TOTAL INVESTMENTS — 106.7%
(Cost $246,211,078)

252,206,553

Other Assets and Liabilities (net) —
(6.7%)

(15,760,677

)

TOTAL NET ASSETS — 100.0%

$236,445,876

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

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

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

LIBOR - London Interbank Offered Rate

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBA - To Be Announced - Delayed Delivery Security

¿	These securities are primarily backed by subprime mortgages.

(a)	Security is backed by U.S. Treasury bonds.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank Of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Par Value

Description

Value ($)

DEBT OBLIGATIONS — 47.7%

Canada — 3.3%

Foreign Government Obligations

CAD

2,000,000

Government of Canada, 3.50%,
due 06/01/20

2,293,713

France — 7.3%

Foreign Government Obligations

EUR

3,300,000

Government of France, 4.00%,
due 10/25/38

5,013,487

Germany — 6.8%

Foreign Government Obligations

EUR

2,500,000

Republic of Deutschland, 4.75%,
due 07/04/34

4,671,579

Italy — 5.8%

Foreign Government Obligations

EUR

3,100,000

Italy Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34

3,988,971

Netherlands — 1.2%

Foreign Government Obligations

EUR

500,000

Netherlands Government Bond, 3.75%,
due 01/15/42

830,818

Spain — 3.0%

Foreign Government Obligations

EUR

1,900,000

Government of Spain, 4.70%, due 07/30/41

2,045,755

United Kingdom — 14.7%

Foreign Government Obligations

GBP

2,000,000

United Kingdom Gilt, 3.75%, due 09/07/21

3,786,523

GBP

3,000,000

United Kingdom Gilt, 4.75%, due 12/07/30

6,361,820

Total United Kingdom

10,148,343


Par Value ($)/ Shares		Description	Value ($)
		United States — 5.6%

		U.S. Government
USD	3,831,275	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^{(a) (b)}		3,829,179


		TOTAL DEBT OBLIGATIONS (COST $29,541,920)		32,821,845


		MUTUAL FUNDS — 51.0%

		United States — 51.0%
		Affiliated Issuers
	284,688	GMO Emerging Country Debt Fund, Class IV		3,020,535
	2,683,050	GMO Short-Duration Collateral Fund		11,241,981
	5,496	GMO Special Purpose Holding Fund ^(c)		3,242
	234,724	GMO U.S. Treasury Fund		5,868,100
	599,715	GMO World Opportunity Overlay Fund		15,016,874


		TOTAL MUTUAL FUNDS (COST $33,484,753)		35,150,732


		SHORT-TERM INVESTMENTS — 1.9%

		Money Market Funds — 0.5%
	331,903	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03% ^(d)		331,903


		U.S. Government — 1.4%
	995,000	U.S. Treasury Bill, 0.16%, due 10/17/13 ^(a)(e)		993,618


		TOTAL SHORT-TERM INVESTMENTS (COST $1,325,341)		1,325,521


		TOTAL INVESTMENTS — 100.6% (Cost $64,352,014)		69,298,098
		Other Assets and Liabilities (net) — (0.6%)		(409,435	)


		TOTAL NET ASSETS — 100.0%		$68,888,663

A summary of outstanding financial instruments at November 30, 2012 is as follows:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 88.8%

		Asset-Backed Securities — 88.4%
		Airlines — 0.1%
	1,559,968	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		701,986


		Auto Financing — 17.0%
	10,000,000	Ally Auto Receivables Trust, Series 12-A, Class D, 144A, 3.15%, due 10/15/18		10,257,000
	5,000,000	Ally Master Owner Trust, Series 12-1, Class D, 144A, 3.12%, due 02/15/17		5,057,950
	5,500,000	Ally Master Owner Trust, Series 12-3, Class D, 144A, 1 mo. LIBOR + 2.35%, 2.56%, due 06/15/17		5,578,203
	3,440,000	Avis Budget Rental Car Funding AESOP LLC, Series 10-5A, Class B, 144A, 5.11%, due 03/20/17		3,763,188
	13,375,000	Avis Budget Rental Car Funding AESOP LLC, Series 11-5A, Class B, 144A, 4.72%, due 02/20/18		14,578,750
	3,000,000	Avis Budget Rental Car Funding AESOP LLC, Series 12-2A, Class B, 144A, 3.89%, due 05/20/18		3,174,060
	14,446,986	California Republic Auto Receivables Trust, Series 12-1, Class A, 144A, 1.18%, due 08/15/17		14,436,108
	4,500,000	California Republic Auto Receivables Trust, Series 12-1, Class C, 144A, 3.00%, due 01/15/20		4,504,968
	3,600,000	Chesapeake Funding LLC, Series 12-2A, Class C, 144A, 1 mo. LIBOR + 1.55%, 1.76%, due 05/07/24		3,600,000
	2,500,000	Chesapeake Funding LLC, Series 12-2A, Class D, 144A, 1 mo. LIBOR + 1.85%, 2.06%, due 05/07/24		2,500,000
	1,573,382	CPS Auto Trust, Series 10-PG5, Class A, 144A, 9.25%, due 01/15/18		1,617,141
	999,999	CPS Auto Trust, Series 12-A, Class C, 144A, 6.51%, due 06/17/19		1,014,699
	5,000,000	DT Auto Owner Trust, Series 12-2, Class D, 144A, 4.35%, due 03/15/19		5,181,250
	3,375,000	Ford Credit Floorplan Master Owner Trust, Series 10-3, Class C, 144A, 4.99%, due 02/15/17		3,597,412
	2,000,000	Ford Credit Floorplan Master Owner Trust, Series 12-2, Class C, 2.86%, due 01/15/19		2,052,400
	5,490,000	Ford Credit Floorplan Master Owner Trust, Series 12-5, Class D, 2.73%, due 09/15/19		5,523,455
	5,000,000	Hertz Vehicle Financing LLC, Series 09-2A, Class B2, 144A, 5.93%, due 03/25/16		5,400,781


Par Value ($)		Description	Value ($)
		Auto Financing — continued
	3,000,000	Santander Consumer Acquired Receivables Trust, Series 11-WO, Class C, 144A, 3.19%, due 10/15/15		3,076,890
	5,000,000	Santander Drive Auto Receivables Trust, Series 10-2, Class C, 3.89%, due 07/17/17		5,181,250
	5,750,000	Santander Drive Auto Receivables Trust, Series 11-4, Class D, 4.74%, due 09/15/17		6,095,000
	5,000,000	Santander Drive Auto Receivables Trust, Series 12-2, Class D, 3.87%, due 02/15/18		5,179,000

		Total Auto Financing		111,369,505


		Business Loans — 11.3%
	216,353	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.57%, due 04/25/34		192,554
	334,861	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.58%, due 01/25/35		291,329
	1,091,951	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		808,044
	749,897	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.45%, due 07/25/37		569,922
	658,650	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 05/28/39		245,347
	731,833	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.51%, due 05/28/39		238,578
	1,430,284	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 02/28/40		786,656
	5,000,000	CIT Equipment Collateral, Series 12-VT1, Class D, 144A, 4.12%, due 10/21/19		5,079,200
	1,000,000	CNH Wholesale Master Note Trust, Series 2011-1A, Class B, 144A, 1 mo. LIBOR + 1.65%, 1.86%, due 12/15/15		1,001,250
	251,630	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		222,818
	591,466	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		497,127
	11,452,279	GE Business Loan Trust, Series 06-2A, Class A, 144A, 1 mo. LIBOR + .18%, 0.39%, due 11/15/34		9,619,914
	18,944,746	GE Business Loan Trust, Series 07-1A, Class A, 144A, 1 mo. LIBOR + .17%, 0.38%, due 04/16/35		16,671,377
	19,364,101	GE Business Loan Trust, Series 07-1A, Class D, 144A, 1 mo. LIBOR + 1.00%, 1.21%, due 04/16/35		12,973,948
	5,800,000	GE Dealer Floorplan Master Note Trust, Series 12-4, Class B, 1 mo. LIBOR + .70%, 0.91%, due 10/20/17		5,793,334
	4,500,000	Great America Leasing Receivables, Series 09-1, Class C, 144A, 6.48%, due 12/15/16		4,604,085


Par Value ($)		Description	Value ($)
		Business Loans (continued)
	3,000,000	Great America Leasing Receivables, Series 12-1, Class C, 144A, 3.00%, due 11/15/18		3,160,200
	748,006	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/25/30		625,385
	605,806	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 09/25/30		505,545
	724,141	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.06%, due 10/25/37		657,918
	2,500,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class C, 144A, 2.55%, due 01/18/19		2,518,132
	5,000,000	Navistar Financial Corp. Owner Trust, Series 12-A, Class D, 144A, 3.29%, due 01/18/19		5,040,555
	2,000,000	Navistar Financial Dealer Note Master Trust, Series 11-1, Class C, 144A, 1 mo. LIBOR + 2.50%, 2.71%, due 10/25/16		2,009,600

		Total Business Loans		74,112,818


		CMBS — 0.9%
	134,795	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		134,795
	5,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		4,743,000
	486,138	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		486,138
	800,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		799,040

		Total CMBS		6,162,973


		CMBS Collateralized Debt Obligations — 0.6%
	1,499,437	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.11%, due 11/23/52		3,749
	446,477	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.71%, due 06/28/19		419,689
	409,849	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		411,898
	3,301,301	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.54%, due 05/25/46		2,987,677

		Total CMBS Collateralized Debt Obligations		3,823,013


Par Value ($)		Description	Value ($)
		Corporate Collateralized Debt Obligations — 0.8%
	5,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.67%, due 06/20/13		5,204,680


		Credit Cards — 4.8%
	4,750,000	1st Financial Bank USA, Series 10-C, Class D, 144A, 8.35%, due 09/17/18		4,934,062
	8,260,000	1st Financial Bank USA, Series 10-D, Class D, 144A, 7.86%, due 06/17/19		8,559,425
	4,000,000	Capital One Multi-Asset Execution Trust, Series 03-C3, Class C3, 1 mo. LIBOR + 2.25%, 2.46%, due 07/15/16		4,023,200
	10,000,000	Citibank Credit Card Issuance Trust, Series 05-C2, Class C2, 1 mo. LIBOR + .47%, 0.68%, due 03/24/17		9,918,750
	4,000,000	World Financial Network Credit Card Master Trust, Series 06-A, Class B, 144A, 1 mo. LIBOR + .35%, 0.56%, due 02/15/17		3,994,219

		Total Credit Cards		31,429,656


		Insured Business Loans — 0.0%
	218,721	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.65%, due 10/25/30		158,682


		Insured Other — 0.6%
	340,349	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.39%, due 08/18/21		330,138
	184,167	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.51%, due 04/17/19		183,476
	1,079,404	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		1,003,213
	1,511,236	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		1,408,342
	688,464	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.60%, due 01/05/14		580,031
	300,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		47,550
	4,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		315,000

		Total Insured Other		3,867,750


		Insured Residential Asset-Backed Securities (United States) ¿ — 0.2%
	664,429	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.63%, due 07/25/34		578,054
	204,605	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.59%, due 12/25/33		186,190


Par Value ($)		Description	Value ($)
		Insured Residential Asset-Backed Securities (United States) ¿ (continued)
	58,522	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 03/25/34		50,915
	802,455	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.43%, due 11/25/35		662,025

		Total Insured Residential Asset-Backed Securities (United States)		1,477,184


		Insured Residential Mortgage-Backed Securities (United States) — 0.2%
	43,198	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.55%, due 10/25/34		30,304
	109,956	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 01/25/35		78,893
	868,094	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		533,878
	445,124	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.44%, due 10/25/34		348,621
	17,579	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.67%, due 07/25/29		12,872
	28,022	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		17,808
	46,183	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.65%, due 06/25/34		32,559
	11,009	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.50%, due 12/25/32		8,119
	302,950	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35		288,135

		Total Insured Residential Mortgage-Backed Securities (United States)		1,351,189


		Insured Time Share — 0.1%
	147,325	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.36%, due 03/20/19		145,875
	729,874	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		728,349

		Total Insured Time Share		874,224


Par Value ($)		Description	Value ($)
		Other — 5.9%
	10,876,250	Dominos Pizza Master Issuer LLC, Series 12-1A, Class A2, 144A, 5.22%, due 01/25/42		12,177,920
	9,500,000	Fairway Outdoor Funding LLC, Series 12-1, Class A2, 144A, 4.21%, due 10/15/42		9,680,595
	9,364,730	Sonic Capital LLC, Series 11-1A, Class A2, 144A, 5.44%, due 05/20/41		10,335,740
	6,000,000	Trafigura Securitisation Finance Plc, Series 12-1A, Class A, 144A, 1 mo. LIBOR + 2.40%, 2.61%, due 10/15/15		6,093,750

		Total Other		38,288,005


		Residential Asset-Backed Securities (United States) ¿ — 15.5%
	104,471	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.60%, due 01/25/35		89,192
	244,981	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.35%, due 02/25/36		88,805
	379,020	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 03/25/36		354,857
	49,288	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		48,672
	2,637,111	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 10/25/36		1,140,550
	1,268,304	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 05/25/36		697,567
	85,199	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.30%, due 06/25/36		50,267
	920,493	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 04/25/36		674,261
	433,554	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 09/25/35		154,996
	1,010,559	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.41%, due 06/25/36		180,637
	1,175,727	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.55%, due 06/25/36		199,874
	85,939	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 09/25/36		17,940
	418,359	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.38%, due 12/25/36		71,644


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ (continued)
	686,437	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.30%, due 01/25/37		231,672
	450,290	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.28%, due 11/25/36		145,219
	1,303,995	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.61%, due 05/25/37		66,830
	327,042	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.25%, due 05/25/34		304,915
	7,871,927	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		2,831,434
	1,311,772	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36		436,164
	1,272,107	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 03/25/36		508,843
	1,308,137	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		394,894
	1,500,195	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.36%, due 10/25/36		1,078,790
	2,193,015	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.43%, due 05/25/37		1,708,359
	599,011	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.32%, due 11/25/36		387,620
	1,500,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 11/25/36		239,100
	254,117	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.53%, due 02/25/37		115,089
	4,700,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 02/25/37		3,464,840
	1,029,690	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.37%, due 06/25/36		1,009,096
	12,014	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.75%, due 04/25/33		11,076
	90	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.62%, due 10/25/34		88
	1,545,886	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 12/25/36		595,166


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ (continued)
	733,312	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		703,979
	4,460,237	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.35%, due 02/25/37		3,813,948
	56,157	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.51%, due 04/25/34		40,117
	3,425,973	FBR Securitization Trust, Series 05-3, Class AV24, 1 mo. LIBOR + .34%, 0.89%, due 10/25/35		2,500,960
	986,622	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 04/25/36		674,603
	410,783	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.40%, due 05/25/36		213,736
	144,590	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		36,757
	2,624,174	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36		918,461
	348,187	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		311,410
	334,159	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		309,306
	762,973	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.37%, due 01/20/36		711,234
	3,692,823	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.33%, due 12/25/36		1,284,364
	2,262,000	JP Morgan Mortgage Acquisition Corp., Series 07-CH3, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 03/25/37		1,860,495
	1,982,967	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36		1,244,312
	1,500,373	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		665,791
	2,899,634	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 08/25/36		826,396
	1,845,877	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.37%, due 10/25/36		830,645
	826,383	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 03/25/36		173,540
	492,203	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.33%, due 02/25/37		180,393


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ (continued)
	227,126	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.49%, due 01/25/47		122,376
	186,063	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 1.01%, due 08/25/34		169,317
	7,328,240	Morgan Stanley Capital, Inc., Series 06-HE6, Class A2FP, 1 mo. LIBOR + .06%, 0.27%, due 09/25/36		5,487,020
	2,441,855	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.38%, due 03/25/36		2,051,158
	1,607,032	Morgan Stanley Home Equity Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .10%, 0.31%, due 12/25/36		964,219
	1,013,596	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		410,506
	900,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		366,750
	705,282	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.47%, due 12/25/35		338,465
	9,711,131	Residential Asset Mortgage Products, Inc., Series 07-RZ1, Class A2, 1 mo. LIBOR + .16%, 0.37%, due 02/25/37		8,181,628
	10,000,000	Residential Asset Securities Corp., Series 07-KS3, Class AI3, 1 mo. LIBOR + .25%, 0.46%, due 04/25/37		7,400,000
	1,554,167	SACO I, Trust., Series 05-7, Class A, 1 mo. LIBOR + .28%, 0.77%, due 09/25/35		1,530,854
	26,092	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.75%, due 03/25/35		17,457
	8,000,000	Securitized Asset Backed Receivables LLC, Series 06-NC2, Class A3, 1 mo. LIBOR + .24%, 0.45%, due 03/25/36		5,860,000
	7,357,945	Securitized Asset Backed Receivables LLC, Series 06-WM1, Class A2C, 1 mo. LIBOR + .29%, 0.50%, due 12/25/35		4,561,926
	765,557	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 07/25/36		317,706
	22,426,282	SG Mortgage Securities Trust, Series 06-FRE2, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 07/25/36		7,288,542
	12,106,542	Soundview Home Equity Loan Trust, Series 07-OPT1, Class 2A1, 1 mo. LIBOR + .08%, 0.29%, due 06/25/37		10,986,687


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ (continued)
	2,198,452	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/37		1,173,534
	4,923,219	Specialty Underwriting & Residential Finance, Series 06-BC4, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/37		3,766,263
	614,818	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.41%, due 01/25/36		577,929
	207,729	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.79%, due 11/25/35		199,420
	36,550,000	Wells Fargo Home Equity Trust, Series 06-3, Class M1, 1 mo. LIBOR + .23%, 0.44%, due 01/25/37		4,367,725
	1,489,880	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.61%, due 06/25/37		461,863

		Total Residential Asset-Backed Securities (United States)		101,200,249


		Residential Mortgage-Backed Securities (Australian) — 2.4%
	796,986	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.44%, due 11/19/37		794,448
	849,138	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.38%, due 07/20/38		838,496
	756,750	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.38%, due 04/19/38		740,375
	158,755	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.86%, due 09/27/35		151,749
	1,568,074	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.79%, due 03/14/36		1,497,527
	286,628	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.81%, due 12/08/36		269,431
	122,655	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.61%, due 05/27/38		116,031
	5,047,120	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.39%, due 05/10/36		5,005,446
	555,146	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.44%, due 06/14/37		545,555
	854,415	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.45%, due 02/21/38		829,466
	682,252	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.46%, due 06/12/40		680,009


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) (continued)
	74,204	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.48%, due 01/12/37		73,874
	3,896,658	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.36%, due 05/21/38		3,856,483

		Total Residential Mortgage-Backed Securities (Australian)		15,398,890


		Residential Mortgage-Backed Securities (European) — 2.2%
	1,736,587	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.60%, due 09/20/66		1,610,685
	2,511,562	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.54%, due 01/13/39		2,463,842
	318,442	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.29%, due 12/20/54		312,392
	201,123	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .08%, 0.29%, due 12/20/54		197,503
	155,948	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.66%, due 09/20/44		154,544
	1,117,827	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.53%, due 12/10/43		1,061,935
	347,742	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.66%, due 12/21/37		357,251
	717,247	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.73%, due 05/15/34		633,329
	1,434,361	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.53%, due 11/15/38		1,246,101
	976,040	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.59%, due 09/15/39		815,189
	3,413,965	Saecure BV, Series 11A, Class A1A, 3 mo. LIBOR + 1.55%, 1.86%, due 07/30/92		3,476,440
	2,000,000	Silverstone Master Issuer, Series 12-1A, Class 1A, 144A, 3 mo. LIBOR + 1.55%, 1.87%, due 01/21/55		2,065,000

		Total Residential Mortgage-Backed Securities (European)		14,394,211


		Residential Mortgage-Backed Securities (United States) — 1.3%
	7,533,624	Banc of America Funding Corp., Series 12-R4, Class A, 144A, 1 mo. LIBOR + .26%, 0.47%, due 03/04/39		7,232,279
	55,934	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.51%, due 08/25/35		40,273


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (United States) (continued)
	224,773	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/26/34		196,255
	1,637,928	Morgan Stanley Capital, Inc., Series 06-HE7, Class A2FP, 1 mo. LIBOR + .08%, 0.29%, due 09/25/36		1,359,480

		Total Residential Mortgage-Backed Securities (United States)		8,828,287


		Student Loans — 16.8%
	2,600,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.57%, due 01/25/24		2,535,000
	5,000,000	National Collegiate Student Loan Trust, Series 05-3, Class A4, 1 mo. LIBOR + .28%, 0.49%, due 04/25/29		4,000,000
	20,412,998	National Collegiate Student Loan Trust, Series 07-1, Class A2, 1 mo. LIBOR + .13%, 0.34%, due 11/25/28		19,443,381
	982,744	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.45%, due 12/23/19		981,741
	17,680,059	SLC Student Loan Trust, Series 09-AA, Class A, 144A, 4.75%, due 06/15/33		16,956,282
	8,000,000	SLM Student Loan Trust, Series 04-A, Class A3, 3 mo. LIBOR + .40%, 0.79%, due 06/15/33		6,580,000
	4,861,553	SLM Student Loan Trust, Series 04-A, Class B, 3 mo. LIBOR + .58%, 0.97%, due 06/15/33		3,658,318
	8,500,000	SLM Student Loan Trust, Series 04-B, Class A3, 3 mo. LIBOR + .33%, 0.72%, due 03/15/24		6,970,000
	9,000,000	SLM Student Loan Trust, Series 04-B, Class A4, 3 mo. LIBOR + .43%, 0.82%, due 09/15/33		6,300,000
	14,000,000	SLM Student Loan Trust, Series 05-A, Class A3, 3 mo. LIBOR + .20%, 0.59%, due 06/15/23		12,364,548
	13,000,000	SLM Student Loan Trust, Series 06-C, Class A4, 3 mo. LIBOR + .17%, 0.56%, due 03/15/23		12,187,500
	26,324	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.42%, due 09/15/22		26,308
	8,300,809	SLM Student Loan Trust, Series 10-A, Class 2A, 144A, 1 mo. LIBOR + 3.25%, 3.46%, due 05/16/44		8,705,474
	6,000,000	SLM Student Loan Trust, Series 11-B, Class A3, 144A, 1 mo. LIBOR + 2.25%, 2.46%, due 06/16/42		6,144,000
	3,000,000	SLM Student Loan Trust, Series 12-B, Class A2, 144A, 3.48%, due 10/15/30		3,200,340

		Total Student Loans		110,052,892


Shares/ Par Value ($)		Description	Value ($)
		Time Share — 7.7%
	4,332,787	BXG Receivables Note Trust, Series 12-A, Class B, 144A, 3.99%, due 12/02/27		4,401,840
	7,247,537	Marriott Vacation Club Owner Trust, Series 12-1A, Class B, 144A, 3.50%, due 05/20/30		7,384,204
	1,187,955	Orange Lake Timeshare Trust, Series 12-AA, Class B, 4.87%, due 03/10/27		1,232,327
	139,337	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.21%, due 02/20/20		143,561
	332,164	Sierra Receivables Funding Co. LLC, Series 11-1A, Class B, 144A, 4.23%, due 04/20/26		342,739
	6,628,471	Sierra Receivables Funding Co. LLC, Series 12-1A, Class B, 144A, 3.58%, due 11/20/28		6,850,828
	1,626,477	Sierra Receivables Funding Co. LLC, Series 12-2A, Class B, 144A, 3.42%, due 03/20/29		1,641,662
	4,000,000	Sierra Receivables Funding Co. LLC, Series 12-3A, Class B, 144A, 2.66%, due 08/20/29		4,011,875
	15,000,000	Silverleaf Finance LLC, Series 12-D, Class B, 144A, 4.45%, due 03/17/25		14,999,100
	4,482,788	Westgate Resorts LLC, Series 12-1, Class B, 144A, 5.50%, due 09/20/25		4,561,237
	1,820,764	Westgate Resorts LLC, Series 12-2A, Class B, 144A, 4.50%, due 01/20/25		1,834,419
	2,731,146	Westgate Resorts LLC, Series 12-2A, Class C, 144A, 9.00%, due 01/20/25		2,778,941

		Total Time Share		50,182,733

		Total Asset-Backed Securities		578,878,927


		Corporate Debt — 0.2%
	1,290,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		1,304,448


		U.S. Government Agency — 0.2%
	1,161,458	Agency for International Development Floater (Support of Jamaica), 3 mo. LIBOR + .30%, 0.61%, due 10/01/18^(a)		1,128,319
	28,504	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.50%, due 05/01/14^(a)		28,223
	44,927	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.50%, due 05/01/14 ^(a)		44,484
	200,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		222,310

		Total U.S. Government Agency		1,423,336

		TOTAL DEBT OBLIGATIONS (COST $561,663,741)		581,606,711


		MUTUAL FUNDS — 0.5%

		Affiliated Issuers – 0.5%
	120,190	GMO U.S. Treasury Fund		3,004,747


		TOTAL MUTUAL FUNDS (COST $3,004,747)		3,004,747

Par Value ($)

Description

Value ($)

SHORT-TERM
INVESTMENTS — 11.1%

Money Market Funds — 1.5%

9,559,441

State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(b)

9,559,441

U.S. Government — 9.6%

53,000,000

U.S. Treasury Bill, 0.10%,
due 12/27/12 ^(c)

52,996,230

10,000,000

U.S. Treasury Bill, 0.13%,
due 05/30/13 ^(c)

9,993,795

Total U.S. Government

62,990,025

TOTAL SHORT-TERM INVESTMENTS (COST $72,549,466)

72,549,466

TOTAL INVESTMENTS — 100.4% (Cost $637,217,954)

657,160,924

Other Assets and Liabilities (net) — (0.4%)

(2,524,858

)

TOTAL NET ASSETS — 100.0%

$654,636,066

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

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 November 30, 2012, which are subject to change based on the terms of the security.

¿	These securities are primarily backed by subprime mortgages.

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

(b)	The rate disclosed is the 7 day net yield as of November 30, 2012.

(c)	The rate shown represents yield-to-maturity.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 15.8%

		Corporate Debt — 4.1%
	9,312,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		9,416,294


		U.S. Government — 11.7%
	26,599,995	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13^(a)		26,585,445


		TOTAL DEBT OBLIGATIONS (COST $36,202,035)		36,001,739


		MUTUAL FUNDS — 84.1%

		Affiliated Issuers — 84.1%
	45,578,624	GMO Short-Duration Collateral Fund		190,974,436
	1,483	GMO Special Purpose Holding Fund^(b)		875
	14,614	GMO U.S. Treasury Fund		365,351


		TOTAL MUTUAL FUNDS (COST $188,880,008)		191,340,662

A summary of outstanding financial instruments at November 30, 2012 is as follows:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 85.2%

		Albania — 0.5%
		Foreign Government Obligations — 0.5%
EUR	3,760,000	Albania Government International Bond, 7.50%, due 11/04/15		4,792,270
USD	9,639,573	Republic of Albania Par Bond, Zero Coupon, due 08/31/25 ^(a)		5,590,952

				10,383,222


		Argentina — 9.6%
		Foreign Government Obligations — 8.3%
USD	9,000,000	Province of Buenos Aires, Reg S, Step Up, 4.00%, due 05/15/35		3,060,000
EUR	209,874	Republic of Argentina, 1.00%, due 12/31/33 ^(b)		149,441
EUR	34,000,000	Republic of Argentina, Step Up, 2.26%, due 12/31/38		12,823,431
DEM	3,830,000	Republic of Argentina Discount Bond, Series DM, 6 mo. DEM LIBOR + .81%, 1.00%, due 03/31/23 ^(b)		1,935,569
EUR	21,253,125	Republic of Argentina Discount Bond, 5.45%, due 12/31/33		15,133,321
EUR	37,382,938	Republic of Argentina Discount Bond, 5.45%, due 12/31/33		26,375,487
USD	10,390,429	Republic of Argentina Discount Bond, 5.77%, due 12/31/33		5,808,250
EUR	369,156	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		260,457
USD	108,666	Republic of Argentina Discount Bond, PIK Shares, 1.00%, due 12/31/33		60,744
EUR	338,220,524	Republic of Argentina GDP Linked, due 12/15/35 ^(c)		32,990,473
ARS	28,000,000	Republic of Argentina Global Par Bond, Step Up, 1.00%, due 12/31/38 ^(d)		1,825,119
EUR	202,000,000	Republic of Argentina Par Bond, Step Up, 2.26%, due 12/31/38		78,813,377
USD	5,440,000	Republic of Argentina Par Bond, Step Up, 2.50%, due 12/31/38		1,667,360

				180,903,029


		Judgments — 1.3%
USD	32,000,000	Republic of Argentina Discount Bond, Series L-GL, 6 mo. LIBOR + .81%, 6.17%, due 03/31/23 ^{(b) (d) (e)}		19,456,000
USD	15,000,000	Republic of Argentina Global Par Bond, Series L-GP, Step Up, 6.00%, due 03/31/23 ^{(b) (d) (e)}		9,600,000

				29,056,000

		Total Argentina		209,959,029


		Bahrain — 0.2%
		Foreign Government Obligations
USD	4,000,000	Bahrain Government International Bond, Reg S, 6.13%, due 07/05/22		4,345,000


Par Value		Description	Value ($)
		Barbados — 0.1%
		Foreign Government Obligations
USD	2,800,000	Government of Barbados, Reg S, 7.00%, due 08/04/22		2,842,000


		Belize — 0.2%
		Foreign Government Obligations
USD	13,425,000	Government of Belize, Reg S, Step Up, 8.50%, due 02/20/29 ^(b)		5,370,000


		Bosnia & Herzegovina — 0.3%
		Foreign Government Obligations
DEM	12,123,720	Bosnia & Herzegovina, Series A, 6 mo. DEM LIBOR + .81%, 1.70%, due 12/11/17		6,610,677


		Brazil — 4.3%
		Corporate Debt — 0.5%
USD	9,000,000	Petrobras International Finance Co., 6.75%, due 01/27/41		11,221,200


		Foreign Government Agency — 0.5%
USD	9,000,000	Banco Nacional de Desenvolvimento Economico e Social, Reg S, 5.50%, due 07/12/20		10,552,500


		Foreign Government Obligations — 3.3%
USD	1,683,333	Brazilian Government International Exit Bonds, 6.00%, due 09/15/13		1,708,583
USD	23,070	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		23,531
USD	18,840	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		19,217
USD	24,000	Brazilian Government International Exit Bonds, Odd Lot, 6.00%, due 09/15/13		24,480
USD	42,000,000	Republic of Brazil, 8.25%, due 01/20/34		70,770,000

				72,545,811

		Total Brazil		94,319,511


		Colombia — 1.0%
		Foreign Government Agency — 0.3%
USD	5,000,000	Ecopetrol SA, 7.63%, due 07/23/19		6,412,500


		Foreign Government Obligations — 0.7%
USD	8,000,000	Republic of Colombia, 8.70%, due 02/15/16		9,700,000
USD	3,800,000	Republic of Colombia, 11.85%, due 03/09/28 ^(d)		6,584,060

				16,284,060

		Total Colombia		22,696,560

Par Value

Description

Value ($)

Congo Republic (Brazzaville) — 4.0%

Foreign Government Obligations

USD

103,690,600

Republic of Congo, Reg S, Series INTL, Step Up, 3.00%, due 06/30/29

87,618,557

Costa Rica — 0.1%

Foreign Government Agency

USD

2,000,000

Instituto Costarricense de Electricidad, Reg S, 6.95%, due 11/10/21

2,255,000

Croatia — 0.4%

Foreign Government Obligations

USD

8,000,000

Croatia Government International Bond, Reg. S, 6.38%, due 03/24/21

9,130,000

Dominican Republic — 3.3%

Asset-Backed Securities — 1.2%

USD

27,052,008

Autopistas Del Nordeste Ltd., Reg S, 9.39%, due 01/15/26 ^(d)

25,556,449

Foreign Government Obligations — 2.1%

USD

8,000,000

Dominican Republic, Reg S, 8.63%, due 04/20/27

9,440,000

USD

39,057,000

Dominican Republic Discount Bond, 6 mo. LIBOR + .81%, 1.34%, due 08/30/24

35,932,440

45,372,440

Total Dominican Republic

70,928,889

Ecuador — 0.1%

Foreign Government Obligations

USD

11,587,000

Republic of Ecuador, Step Up, Reg S, due 08/15/30 ^(b)

2,317,400

USD

982,631

Republic of Ecuador PDI (Global Bearer Capitalization Bond), PIK, 6 mo. LIBOR + .81%, 1.50%, due 02/27/15

729,603

Total Ecuador

3,047,003

El Salvador — 0.5%

Foreign Government Obligations

USD

10,000,000

El Salvador Government International Bond, Reg S, 7.63%, due 02/01/41

11,100,000

Gabon — 0.3%

Foreign Government Obligations

USD

5,000,000

Gabonese Republic, Reg S, 8.20%, due 12/12/17

6,043,750

Greece — 0.4%

Foreign Government Obligations

EUR

20,882,000

Hellenic Republic Government Bond, Step Up, 2.00%, due 02/24/36

7,662,784

Par Value

Description

Value ($)

Grenada — 0.2%

Foreign Government Obligations

USD

9,000,000

Republic of Grenada, Reg S, Step Up, 4.50%, due 09/15/25

4,050,000

Hungary — 0.3%

Foreign Government Obligations

USD

5,500,000

Hungary Government International Bond, 7.63%, due 03/29/41

6,297,500

Iceland — 0.6%

Foreign Government Obligations

USD

11,000,000

Iceland Government International Bond, Reg S, 5.88%, due 05/11/22

12,045,000

Indonesia — 2.6%

Foreign Government Agency

USD

10,600,000

Majapahit Holding BV, Reg S, 7.75%, due 01/20/20

13,303,000

USD

31,000,000

Majapahit Holding BV, Reg S, 7.88%, due 06/29/37

42,547,500

Total Indonesia

55,850,500

Iraq — 0.6%

Foreign Government Obligations

USD

15,000,000

Republic of Iraq, Reg S, 5.80%, due 01/15/28

14,100,000

Israel — 0.1%

Foreign Government Agency

USD

3,000,000

Israel Electric Corp Ltd., Reg S, 7.88%, due 12/15/26

3,195,000

Ivory Coast — 1.0%

Foreign Government Obligations

USD

25,265,000

Ivory Coast Government International Bond, Reg S, Step Up, 2.50%, due 12/31/32

22,659,546

Jamaica — 0.1%

Corporate Debt

USD

3,000,000

National Road Operating & Construction Co. Ltd., Reg S, 9.38%, due 11/10/24

3,060,000

Latvia — 0.2%

Foreign Government Obligations

USD

4,000,000

Republic of Latvia, Reg S, 5.25%, due 06/16/21

4,580,000

Lithuania — 0.7%

Foreign Government Obligations

USD

11,500,000

Republic of Lithuania, Reg S, 6.63%, due 02/01/22

14,490,000

Par Value

Description

Value ($)

Mexico — 8.6%

Foreign Government
Agency — 2.4%

EUR

34,500,000

Pemex Project Funding Master Trust,
Reg S, 5.50%, due 02/24/25

51,234,119

Foreign Government
Obligations — 6.2%

GBP

27,994,000

United Mexican States, GMTN, 6.75%, due 02/06/24

55,166,247

USD

66,400,000

United Mexican States, 5.75%, due 10/12/2110

80,012,000

135,178,247

Total Mexico

186,412,366

Mongolia — 0.6%

Foreign Government Obligations

USD

12,000,000

Mongolia Government International Bond, 144A, 5.13%, due 12/05/22

12,045,000

Montenegro — 0.1%

Foreign Government Obligations

EUR

2,000,000

Montenegro Government International Bond, 7.25%, due 04/08/16

2,575,091

Nigeria — 0.3%

Foreign Government Obligations

USD

6,100,000

Nigeria Government International Bond, Reg S, 6.75%, due 01/28/21

7,121,750

Pakistan — 0.6%

Foreign Government Obligations

USD

17,000,000

Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36

12,580,000

Panama — 0.1%

Foreign Government Obligations

USD

1,535,000

Panama Government International Bond, 8.13%, due 04/28/34

2,210,400

Peru — 1.1%

Foreign Government Agency — 0.4%

USD

12,452,000

Peru Enhanced Pass-Through Finance Ltd., Reg S, Zero Coupon, due 06/02/25

8,342,840

Foreign Government
Obligations — 0.7%

USD

5,000,000

Peru Par Bond, Series 30 Yr., Step Up, 4.00%, due 03/07/27

5,012,500

USD

3,784,333

Peru Trust, Series 97-I-P, Class A3, Zero Coupon, due 12/31/15 ^(d) (f)

567,650

USD

1,253,404

Peru Trust, Series 98 I-P, Zero Coupon, due 03/10/16 ^(d) (f)

188,010

USD

1,356,611

Peru Trust II, Series 98-A LB, Zero Coupon, due 02/28/16 ^(d) (f)

203,492


Par Value		Description	Value ($)
		Foreign Government Obligations (continued)
USD	8,000,000	Republic of Peru, 5.63%, due 11/18/50		10,520,000

				16,491,652

		Total Peru		24,834,492


		Philippines — 5.3%
		Foreign Government Agency — 4.8%
USD	25,651,000	Central Bank of Philippines, Series A, 8.60%, due 06/15/27		39,759,050
USD	40,550,000	National Power Corp., Global Bond, 9.63%, due 05/15/28		64,880,000

				104,639,050


		Foreign Government Obligations — 0.5%
USD	8,000,000	Republic of Philippines, 5.50%, due 03/30/26		10,220,000

		Total Philippines		114,859,050


		Qatar — 0.3%
		Foreign Government Obligations
USD	5,000,000	Qatar Government International Bond, Reg S, 5.75%, due 01/20/42		6,512,500


		Romania — 0.3%
		Foreign Government Obligations
USD	6,000,000	Romanian Government International Bond, Reg S, 6.75%, due 02/07/22		7,101,000


		Russia — 5.6%
		Corporate Debt — 5.0%
USD	13,200,000	Gaz Capital SA, Reg S, 9.25%, due 04/23/19		17,143,500
USD	12,000,000	Gazprom Neft OAO Via GPN Capital SA, Reg. S, 4.38%, due 09/19/22		12,120,000
USD	12,000,000	Gazprom OAO Via Gaz Capital SA, Reg S, 8.63%, due 04/28/34		17,100,000
USD	12,000,000	Sberbank of Russia Via SB Capital SA, 144A, 5.13%, due 10/29/22		12,105,000
USD	3,000,000	Sberbank of Russia Via SB Capital SA, Reg S, 5.72%, due 06/16/21		3,270,000
USD	14,900,000	Transcapital Ltd. (Transneft), Reg S, 8.70%, due 08/07/18		19,370,000
USD	26,600,000	VTB Capital SA, Reg S, 6.25%, due 06/30/35		28,329,000

				109,437,500


		Foreign Government Obligations — 0.6%
USD	10,000,000	Russian Foreign Bond - Eurobond, Reg S, 5.63%, due 04/04/42		12,437,500

		Total Russia		121,875,000

Par Value

Description

Value ($)

Senegal — 0.3%

Foreign Government Obligations

USD

4,750,000

Republic of Senegal, Reg S, 8.75%, due 05/13/21

5,646,562

Serbia — 1.8%

Foreign Government Obligations

USD

11,972,824

Republic of Serbia, Reg S, Step Up, 6.75%, due 11/01/24

12,002,756

USD

24,000,000

Republic of Serbia, 7.25%, due 09/28/21

27,000,000

Total Serbia

39,002,756

South Africa — 0.3%

Foreign Government Agency

ZAR

163,000,000

Eskom Holdings Ltd., Zero Coupon, due 12/31/32

3,116,845

ZAR

20,000,000

Transnet Ltd., 13.50%, due 04/18/28

2,870,445

Total South Africa

5,987,290

South Korea — 1.1%

Foreign Government Agency

USD

8,000,000

Export-Import Bank of Korea, 5.13%,
due 06/29/20

9,304,800

USD

5,000,000

Korea Gas Corp., Reg S, 6.25%, due 01/20/42

6,865,900

USD

8,000,000

Korea Hydro & Nuclear Power Co. Ltd., Reg S, 4.75%, due 07/13/21

8,231,840

Total South Korea

24,402,540

Sri Lanka — 0.5%

Foreign Government Obligations

USD

8,500,000

Republic of Sri Lanka, Reg S, 6.25%,
due 07/27/21

9,265,000

USD

2,000,000

Sri Lanka Government International Bond, 144A, 5.88%, due 07/25/22

2,157,500

Total Sri Lanka

11,422,500

Thailand — 0.5%

Foreign Government Agency

USD

7,000,000

PTT PCL, 144A, 4.50%, due 10/25/42

6,877,500

USD

4,000,000

PTTEP Canada International Finance Ltd., Reg S, 5.69%, due 04/05/21

4,609,400

Total Thailand

11,486,900

Trinidad And Tobago — 0.5%

Foreign Government Agency

USD

8,000,000

Petroleum Company of Trinidad and Tobago Ltd., Reg S, 9.75%, due 08/14/19

10,540,000


Par Value		Description	Value ($)
		Tunisia — 0.4%
		Foreign Government Agency
JPY	760,000,000	Banque Centrale De Tunisie, Series 6BR, 4.35%, due 08/15/17		9,380,724


		Turkey — 4.2%
		Corporate Debt — 0.3%
USD	5,000,000	Turkiye Halk Bankasi AS, Reg S, 4.88%, due 07/19/17		5,381,500


		Foreign Government Agency — 0.1%
USD	2,000,000	Export Credit Bank of Turkey, Reg S, 5.38%, due 11/04/16		2,205,000


		Foreign Government Obligations — 3.8%
USD	60,000,000	Republic of Turkey, 6.75%, due 05/30/40		82,950,000

		Total Turkey		90,536,500


		Ukraine — 1.0%
		Foreign Government Obligations
USD	4,000,000	City of Kyiv Via Kyiv Finance PLC, Reg S, 9.38%, due 07/11/16		3,640,000
USD	10,000,000	Ukraine Government International Bond, 144A, 7.80%, due 11/28/22		10,175,000
USD	8,000,000	Ukraine Government International Bond, Reg S, 7.95%, due 02/23/21		8,450,000

		Total Ukraine		22,265,000


		United States — 5.6%
		Asset-Backed Securities — 2.5%
USD	2,971,367	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		1,337,115
USD	137,449	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.55%, due 10/25/34		96,421
USD	994,186	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.65%, due 10/25/30		721,282
USD	15,102,309	Countrywide Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, 1 mo. LIBOR + .24%, 0.45%, due 12/15/35¿		8,910,362
USD	11,345,844	Countrywide Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, 1 mo. LIBOR + .24%, 0.45%, due 12/15/35¿		5,672,922
USD	6,046,795	Countrywide Home Equity Loan Trust, Series 06-D, Class 2A, XL, 1 mo. LIBOR + .20%, 0.41%, due 05/15/36¿		2,781,525
USD	3,427,501	First Franklin Mortgage Loan Asset Backed Certificates, Series 05-FF10, Class A6M, 1 mo. LIBOR + .35%, 0.56%, due 11/25/35¿		710,864


Par Value		Description	Value ($)
		Asset-Backed Securities (continued)
USD	452,930	GSAMP Trust, Series 05-HE6, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35¿		452,296
USD	9,250,000	Home Equity Asset Trust, Series 07-1, Class 2A4, 1 mo. LIBOR + .23%, 0.44%, due 05/25/37¿		1,110,000
USD	8,271,175	IXIS Real Estate Capital Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36¿		2,894,911
USD	11,998,199	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.37%, due 10/25/36¿		5,399,190
USD	4,864,998	Morgan Stanley Capital, Inc., Series 06-NC3, Class A2C, 1 mo. LIBOR + .17%, 0.38%, due 03/25/36¿		4,086,598
USD	13,821,757	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36¿		5,597,811
USD	14,006,047	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, 1 mo. LIBOR + .22%, 0.43%, due 11/25/36¿		5,322,298
USD	12,868,000	Option One Mortgage Loan Trust, Series 06-3, Class 2A4, 1 mo. LIBOR + .22%, 0.43%, due 02/25/37¿		4,825,500
USD	7,744,606	Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, 1 mo. LIBOR + .36%, 0.57%, due 04/25/37¿		3,291,458

				53,210,553


		U.S. Government — 3.1%
USD	20,000,000	U.S. Treasury Bond, 3.00%, due 05/15/42 ^(g)		20,856,240
USD	47,617,275	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^(c) (g)		47,591,229

				68,447,469

		Total United States		121,658,022


		Uruguay — 0.7%
		Foreign Government Obligations
USD	15,000,000	Uruguay Government International Bond, 4.13%, due 11/20/45		15,000,000


		Venezuela — 13.2%
		Foreign Government Agency — 7.8%
USD	46,500,000	Electricidad de Caracas Finance BV, 8.50%, due 04/10/18		38,130,000
USD	9,000,000	Petroleos de Venezuela SA, Reg S, 8.50%, due 11/02/17		8,505,000
USD	33,500,000	Petroleos de Venezuela SA, Reg S, 12.75%, due 02/17/22		36,180,000


Par Value		Description	Value ($)
		Foreign Government Agency (continued)
USD	97,750,000	Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21		87,486,250

				170,301,250


		Foreign Government Obligations — 5.4%
USD	110,000,000	Republic of Venezuela, Reg S, 11.95%, due 08/05/31		116,325,000

		Total Venezuela		286,626,250


		Vietnam — 0.2%
		Foreign Government Obligations
USD	4,000,000	Socialist Republic of Vietnam, Series 30 Yr., 6 mo. LIBOR + .81%, 1.50%, due 03/13/28		3,520,000


		Zambia — 0.3%
		Foreign Government Obligations
USD	6,000,000	Zambia Government International Bond, Reg S, 5.38%, due 09/20/22		5,970,000


		TOTAL DEBT OBLIGATIONS (COST $1,736,990,377)		1,856,211,221


		LOAN ASSIGNMENTS — 1.2%
		Angola — 0.2%
USD	2,300,000	Angolan Ministry of Finance Loan Agreement, 6 mo. LIBOR + 5.50%, 6.22%, due 03/07/13		2,311,500
USD	2,300,000	Angolan Ministry of Finance Loan Agreement, 6 mo. LIBOR + 5.50%, 6.22%, due 07/08/13		2,300,000

		Total Angola		4,611,500


		Dominican Republic — 0.1%
USD	2,400,105	Dominican Republic, 6 mo. LIBOR + 1.75%, 2.47%, due 08/15/15		2,115,319


		Indonesia — 0.6%
USD	329,999	Republic of Indonesia Loan Agreement, 6 mo. LIBOR +.88%, 1.25%, due 03/29/13		313,499
EUR	1,660,872	Republic of Indonesia, Indonesia Paris Club Debt, 4.00%, due 06/01/21		1,609,236
USD	2,714,400	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.25%, due 12/14/19		2,483,676
USD	2,714,400	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.25%, due 12/14/19		2,483,676
USD	3,619,200	Republic of Indonesia Loan Agreement, dated June 14, 1995, 6 mo. LIBOR + .88%, 1.25%, due 12/14/19		3,311,568
USD	1,972,339	Republic of Indonesia Loan Agreement, dated September 29, 1994, 6 mo. LIBOR + .88%, 1.63%, due 12/16/19		1,804,690


Par Value		Description	Value ($)
		Indonesia — (continued)
JPY	16,200,001	Republic of Indonesia Loan Agreement, 6 mo. JPY TIBOR + .88%, 1.20%, due 03/28/13		186,692

		Total Indonesia		12,193,037


		Vietnam — 0.3%
USD	18,000,000	Vietnam Shipbuilding Industry Group Loan Agreement, 6 mo. LIBOR + 1.50%, 4.63%, due 06/26/15 ^(b)		6,660,000


		TOTAL LOAN ASSIGNMENTS (COST $34,230,143)		25,579,856


		LOAN PARTICIPATIONS — 3.7%
		Egypt — 0.1%
CHF	3,073,682	Paris Club Loan Agreement (Participation with Standard Chartered Bank), due 01/03/24		2,647,204


		Indonesia — 0.5%
JPY	95,774,664	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY TIBOR +.88%, 1.20%, due 03/28/13		1,103,729
USD	8,213,508	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 6 mo. LIBOR +.88%, 1.52%, due 09/29/19		7,515,360
USD	3,451,872	Republic of Indonesia Loan Agreement (Participation with Deutsche Bank), 3 mo. LIBOR + 1.25%, 1.56%, due 02/12/13		3,279,279

		Total Indonesia		11,898,368


		Iraq — 2.1%
JPY	4,491,979,926	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		40,676,125
JPY	586,937,480	Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), due 01/01/28		4,411,983

		Total Iraq		45,088,108


		Russia — 0.2%
EUR	57,042,402	Russian Foreign Trade Obligations (Participation with GML International Ltd.), ^(b) (d)		3,307,970


		Vietnam — 0.8%
JPY	1,711,281,927	Socialist Republic of Vietnam Loan Agreement (Participation with Deutsche Bank), 6 mo. JPY LIBOR + .60%, 0.93%, due 09/01/17		18,164,271


		TOTAL LOAN PARTICIPATIONS (COST $73,192,850)		81,105,921


Shares/ Par Value($)		Description	Value ($)
		MUTUAL FUNDS — 2.5%

		United States — 2.5%
		Affiliated Issuers
	3,976,082	GMO Short-Duration Collateral Fund		16,659,784
	21,409	GMO Special Purpose Holding Fund ^(h)		12,631
	1	GMO U.S. Treasury Fund		31
	1,515,449	GMO World Opportunity Overlay Fund		37,946,835


		TOTAL MUTUAL FUNDS (COST $52,541,674)		54,619,281


		RIGHTS/WARRANTS — 0.5%

		Nigeria — 0.2%
	25,000	Central Bank of Nigeria Oil Warrants, Expires 11/15/20		4,500,000


		Uruguay — 0.0%
	4,000,000	Banco Central Del Uruguay Value Recovery Rights, VRRB, Expires 01/02/21 *^(d)		—


		Venezuela — 0.3%
	211,805	Republic of Venezuela Oil Warrants, Expires 04/15/20		6,407,101


		TOTAL RIGHTS/WARRANTS (COST $0)		10,907,101


		SHORT-TERM INVESTMENTS — 5.9%

		Money Market Funds — 1.3%
	28,052,356	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03% ⁽ⁱ⁾		28,052,356


		Repurchase Agreements — 4.6%
	19,996,528	JP Morgan Chase Bank Repurchase Agreement, dated 11/15/12, with a maturity value of $20,004,027 and an effective yield of 0.45%, collateralized by an emerging sovereign government obligation with a rate of 11.885, maturity date of 01/15/30 and a market value of $19,940,000. ^(j)		19,996,528
	59,999,265	Barclays Bank Repurchase Agreement, dated 11/14/12, with a maturity value of $60,009,265 and an effective yield of 0.20%, collateralized by U.S. government obligations with rates of 4.13%, 2.375% and 0.125%, maturity dates of 05/15/15, 01/15/25 and 01/15/22, and market values of $58,838,992, $644,302 and $285, 684, respectively. ^(j)		59,999,265

Par Value($)

Description

Value ($)

Repurchase Agreements (continued)

20,507,750

JP Morgan Chase Bank Repurchase Agreement, dated 11/19/12, with a maturity value of $20,513,492 and an effective yield of 0.36%, collateralized by an emerging sovereign government obligation with a rate of 8.25%, maturity date of 01/20/34 and a market value of $20,340,000. ^(j)

20,507,750

Total Repurchase Agreements
(COST $100,503,543)

100,503,543

TOTAL SHORT-TERM
INVESTMENTS
(COST $128,555,899)

128,555,899

TOTAL INVESTMENTS — 99.0%
(Cost $2,025,510,943)

2,156,979,279

Other Assets and Liabilities (net) — 1.0%

22,633,021

TOTAL NET ASSETS — 100.0%

$2,179,612,300

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements. The Fund had no reverse repurchase agreements outstanding at the end of the period.

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

DEM LIBOR - London Interbank Offered Rate denominated in Deutsche Marks.

EMBI - Emerging Markets Bond Index

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

JPY TIBOR – Tokyo Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

PDI - Past Due Interest

PIK - Payment In Kind

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

VRRB - Variable Rate Reduction Bond

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at November 30, 2012, which are subject to change based on the terms of the security.

¿	These securities are primarily backed by subprime mortgages.

*	Non-income producing security.

(a)	Security is backed by U.S. Treasury Bonds.

(b)	Security is in default.

(c)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

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

(e)	Security represents a judgment against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by the Fund. See “Other matters” for additional information.

(f)	These Peru Trust securities are currently in default. See “Other matters” for additional information.

(g)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

(h)	Underlying investment represents interests in defaulted claims. See “Other matters” for additional information.

(i)	The rate disclosed is the 7 day net yield as of November 30, 2012.

(j)	Repurchase Agreements have an open maturity date and can be closed on demand.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Par Value

Description

Value ($)

DEBT OBLIGATIONS — 42.0%

Canada — 2.8%

Foreign Government Obligations

CAD

2,000,000

Government of Canada, 3.50%, due 06/01/20

2,293,713

CAD

1,500,000

Government of Canada, 8.00%, due 06/01/23

2,408,426

Total Canada

4,702,139

France — 2.7%

Foreign Government Obligations

EUR

3,000,000

Government of France, 4.00%, due 10/25/38

4,557,715

Germany — 1.1%

Foreign Government Obligations

EUR

1,000,000

Republic of Deutschland, 4.75%, due 07/04/34

1,868,631

Italy — 1.8%

Foreign Government Obligations

EUR

2,400,000

Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34

3,088,236

Japan — 18.1%

Foreign Government Obligations

JPY

2,200,000,000

Japan Government Twenty Year Bond, 2.20%, due 06/20/26

30,254,770

Spain — 1.3%

Foreign Government Obligations

EUR

2,000,000

Government of Spain, 4.70%, due 07/30/41

2,153,426

United Kingdom — 7.0%

Foreign Government Obligations

GBP

5,500,000

United Kingdom Gilt, 4.75%, due 12/07/30

11,663,337

United States — 7.2%

U.S. Government

USD

3,174,485

U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^(a)(b)

3,172,749

USD

10,000,000

U.S. Treasury Principal Strip Bond, due 11/15/21

8,810,500

Total United States

11,983,249

TOTAL DEBT OBLIGATIONS

(COST $62,826,698)

70,271,503


Shares/ Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 56.1%

		United States — 56.1%

		Affiliated Issuers
	717,492	GMO Emerging Country Debt Fund, Class IV		7,612,595
	7,873,225	GMO Short-Duration Collateral Fund		32,988,815
	45,838	GMO Special Purpose Holding Fund ^(c)		27,045
	777,533	GMO U.S. Treasury Fund		19,438,322
	1,351,177	GMO World Opportunity Overlay Fund		33,833,460


		TOTAL MUTUAL FUNDS (COST $96,391,613)		93,900,237


		SHORT-TERM INVESTMENTS — 2.2%
		Money Market Funds — 0.3%
	434,401	State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(d)		434,401


		U.S. Government — 1.9%
	3,150,000	U.S. Treasury Bill, 0.16%, due 10/17/13 ^{(a) (e)}		3,145,625


		TOTAL SHORT-TERM INVESTMENTS (COST $3,579,457)		3,580,026


		TOTAL INVESTMENTS — 100.3% (Cost $162,797,768)		167,751,766
		Other Assets and Liabilities (net) — (0.3%)		(429,675	)


		TOTAL NET ASSETS — 100.0%		$167,322,091

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

BOBL - Bundesobligationen

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

(a)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(c)	Underlying investment represents interests in defaulted claims. See “Other matters” for additional information.

(d)	The rate disclosed is the 7 day net yield as of November 30, 2012.

(e)	The rate shown represents yield-to-maturity.

Counterparty Abbreviations

BCLY - Barclays Bank PLC

CITI - Citibank N.A.

DB - Deutsche Bank AG

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 45.2%

		U.S. Government — 45.2%
	546,635	U.S. Treasury Inflation Indexed Bond, 1.25%, due 04/15/14 ^(a)		563,077
	819,160	U.S. Treasury Inflation Indexed Bond, 0.75%, due 02/15/42 ^(a)		912,787
	1,022,260	U.S. Treasury Inflation Indexed Bond, 0.13%, due 01/15/22 ^(a)		1,120,173
	1,284,576	U.S. Treasury Inflation Indexed Bond, 2.13%, due 02/15/40 ^(a)		1,912,613
	2,209,428	U.S. Treasury Inflation Indexed Bond, 2.38%, due 01/15/25 ^(a)		3,007,411
	4,159,670	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^(a)(b)		4,157,395

		Total U.S. Government		11,673,456


		TOTAL DEBT OBLIGATIONS (COST $10,882,629)		11,673,456

		MUTUAL FUNDS — 49.3%

		Affiliated Issuers — 49.3%
	106,217	GMO Emerging Country Debt Fund, Class IV		1,126,965
	1,338,468	GMO Short-Duration Collateral Fund		5,608,181
	28,918	GMO Special Purpose Holding Fund ^(c)		17,062

Shares/
Par Value ($)

Description

Value ($)

Affiliated Issuers (continued)

14,341

GMO U.S. Treasury Fund

358,519

223,733

GMO World Opportunity Overlay Fund

5,602,269

Total Affiliated Issuers

12,712,996

TOTAL MUTUAL FUNDS (COST $10,621,190)

12,712,996

SHORT-TERM
INVESTMENTS — 5.3%

Money Market Funds — 1.2%

316,210

State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(d)

316,210

U.S. Government — 4.1%

1,050,000

U.S. Treasury Bill, 0.16%, due 10/17/13 ^(e)

1,048,542

TOTAL SHORT-TERM INVESTMENTS (COST $1,364,577)

1,364,752

TOTAL INVESTMENTS — 99.8% (Cost $22,868,396)

25,751,204

Other Assets and Liabilities
(net) — 0.2%

50,755

TOTAL NET ASSETS — 100.0%

$25,801,959

A summary of outstanding financial instruments at November 30, 2012 is as follows:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Par Value/

Shares

Description

Value ($)

DEBT OBLIGATIONS — 43.1%

Canada — 4.7%

Foreign Government Obligations

CAD

3,000,000

Government of Canada, 3.50%, due 06/01/20

3,440,570

France — 4.2%

Foreign Government Obligations

EUR

2,000,000

Government of France, 4.00%, due 10/25/38

3,038,477

Italy — 2.2%

Foreign Government Obligations

EUR

1,250,000

Buoni Poliennali Del Tesoro, 5.00%, due 08/01/34

1,608,456

Japan — 20.4%

Foreign Government Obligations

JPY

250,000,000

Japan Government Thirty Year Bond, 2.20%, due 03/20/41

3,226,815

JPY

848,400,000

Japan Government Twenty Year Bond, 2.20%, due 06/20/26

11,667,339

Total Japan

14,894,154

Spain — 1.6%

Foreign Government Obligations

EUR

1,100,000

Government of Spain, 4.70%, due 07/30/41

1,184,384

United Kingdom — 5.2%

Foreign Government Obligations

GBP

1,800,000

United Kingdom Gilt, 4.75%, due 12/07/30

3,817,092

United States — 4.8%

U.S. Government

USD

3,456,905

U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13^(a) (b)

3,455,014

TOTAL DEBT OBLIGATIONS
(COST $30,172,192)

31,438,147


Shares/ Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 55.4%

		United States — 55.4%
		Affiliated Issuers
	282,763	GMO Emerging Country Debt Fund, Class IV		3,000,116
	3,980,527	GMO Short-Duration Collateral Fund		16,678,409
	37,466	GMO Special Purpose Holding Fund^(c)		22,105
	216,247	GMO U.S. Treasury Fund		5,406,164
	611,477	GMO World Opportunity Overlay Fund		15,311,378


		TOTAL MUTUAL FUNDS (COST $36,292,476)		40,418,172


		SHORT-TERM INVESTMENTS — 2.2%

		Money Market Funds — 0.5%

	333,382	State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(d)		333,382


		Total Money Market Funds (COST $333,382)		333,382


		U.S. Government — 1.7%
	1,250,000	U.S. Treasury Bill, 0.16%, due 10/17/13 ^(a) (e)		1,248,264


		Total U.S. Government (COST $1,248,049)		1,248,264


		TOTAL SHORT-TERM INVESTMENTS (COST $1,581,431)		1,581,646


		TOTAL INVESTMENTS — 100.7% (Cost $68,046,099)		73,437,965
		Other Assets and Liabilities (net) — (0.7%)		(500,724	)


		TOTAL NET ASSETS — 100.0%		$72,937,241

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund has entered into reverse repurchase agreements. The fund had no reverse repurchase agreements outstanding at the end of the period.

Receive - Fund receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. (Pay) - Fund pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional

amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(1)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on the reference security, as of November 30, 2012, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

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

As of November 30, 2012, for the above contracts and/or agreements, the fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 93.0%

		Asset-Backed Securities — 89.5%
		Airlines — 1.5%
	14,411,131	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		6,485,009
	5,121,796	Continental Airlines, Inc., Series 99-1A, 6.55%, due 08/02/20		5,659,585

		Total Airlines		12,144,594


		Business Loans — 7.6%
	1,978,082	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.57%, due 04/25/34		1,760,493
	1,722,143	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.58%, due 01/25/35		1,498,264
	7,175,680	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		5,310,003
	6,856,204	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.45%, due 07/25/37		5,210,715
	25,706,863	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.51%, due 12/25/37		22,879,108
	5,159,424	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 05/28/39		1,921,885
	5,378,974	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.51%, due 05/28/39		1,753,545
	8,717,924	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 02/28/40		4,794,858
	1,929,162	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		1,708,273
	4,090,970	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		3,438,460
	5,308,428	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/25/30		4,438,218
	3,346,355	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 09/25/30		2,792,533
	5,961,873	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.06%, due 10/25/37		5,416,660

		Total Business Loans		62,923,015


		CMBS — 7.7%
	919,495	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		919,495


Par Value ($)		Description	Value ($)
		CMBS — (continued)
	32,300,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		30,039,000
	1,341,521	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		1,341,521
	10,360,771	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		10,360,771
	3,791,877	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		3,791,877
	6,300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		6,292,440
	8,969,059	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.83%, due 05/12/39		9,236,337
	1,605,489	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.82%, due 10/15/42		1,627,179

		Total CMBS		63,608,620


		CMBS Collateralized Debt Obligations — 2.7%
	4,398,348	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.11%, due 11/23/52		10,996
	2,717,688	Crest Exeter Street Solar, Series 04-1A, Class A1, 144A, 3 mo. LIBOR + .35%, 0.71%, due 06/28/19		2,554,626
	2,705,005	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		2,718,530
	19,035,161	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.54%, due 05/25/46		17,226,821

		Total CMBS Collateralized Debt Obligations		22,510,973


		Corporate Collateralized Debt Obligations — 4.1%
	34,200,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.67%, due 06/20/13		34,230,780


		Credit Cards — 3.3%
	16,400,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.30%, due 06/16/15		16,400,000
	10,600,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		10,600,424

		Total Credit Cards		27,000,424


		Insured Business Loans — 0.2%
	1,869,071	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.65%, due 10/25/30		1,356,011


Par Value ($)		Description	Value ($)
		Insured Other — 2.8%
	1,827,500	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.51%, due 04/17/19		1,820,647
	8,103,750	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		7,531,739
	7,556,180	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		7,041,711
	5,153,051	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.60%, due 01/05/14		4,341,445
	2,988,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		473,598
	26,300,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		1,972,500

		Total Insured Other		23,181,640


		Insured Residential Asset-Backed Securities (United States) ¿ — 1.2%
	1,812,080	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.63%, due 07/25/34		1,576,509
	2,058,083	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.59%, due 12/25/33		1,872,856
	552,711	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 03/25/34		480,859
	7,057,955	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.43%, due 11/25/35		5,822,813

		Total Insured Residential Asset-Backed Securities (United States)		9,753,037


		Insured Residential Mortgage-Backed Securities (United States) — 1.3%
	384,858	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.55%, due 10/25/34		269,978
	835,666	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 01/25/35		599,591
	7,476,813	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		4,598,240
	4,006,118	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.44%, due 10/25/34		3,137,591
	160,917	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.67%, due 07/25/29		117,825
	224,174	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		142,461
	407,948	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.65%, due 06/25/34		287,603


Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — (continued)
	96,633	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.50%, due 12/25/32		71,267
	2,104,703	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35		2,001,783

		Total Insured Residential Mortgage-Backed Securities (United States)		11,226,339


		Insured Time Share — 0.7%
	1,325,925	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.36%, due 03/20/19		1,312,873
	4,505,568	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		4,496,156

		Total Insured Time Share		5,809,029


		Residential Asset-Backed Securities (United States) ¿ — 33.0%
	977,554	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.60%, due 01/25/35		834,587
	2,223,670	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.35%, due 02/25/36		806,080
	3,579,630	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 03/25/36		3,351,429
	446,673	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		441,089
	19,119,052	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 10/25/36		8,268,990
	4,676,869	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 05/25/36		2,572,278
	630,473	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.30%, due 06/25/36		371,979
	9,288,614	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 04/25/36		6,803,910
	3,158,752	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 09/25/35		1,129,254
	7,104,537	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.41%, due 06/25/36		1,269,936
	8,258,309	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.55%, due 06/25/36		1,403,913


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — (continued)
	5,029,470	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.30%, due 01/25/37		1,697,446
	2,551,643	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.28%, due 11/25/36		822,905
	11,754,792	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.61%, due 05/25/37		602,433
	2,881,081	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.25%, due 05/25/34		2,686,158
	47,772,859	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		17,183,300
	7,287,622	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36		2,423,134
	9,922,438	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 03/25/36		3,968,975
	276,273	Argent Securities, Inc., Series 06-W4, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 05/25/36		93,933
	7,848,819	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		2,369,362
	8,417,759	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.36%, due 10/25/36		6,053,211
	15,690,871	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.43%, due 05/25/37		12,223,189
	3,107,368	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.32%, due 11/25/36		2,010,778
	8,500,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 11/25/36		1,354,900
	1,711,944	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.53%, due 02/25/37		775,339
	282,936	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 02/25/37		282,201
	38,100,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 02/25/37		28,087,320
	6,936,857	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.37%, due 06/25/36		6,798,120
	90,965	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.75%, due 04/25/33		83,861
	879	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.62%, due 10/25/34		861


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — (continued)
	11,690,760	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 12/25/36		4,500,943
	31,050,109	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.35%, due 02/25/37		26,550,948
	408,890	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.51%, due 04/25/34		292,101
	9,471,573	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 04/25/36		6,476,188
	3,512,198	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.40%, due 05/25/36		1,827,441
	1,253,109	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		318,564
	18,673,812	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36		6,535,834
	12,570,369	GE-WMC Mortgage Securities, Series 06-1, Class A2B, 1 mo. LIBOR + .15%, 0.36%, due 08/25/36		5,028,148
	2,290,705	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		2,048,749
	1,984,071	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		1,836,506
	6,921,255	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.37%, due 01/20/36		6,451,908
	25,248,604	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.33%, due 12/25/36		8,781,464
	1,323,229	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.46%, due 10/25/35		1,290,148
	14,297,875	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36		8,971,917
	10,596,386	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		4,702,146
	19,862,493	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 08/25/36		5,660,810
	13,290,313	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.37%, due 10/25/36		5,980,641
	5,377,916	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 03/25/36		1,129,362
	4,245,254	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.33%, due 02/25/37		1,555,885


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — (continued)
	1,635,799	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 1.01%, due 08/25/34		1,488,577
	31,970,816	Morgan Stanley Capital, Inc., Series 07-HE4, Class A2C, 1 mo. LIBOR + .23%, 0.44%, due 02/25/37		13,747,451
	11,575,022	Morgan Stanley Home Equity Loans, Series 06-3, Class A3, 1 mo. LIBOR + .16%, 0.37%, due 04/25/36		7,408,014
	2,028,380	Morgan Stanley Home Equity Loans, Series 07-2, Class A1, 1 mo. LIBOR + .10%, 0.31%, due 04/25/37		1,338,731
	8,753,779	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		3,545,281
	5,460,251	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.47%, due 12/25/35		2,620,374
	4,052,344	RAAC Series Trust, Series 06-SP1, Class A2, 1 mo. LIBOR + .19%, 0.40%, due 09/25/45		3,765,438
	708,244	Residential Asset Mortgage Products, Inc., Series 05-RS8, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 10/25/33		702,578
	2,182,251	Residential Asset Securities Corp., Series 05-KS12, Class A2, 1 mo. LIBOR + .25%, 0.46%, due 01/25/36		2,154,973
	236,691	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.75%, due 03/25/35		158,361
	482,112	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.47%, due 10/25/35		479,846
	91,782	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 01/25/37		90,635
	17,087,971	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/37		9,121,559
	4,549,651	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.41%, due 01/25/36		4,276,672
	1,691,509	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.79%, due 11/25/35		1,623,849
	13,291,301	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.61%, due 06/25/37		4,120,303

		Total Residential Asset-Backed Securities (United States)		273,353,216


		Residential Mortgage-Backed Securities (Australian) — 6.5%
	1,737,797	Crusade Global Trust, Series 04-2, Class A1, 3 mo. LIBOR + .13%, 0.44%, due 11/19/37		1,732,264


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — (continued)
	4,123,163	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.38%, due 07/20/38		4,071,487
	6,702,639	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.38%, due 04/19/38		6,557,608
	1,104,671	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.86%, due 09/27/35		1,055,922
	11,032,887	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.79%, due 03/14/36		10,536,517
	693,943	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.81%, due 12/08/36		652,307
	1,103,892	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.61%, due 05/27/38		1,044,282
	930,869	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.39%, due 05/10/36		923,183
	4,626,219	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.44%, due 06/14/37		4,546,287
	1,280,569	Medallion Trust, Series 07-1G, Class A1, 3 mo. LIBOR + .04%, 0.35%, due 02/27/39		1,270,965
	4,866,822	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.39%, due 10/20/37		4,800,854
	5,999,892	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.45%, due 02/21/38		5,824,695
	6,062,292	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.46%, due 06/12/40		6,042,365
	508,824	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.48%, due 01/12/37		506,565
	4,546,101	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.36%, due 05/21/38		4,499,231

		Total Residential Mortgage-Backed Securities (Australian)		54,064,532


		Residential Mortgage-Backed Securities (European) — 7.0%
	8,554,300	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.60%, due 09/20/66		7,934,114
	17,989,793	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.54%, due 01/13/39		17,647,986
	2,729,507	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.29%, due 12/20/54		2,677,646
	1,425,807	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.66%, due 09/20/44		1,412,974
	6,786,805	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.53%, due 12/10/43		6,447,465



Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — (continued)
	2,975,126	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.66%, due 12/21/37		3,056,477
	10,219,822	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.53%, due 11/15/38		8,878,470
	5,925,959	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.59%, due 09/15/39		4,949,361
	5,964,473	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.73%, due 05/15/34		5,266,630

		Total Residential Mortgage-Backed Securities (European)		58,271,123


		Residential Mortgage-Backed Securities (United States) — 0.2%
	450,580	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.51%, due 08/25/35		324,418
	1,999,300	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/26/34		1,745,639

		Total Residential Mortgage-Backed Securities (United States)		2,070,057


		Student Loans — 9.6%
	20,300,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.57%, due 01/25/24		19,792,500
	8,576,673	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.45%, due 12/23/19		8,567,925
	7,675,868	SLM Student Loan Trust, Series 05-1, Class A2, 3 mo. LIBOR + .08%, 0.40%, due 04/27/20		7,624,278
	17,491,931	SLM Student Loan Trust, Series 05-3, Class A4, 3 mo. LIBOR + .07%, 0.39%, due 04/27/20		17,481,086
	11,128,238	SLM Student Loan Trust, Series 07-2, Class A2, 3 mo. LIBOR + .00%, 0.32%, due 07/25/17		11,106,092
	3,566,143	SLM Student Loan Trust, Series 07-6, Class A2, 3 mo. LIBOR + .25%, 0.57%, due 01/25/19		3,568,372
	241,307	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.42%, due 09/15/22		241,158
	10,800,000	SLM Student Loan Trust, Series 08-6, Class A3, 3 mo. LIBOR + .75%, 1.07%, due 01/25/19		10,940,062

		Total Student Loans		79,321,473


		Time Share — 0.1%
	1,190,699	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.21%, due 02/20/20		1,226,792

		Total Asset-Backed Securities		742,051,655


Par Value ($) / Shares		Description	Value ($)
		U.S. Government Agency — 3.5%
	12,343,750	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR - .02%, 0.51%, due 02/01/25 ^(a)		11,583,518
	10,500,000	Agency for International Development Floater (Support of Morocco), 6 mo. LIBOR + .15%, 0.68%, due 10/29/26 ^(a)		9,872,003
	190,025	Agency for International Development Floater (Support of Peru), Series A, 6 mo. U.S. Treasury Bill + .35%, 0.50%, due 05/01/14 ^(a)		188,151
	7,755,000	Agency for International Development Floater (Support of Tunisia), 6 mo. LIBOR, 0.53%, due 07/01/23 ^(a)		7,345,028

		Total U.S. Government Agency		28,988,700

		TOTAL DEBT OBLIGATIONS (COST $1,090,409,672)		771,040,355


		SHORT-TERM INVESTMENTS — 6.9%

		Money Market Funds — 6.9%
	16,619,249	State Street Institutional Liquid Reserves Fund — Institutional Class, 0.19% ^(b)		16,619,249
	40,543,642	State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(b)		40,543,642

		TOTAL SHORT-TERM INVESTMENTS (COST $57,162,891)		57,162,891


		TOTAL INVESTMENTS — 99.9% (Cost $1,147,572,563)		828,203,246
		Other Assets and Liabilities (net) — 0.1%		447,108


		TOTAL NET ASSETS — 100.0%		$828,650,354

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

RMBS - Residential Mortgage Backed Security

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Shares

Description

Value ($)

MUTUAL FUNDS — 100.1%

Affiliated Issuers — 100.1%

8,685,549

GMO Short-Duration Collateral Fund

36,392,451

TOTAL MUTUAL FUNDS
(COST $30,860,591)

36,392,451

SHORT-TERM INVESTMENTS — 0.0%

Money Market Funds — 0.0%

5,243

State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03% ^(a)

5,243

TOTAL SHORT-TERM INVESTMENTS

(COST $5,243)

5,243

TOTAL INVESTMENTS — 100.1% (Cost $30,865,834)

36,397,694

Other Assets and Liabilities (net) — (0.1%)

(40,616

)

TOTAL NET ASSETS — 100.0%

$36,357,078

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

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%

16,032

State Street Institutional Liquid Reserves Fund — Institutional Class, 0.18% ^(d)

16,032

16,031

State Street Institutional Treasury Plus Money Market Fund —Institutional Class, 0.03% ^(d)

16,031

TOTAL SHORT-TERM INVESTMENTS

(COST $32,063)

32,063

TOTAL INVESTMENTS — 9.8%

(Cost $32,063)

32,063

Other Assets and Liabilities (net) — 90.2%

295,108

TOTAL NET ASSETS — 100.0%

$327,171

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:


Par Value ($) / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 24.5%

		United States — 24.5%
		U.S. Government — 24.5%
	77,993,813	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13^(a)^(b)		77,951,150
	33,000,000	U.S. Treasury Note, 1.38% , due 01/15/13		33,048,972
	150,000,000	U.S. Treasury Note, 1.75% , due 01/31/14		152,660,100
	169,000,000	U.S. Treasury Note, 2.38% , due 02/28/15		176,882,329

		Total United States		440,542,551


		TOTAL DEBT OBLIGATIONS (COST $440,591,393)		440,542,551

		MUTUAL FUNDS — 72.8%

		United States — 72.8%
		Affiliated Issuers
	6,939,686	GMO Emerging Country Debt Fund, Class IV		73,630,068
	105,394,919	GMO Short-Duration Collateral Fund		441,604,712
	14,037,187	GMO U.S. Treasury Fund		350,929,680


Shares / Par Value ($)		Description	Value ($)
		Affiliated Issuers — continued
	17,647,482	GMO World Opportunity Overlay Fund		441,892,947

		Total United States		1,308,057,407


		TOTAL MUTUAL FUNDS (COST $1,312,229,480)		1,308,057,407


		SHORT-TERM INVESTMENTS — 1.5%

		Money Market Funds — 0.0%
	489,579	State Street Institutional Treasury Plus Money Market Fund — Institutional Class, 0.03% ^(c)		489,579


		U.S. Government — 1.5%
	27,500,000	U.S. Treasury Bill, 0.16%, due 10/17/13^(a) ^(d)		27,461,802

		TOTAL SHORT-TERM INVESTMENTS (COST $27,946,561)		27,951,381


		TOTAL INVESTMENTS — 98.8% (Cost $1,780,767,434)		1,776,551,339
		Other Assets and Liabilities (net) — 1.2%		21,494,801


		TOTAL NET ASSETS — 100.0%		$1,798,046,140

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

(a)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(c)	The rate disclosed is the 7 day net yield as of November 30, 2012.

(d)	The rate shown represents yield-to-maturity.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

The Fund makes investments in other GMO Trust funds ("underlying funds"). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund's Schedule of Investments.

A summary of the Fund's transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 100.2%

		U.S. Government — 100.0%
	196,400,000	U.S. Treasury Bill, 0.13%, due 12/20/12 ^(a)		196,387,670
	234,200,000	U.S. Treasury Bill, 0.09%, due 12/27/12 ^(a)		234,185,759
	563,925,000	U.S. Treasury Bill, 0.11%, due 01/03/13 ^(a)		563,872,875
	123,050,000	U.S. Treasury Bill, 0.09%, due 01/10/13 ^(a)		123,038,257
	17,600,000	U.S. Treasury Bill, 0.13%, due 03/21/13 ^(a)		17,595,512
	717,050,000	U.S. Treasury Bill, 0.13%, due 04/04/13 ^(a)		716,786,873
	168,600,000	U.S. Treasury Bill, 0.15%, due 05/02/13 ^(a)		168,514,014
	82,100,000	U.S. Treasury Bill, 0.14%, due 05/09/13 ^(a)		82,057,062
	174,100,000	U.S. Treasury Bill, 0.14%, due 05/16/13 ^(a)		174,000,937
	82,300,000	U.S. Treasury Bill, 0.14%, due 05/23/13 ^(a)		82,251,196
	22,500,000	U.S. Treasury Bill, 0.14%, due 05/30/13 ^(a)		22,485,555
	15,300,000	U.S. Treasury Bill, 0.17%, due 11/14/13 ^(a)		15,275,780
	319,000,000	U.S. Treasury Note, 0.63%, due 12/31/12 ^(a)		319,117,682

		Total U.S. Government		2,715,569,172

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:


Par Value ($)		Description	Value ($)
		DEBT OBLIGATIONS — 109.7%

		Asset-Backed Securities — 23.7%
		Business Loans — 2.0%
	1,076,339	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.58%, due 01/25/35		936,415
	1,559,930	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		1,154,349
	7,415,441	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.51%, due 12/25/37		6,599,743
	3,201,113	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 02/28/40		1,760,612
	1,035,065	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		869,972
	1,278,849	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/25/30		1,069,207
	923,132	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 09/25/30		770,354
	592,479	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.06%, due 10/25/37		538,297

		Total Business Loans		13,698,949


		CMBS — 2.3%
	250,334	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		250,334
	11,500,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		10,695,000
	270,384	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		270,384
	2,285,464	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		2,285,464
	1,793,812	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.83%, due 05/12/39		1,847,267
	394,075	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.82%, due 10/15/42		399,399

		Total CMBS		15,747,848


		CMBS Collateralized Debt Obligations — 0.6%
	6,777,455	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.11%, due 11/23/52		16,944


Par Value ($)		Description	Value ($)
		CMBS Collateralized Debt Obligations — (continued)
	4,530,509	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.54%, due 05/25/46		4,100,110

		Total CMBS Collateralized Debt Obligations		4,117,054


		Corporate Collateralized Debt Obligations — 0.7%
	4,800,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.67%, due 06/20/13		4,804,320


		Credit Cards — 0.7%
	3,900,000	Discover Card Master Trust I, Series 05-4, Class A2, 1 mo. LIBOR + .09%, 0.30%, due 06/16/15		3,900,000
	900,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		900,036

		Total Credit Cards		4,800,036


		Insured Other — 1.2%
	2,824,893	CLI Funding LLC, Series 06-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .18%, 0.39%, due 08/18/21		2,740,146
	2,313,008	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		2,149,742
	1,763,109	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		1,643,066
	959,677	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.60%, due 01/05/14		808,528
	9,200,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		690,000

		Total Insured Other		8,031,482


		Insured Residential Asset-Backed Securities (United States) ¿ — 0.8%
	6,045,300	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.63%, due 07/25/34		5,259,411


		Insured Residential Mortgage-Backed Securities (United States) — 0.1%
	510,231	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35		485,281


		Insured Time Share — 0.2%
	1,389,568	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		1,386,665


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — 10.8%
	660,654	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 09/25/35		236,184
	9,433,007	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 05/25/36		5,188,154
	136,319	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.30%, due 06/25/36		80,428
	1,730,200	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.41%, due 06/25/36		309,273
	1,881,164	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.55%, due 06/25/36		319,798
	1,028,039	ACE Securities Corp., Series 06-SL4, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 09/25/36		214,603
	8,853,157	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 10/25/36		3,828,990
	932,267	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.28%, due 11/25/36		300,656
	4,064,061	ACE Securities Corp., Series 07-ASL1, Class A2, 1 mo. LIBOR + .17%, 0.38%, due 12/25/36		695,970
	1,744,604	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 03/25/36		697,842
	1,880,446	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		567,660
	9,251,543	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		3,327,664
	5,247,088	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36		1,744,657
	2,250,292	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.36%, due 10/25/36		1,618,185
	3,891,830	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.43%, due 05/25/37		3,031,736
	2,208,852	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.32%, due 11/25/36		1,429,348


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿ — (continued)
	5,400,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 11/25/36		860,760
	601,855	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.53%, due 02/25/37		272,580
	1,409,049	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.37%, due 06/25/36		1,380,868
	6,049,822	Citigroup Mortgage Loan Trust, Inc., Series 06-WFH4, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		5,807,829
	2,512,064	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 12/25/36		967,145
	6,957,969	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.35%, due 02/25/37		5,949,759
	4,123,702	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36		1,443,296
	824,654	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		737,550
	313,274	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		289,975
	5,839,813	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.33%, due 12/25/36		2,031,087
	171,242	Master Asset-Backed Securities Trust, Series 05-FRE1, Class A4, 1 mo. LIBOR + .25%, 0.46%, due 10/25/35		166,961
	3,008,640	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36		1,887,921
	2,531,880	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		1,123,522
	5,253,455	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 08/25/36		1,497,235
	2,861,109	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.37%, due 10/25/36		1,287,499
	1,124,799	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 03/25/36		236,208
	2,044,136	Merrill Lynch Mortgage Trust, Series 06-SD1, Class A, 1 mo. LIBOR + .28%, 0.49%, due 01/25/47		1,101,380
	2,119,336	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		858,331


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¿— (continued)
	8,800,000	Nationstar Home Equity Loan Trust, Series 06-B, Class AV3, 1 mo. LIBOR + .17%, 0.38%, due 09/25/36		8,373,750
	9,100,000	Nomura Home Equity Loan, Inc., Series 06-HE3, Class 2A3, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		3,708,250
	1,433,316	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.47%, due 12/25/35		687,848
	1,751,515	Saxon Asset Securities Trust, Series 06-3, Class A2, 1 mo. LIBOR + .11%, 0.32%, due 10/25/46		1,716,484
	8,708,207	Securitized Asset-Backed Receivables LLC Trust, Series 06-HE1, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 07/25/36		3,613,906
	125,888	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.47%, due 10/25/35		125,297
	121,202	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 01/25/37		119,687
	3,597,468	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/37		1,920,328
	1,106,672	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.41%, due 01/25/36		1,040,272
	273,016	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.79%, due 11/25/35		262,095

		Total Residential Asset-Backed Securities (United States)		73,058,971


		Residential Mortgage-Backed Securities (Australian) — 1.2%
	1,225,280	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.38%, due 07/20/38		1,209,923
	3,095,153	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.79%, due 03/14/36		2,955,902
	1,282,285	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.81%, due 12/08/36		1,205,348
	775,724	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.39%, due 05/10/36		769,319
	1,708,830	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.45%, due 02/21/38		1,658,932

		Total Residential Mortgage-Backed Securities (Australian)		7,799,424


Par Value ($)		Description	Value ($)

		Residential Mortgage-Backed Securities (European) — 2.7%
	5,981,578	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.60%, due 09/20/66		5,547,914
	3,329,280	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.54%, due 01/13/39		3,266,024
	1,925,036	Granite Master Issuer Plc, Series 06-3, Class A3, 1 mo. LIBOR + .04%, 0.29%, due 12/20/54		1,890,385
	3,060,716	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.53%, due 12/10/43		2,907,680
	2,689,427	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.53%, due 11/15/38		2,336,440
	2,440,101	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .10%, 0.59%, due 09/15/39		2,037,972

		Total Residential Mortgage-Backed Securities (European)		17,986,415


		Student Loans — 0.4%
	3,100,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.57%, due 01/25/24		3,022,500

		Total Asset-Backed Securities		160,198,356


		Foreign Government Obligations — 7.4%
GBP	25,000,000	U.K. Treasury Bond, 4.25%, due 12/07/46 ^(a)		49,810,866


		U.S. Government — 78.5%
	264,631,638	U.S. Treasury Inflation Indexed Note, 0.63%, due 04/15/13 ^(b) (c)		264,486,884
	29,000,000	U.S. Treasury Note, 0.63%, due 12/31/12		29,009,048
	93,000,000	U.S. Treasury Note, 1.38%, due 01/15/13 ^(c)		93,138,012
	65,000,000	U.S. Treasury Strip Coupon, due 05/15/22		55,692,845
	105,000,000	U.S. Treasury Strip Coupon, due 08/15/22		89,151,195

		Total U.S. Government		531,477,984


		U.S. Government Agency — 0.1%
	800,000	U.S. Department of Transportation, 144A, 6.00%, due 12/07/21		889,240

		TOTAL DEBT OBLIGATIONS (COST $787,167,772)		742,376,446

Principal
Amount

Description

Value ($)

OPTIONS PURCHASED — 1.9%

Currency Options — 0.0%

EUR

3,000,000

EUR Call/CHF Put, Expires 06/16/15, Strike 1.56%, (OTC) (CP - JPM)

87,654

Options on Interest Rate Swaps — 1.9%

USD

64,000,000

Swaption Straddle, Expires 04/10/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on April 12, 2023. (OTC) (CP - MSCS) ^(d)

4,186,688

USD

64,000,000

Swaption Straddle, Expires 04/23/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on April 25, 2023. (OTC) (CP - MSCS) ^(d)

4,174,720

USD

64,000,000

Swaption Straddle, Expires 05/01/18, Strike TBD, Upon potential exercise of the option, the Fund will enter into a swap with a notional amount of 64,000,000 USD in which it will pay 3 month USD LIBOR and will receive a rate to be determined, maturing on May 3, 2023. (OTC)
(CP - MSCS) ^(d)

4,155,136

Total Options on Interest Rate Swaps

12,516,544

TOTAL OPTIONS PURCHASED (COST $10,543,550)

12,604,198

Shares

Description

Value ($)

SHORT-TERM INVESTMENTS — 6.2%

Money Market Funds — 6.2%

33,124,552

State Street Institutional Liquid Reserves Fund-Institutional Class, 0.18% ^(e)

33,124,552

8,974,408

State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03% ^(e)

8,974,408

TOTAL SHORT-TERM INVESTMENTS (COST $42,098,960)

42,098,960

TOTAL INVESTMENTS — 117.8% (Cost $839,810,282)

797,079,604

Other Assets and Liabilities
(net) — (17.8%)

(120,173,434

)

TOTAL NET ASSETS — 100.0%

$676,906,170

A summary of outstanding financial instruments at November 30, 2012 is as follows:

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

Notes to Schedule of Investments:

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

BBSW - Bank Bill Swap Reference Rate

CAD BA - Canadian Bankers Acceptance Rate

CDO - Collateralized Debt Obligation

CHF LIBOR - London Interbank Offered Rate denominated in Swiss Franc.

CMBS - Commercial Mortgage Backed Security

CP - Counterparty

EURIBOR - Euro Interbank Offered Rate

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

GBP LIBOR - London Interbank Offered Rate denominated in British Pounds.

JPY LIBOR - London Interbank Offered Rate denominated in Japanese Yen.

LIBOR - London Interbank Offered Rate

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

OTC - Over-the-Counter

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

TBD - To Be Determined

USD LIBOR - London Interbank Offered Rate denominated in United States Dollars.

XL - Insured as to the payment of principal and interest by XL Capital Assurance.

The rates shown on variable rate notes are the current interest rates at November 30, 2012, which are subject to change based on the terms of the security.

¿	These securities are primarily backed by subprime mortgages.

(a)	All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements.

(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(c)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap contracts, forward currency contracts, and/or written options, if any.

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

(e)	The rate disclosed is the 7 day net yield as of November 30, 2012.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Basis of presentation and principles of consolidation: Special Purpose Holding Fund (“SPHF”)

The accompanying consolidated schedule of investments for SPHF include the accounts of its majority owned investments in SPV I, LLC (“SPV”). The consolidated schedule of investments include 100% of the assets and liabilities of SPV and the ownership interests of participants in SPV other than SPHF are recorded as a noncontrolling interest.

Typically, the Funds and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”). Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument may be valued at amortized cost which approximates market value, if the issuer is deemed to represent minimal credit risk.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event the Manager deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a debt instrument is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using prices for which no alternative pricing source was available. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on the Funds’ net assets) as of November 30, 2012 is as follows:



Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees			Single source, No alternative pricing source was available
Asset Allocation Bond Fund		—			—
Core Plus Bond Fund		0.6%			5.7%
Currency Hedged International Bond Fund		0.7%			2.5%
Debt Opportunities Fund		0.2%			5.5%
Domestic Bond Fund		2.9%			8.6%
Emerging Country Debt Fund		3.1%			6.1%
Global Bond Fund		0.8%			2.8%
Inflation Indexed Plus Bond Fund		0.9%			3.0%
International Bond Fund		0.9%			3.1%
Short-Duration Collateral Fund		3.5%			10.3%
Short-Duration Collateral Share Fund		3.5%			10.3%
Special Purpose Holding Fund		0.0%	*		—
Strategic Fixed Income Fund		1.0%			3.4%
U.S. Treasury Fund		—			—
World Opportunity Overlay Fund		—			2.3%

U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the Valuation Inputs table below). At November 30, 2012, certain Funds directly held material Level 3 investments in asset-backed securities (Debt Opportunities Fund, Emerging Country Debt Fund, Short-Duration Collateral Fund and World Opportunity Overlay Fund), foreign government debt obligations (Emerging Country Debt Fund) and loans (Emerging Country Debt Fund). Each Fund values these investments using unadjusted prices supplied by a third party pricing source as described in the Portfolio Valuation note. Additionally, Short-Duration Collateral Fund held material Level 3 U.S. government agency debt obligations subject to this standard. See the “Additional Level 3 information” table below for further information regarding the valuation techniques and unobservable inputs used to measure the fair value of these instruments. Other than as described in this paragraph, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings.

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

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

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) even though they are valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities using comparable securities issued by the sovereign adjusted by a specified spread; certain derivatives using third party valuation services; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; potential litigation recoveries and interests related to bankruptcy proceedings valued at zero; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

The following table presents additional information about valuation techniques and inputs used for securities and derivatives, if any, that are measured at fair value and categorized within Level 3 as of November 30, 2012.

The underlying funds held at period end are classified above as Level 1 or Level 2. For the summary of valuation inputs (including Level 3 inputs, if any) of the underlying funds, please refer to the underlying funds’ portfolio valuation notes.

For all Funds for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

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

The net aggregate direct and/or indirect exposure to investments in securities and derivative financial instruments using Level 3 inputs (based on the Funds’ net assets) as of November 30, 2012 were as follows:



Fund Name	Level 3 securities		Level 3 derivatives
Asset Allocation Bond Fund		—		—
Core Plus Bond Fund		18.8%		(0.1)%
Currency Hedged International Bond Fund		19.4%		(0.1)%
Debt Opportunities Fund		85.0%		—
Domestic Bond Fund		69.6%		—
Emerging Country Debt Fund		20.6%		(0.1)%
Global Bond Fund		21.9%		(0.1)%
Inflation Indexed Plus Bond Fund		23.9%		(0.1)%
International Bond Fund		24.6%		(0.1)%
Short-Duration Collateral Fund		83.0%		—
Short-Duration Collateral Share Fund		83.1%		—
Special Purpose Holding Fund		0.0%*		—
Strategic Fixed Income Fund		26.8%		(0.1)%
U.S. Treasury Fund		—		—
World Opportunity Overlay Fund		22.8%		—

The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the New York Stock Exchange (“NYSE”) , generally at 4:00 pm Boston time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

The Funds (except Short-Duration Collateral Fund, Short-Duration Collateral Share Fund and U.S. Treasury Fund) may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments of loans, it generally acquires direct rights against the borrower. Loan agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds (except SPHF) may enter into repurchase agreements. Under a repurchase agreement a 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. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds (except SPHF) may enter into reverse repurchase agreements. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes that Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments. As of November 30, 2012, the Funds listed below had entered into reverse repurchase agreements:

The Funds (except U.S. Treasury Fund) may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are included in the Funds’ gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds (except U.S. Treasury Fund) may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The purchase of when-issued or delayed delivery securities can cause a Fund’s portfolio to be leveraged. Delayed delivery commitments outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

In December 2005, ECDF entered into litigation against the Government of Argentina (“Argentina”) relating to Argentina’s failure to make payments on sovereign debt held by ECDF. A judgment was awarded in ECDF’s favor on September 24, 2007; however, ECDF’s ability to collect on this judgment remains uncertain, and ECDF is not able to transfer or sell the judgment without court consent. In late May 2010, Argentina commenced a public debt exchange in which certain defaulted debts, including legal judgments on those debts, were eligible to be exchanged for currently performing Argentina Bonds. The eligible portion of ECDF’s judgment was tendered in the debt exchange and ECDF received new bonds in June 2010. The remaining portion of ECDF’s judgment, which continues to be valued according to ECDF’s valuation policy, represented 1.3% of the net assets of ECDF as of November 30, 2012.

Peru Trust, Series 1998 I-P; Peru Trust, Series 97-I-P; and Peru Trust II, Series 98-A LB (the “Peru Trusts”) held by ECDF are currently in default. The Peru Trusts hold obligations of Istituto per i Servizi Assicurativi e il Credito all’Espotazione (“SACE”), the Italian Agency for Insurance of Export Credits. The obligations are payable only to the extent SACE recovers amounts from the Government of Peru (“Peru”) in relation to certain export insurance policies. Peru fully paid all of its obligations to SACE on August 24, 2009; however, payments to the Peru Trusts by SACE remain outstanding. Litigation between the Peru Trusts and SACE is pending in Italy with respect to the outstanding payments.

The Peru Trusts’ ability to recover such payments, and ECDF’s corresponding ability to receive payment with respect to its investment in the Peru Trusts, remains uncertain. The Peru Trusts, which continue to be valued according to ECDF’s valuation policy, represented less than 0.1% of the net assets of ECDF as of November 30, 2012. Costs associated with this action are borne by ECDF.

In connection with ECDF’s purchase of Venezuelan bonds between 2000 and 2002, ECDF acquired warrants which (along with related payments on those warrants) have not been received in custody. While ECDF’s trading counterparty has acknowledged its delivery obligation, delivery of the warrants remains outstanding. ECDF entered into litigation in February 2012 against ICAP PLC and related entities to seek to enforce ECDF’s rights with respect to the delivery of the warrants. Because there can be no assurance that ECDF will receive the warrants (or related payments), ECDF values the warrants at fair value using methods determined in good faith by or at the discretion of the Trustees of GMO Trust.

One of the Fund’s principal investments is units of SPV, which in turn holds an interest in liquidating trusts related to NPF Securities (health care asset-backed receivables). In November 2002, National Century Financial Enterprises (“NCFE”), which organized and administered the Issuers and the NPF Securities, defaulted on its obligations with respect to the NPF Securities. The NPF Securities had been acquired by the Fund prior to this default. NCFE and its affiliates are alleged to have violated the terms of the bonds’ indentures by, among other things, purportedly spending cash collateral, accepting collateral other than permitted receivables, moving receivables between trusts to meet compliance tests and reimbursing health care providers for more than the value of receivables purchased. NCFE, its affiliated operations (including the Issuers), and many of the health care providers declared bankruptcy.

In November 2002, the NPF Securities were transferred to SPV to facilitate the redemption of the NPF Securities in-kind, if necessary, to protect the interests of non-redeeming shareholders. In connection with SPHF’s placement of the NPF Securities in SPV, SPHF assigned to SPV the right to any proceeds received in connection with any claims or actions against various parties arising out of SPHF’s purchase of the NPF Securities (including those described below). SPHF’s pro rata portion of the costs associated with SPHF’s attempted recovery of losses associated with the NPF Securities will be borne by SPHF, subject to a priority reimbursement of such costs by SPV in the event SPV receives any proceeds in connection with any claims or actions.

In 2003, SPHF joined with certain other holders of the NPF Securities in filing a lawsuit against certain parties related to the NCFE offerings, including the indenture trustees, underwriters, and certain other parties. In April 2004, a plan of liquidation was approved by the bankruptcy court with respect to NCFE and its affiliated operations (including the Issuers). Pursuant to such plan, SPV received cash distributions, which were distributed, less expenses, to holders of SPV, including SPHF. SPV also received interests in liquidating trusts, which it continues to hold. In July 2005 and April 2006, SPHF entered into settlement agreements with two of the defendants in the lawsuit and received (through its investment in SPV) cash settlements in connection therewith. Litigation against the remaining defendants continues at this time.

The 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. To the extent additional recoveries are realized, such recoveries may be material to the net asset value of SPHF.

SPHF, an investment of some of the Funds, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. During the period ended November 30, 2012, the Funds received no distributions from SPHF in connection with the defaulted securities or the related litigation.

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Asset Allocation Bond Fund

Core Plus Bond Fund

Currency Hedged International Bond Fund

Debt Opportunities Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

Inflation Indexed Plus Bond Fund

International Bond Fund

Short-Duration Collateral Fund

Short-Duration Collateral Share Fund

Special Purpose Holding Fund/SPV

Strategic Fixed Income Fund

U.S. Treasury Fund

World Opportunity Overlay Fund

Market Risk – Fixed Income Investments Risk

Market Risk – Asset-Backed Securities Risk

Credit Risk

Liquidity Risk

Derivatives Risk

Non-U.S. Investment Risk

Currency Risk

Focused Investment Risk

Leveraging Risk

Counterparty Risk

Market Disruption and Geopolitical Risk

Large Shareholder Risk

Management and Operational Risk

Fund of Funds Risk

Non-Diversified Funds

Litigation- Related Risk

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

The price of inflation indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the price of inflation indexed bonds may decline more than the price of non-inflation indexed (or nominal) fixed income bonds with similar maturities. The price of a Fund’s inflation indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). The risks associated with inflation indexed bonds are particularly pronounced for Inflation Indexed Plus Bond Fund, which has significant exposure to TIPS and other inflation indexed bonds.

Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees.

Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a decrease in the payment stream expected by a Fund at the time it purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

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

• CREDIT RISK. This is the risk that the issuer or guarantor of a fixed income investment will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer’s or guarantor’s failure to meet its payment obligations or the downgrading of its credit rating. This risk is particularly acute in environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

whole, and political constraints. Investments in quasi-sovereign issuers are subject to the additional risk that the issuer may default independently of its sovereign. Sovereign debt risk is greater for emerging market securities.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• DERIVATIVES RISK. The Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

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

pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

• NON-U.S. INVESTMENT RISK. Funds that invest in non-U.S. securities are subject to additional and more varied risks than Funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. A Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. securities, (ii) transactions in those securities and (iii) the repatriation of proceeds generated from the sale of those securities. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

Also, investing in non-U.S. securities exposes a Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments. In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of a Fund’s non-U.S. investments (see “Currency Risk” below).

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of a Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which a Fund’s investments are traded, in which a Fund receives income or in which a Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event, the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services) are subject to greater overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market value of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or other OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. There is neither an explicit limit on the amount of exposure that a Fund may have with any one counterparty nor a requirement that counterparties maintain a specific rating by a nationally recognized rating organization in order to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. The uncertainty surrounding the sovereign debt of the European Union countries of Greece, Spain, Portugal, Ireland and Italy, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, there likely will be significant disruptions in the world’s securities markets and substantial government interventions (e.g., currency controls), which could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation,

investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investments and other risk” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a disruption may cause disruptions to the orderly functioning of the securities markets and/or may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments into) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or accelerate the realization of taxable income and/or gains to shareholders if the sales of portfolio securities they necessitate result in gains. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• MANAGEMENT AND OPERATIONAL RISK. Each Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. Each Fund runs the risk that the Manager’s investment techniques will fail to produce desired results, and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and Exchange-Traded Funds (“ETFs”) (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying Funds. Funds that invest in shares of other GMO Funds also are likely to be subject to Large Shareholder Risk because underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

because the composition of the index and the securities held by the ETF may occasionally differ. In addition, ETFs often use derivatives to track the performance of the relevant index, and, therefore, investments in those ETFs are subject to the same derivatives risks discussed above.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the Investment Company Act of 1940, as amended. This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

All of the Funds (except U.S. Treasury Fund) are not diversified investment companies under the 1940 Act.

In addition, each of the Funds (other than U.S. Treasury Fund) invests a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the Investment Company Act of 1940, as amended.

• LITIGATION-RELATED RISK. The ultimate amount of Special Purpose Holding Fund’s recovery (through its investment in SPV) of losses on the defaulted NPF Securities and the total costs the Special Purpose Holding Fund may incur with respect to its funding of litigation related to the NPF Securities is unknown at this time. Therefore, Special Purpose Holding Fund is subject to the risk that SPV may ultimately be unable to recover certain losses related to the NPF Securities. This could occur because an insufficient amount of money or other assets is (or has been) paid to SPV out of the bankruptcy estates of NCFE, its affiliated operations, and certain other related entities and/or is (or has been) paid to Special Purpose Holding Fund in connection with litigation related to the NPF Securities. In addition, any cash reserves of Special Purpose Holding Fund and any recovery by Special Purpose Holding Fund as a result of the litigation or bankruptcy claims may be used to offset costs with respect to the litigation rather than to recover losses on the defaulted NPF Securities. Special Purpose Holding Fund (through its investment in SPV) has received distributions out of the bankruptcy estate of NCFE and its affiliated operations, but it is uncertain whether or not more distributions may follow. In addition, Special Purpose Holding Fund (through its investment in SPV) has received cash settlements against certain defendants related to the NCFE offerings, but the litigation against the remaining defendants is not predictable, and the amount of time it may take to settle the remaining litigation is unknown at this time.

Temporary Defensive Positions. If deemed prudent by the Manager, the Funds (other than Domestic Bond Fund, Short-Duration Collateral Fund, Short-Duration Collateral Share Fund, Special Purpose Holding Fund and U.S. Treasury Fund) may take temporary defensive positions. Many of the Funds have previously taken temporary defensive positions and have exercised the right to honor redemption requests in-kind.

Information in this section is applicable for all Funds except Special Purpose Holding Fund.

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

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For instance, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting their investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of their derivative positions, the Funds will typically have (or may have, in the case of Domestic Bond Fund) gross investment exposures in excess of its net assets (i.e., the Fund will be (or may be, in the case of Domestic Bond Fund) leveraged) and therefore are subject to heightened risk of loss. The Funds’ (other than Domestic Bond Fund) performance can depend substantially, if not primarily, on derivative reference assets that the Funds do not own.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):

Type of Derivative and Objective for Use

Asset
Allocation Bond Fund

Core
Plus Bond Fund

Currency
Hedged
International
Bond Fund

Domestic Bond Fund

Emerging Country Debt Fund

Global Bond Fund

Inflation Indexed Plus Bond Fund

International Bond Fund

Strategic Fixed Income Fund

World Opportunity Overlay Fund

Forward currency contracts

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Futures contracts

Adjust exposure to certain markets

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Options (Purchased)

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Options (Written)

Achieve exposure to a reference entity’s credit

Adjust currency exchange rate risk

Adjust exposure to foreign currencies

Adjust interest rate exposure

Maintain the diversity and liquidity of the portfolio

Swap agreements

Achieve exposure to a reference entity’s credit

Adjust exposure to certain markets

Adjust interest rate exposure

Provide a measure of protection against default loss

Rights and/or warrants

Adjust exposure to certain markets

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded. The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

For the period ended November 30, 2012, investment activity in options contracts written by the Fund was as follows:

agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

Generally, the Funds price their swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate.

The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Additionally, Emerging Country Debt Fund owns warrants linked to the price of oil. Rights and/or warrants outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, if any, was as follows for the period ended November 30, 2012.



	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Agreements ($)		Options ($)		Rights and/or warrants ($)
Asset Allocation Bond Fund		—		907,844		—		247,839,444		—
Core Plus Bond Fund		160,959,179		134,986,670		204,900,965		7,667,632		—
Currency Hedged International Bond Fund		73,189,233		48,209,763		36,638,620		2,175,950		—
Domestic Bond Fund		—		—		11,500,000		—		—
Emerging Country Debt Fund		399,454,655		—		3,596,272,315		33,333,333		10,707,063
Global Bond Fund		128,773,915		115,792,630		60,836,181		5,353,527		—
Inflation Indexed Plus Bond Fund		18,335,738		9,474,335		18,503,769		863,472		—
International Bond Fund		78,436,861		59,547,816		23,577,299		2,314,105		—
Strategic Fixed Income Fund		297,071,056		321,664,393		566,419,985		355,555,556		—
World Opportunity Overlay Fund		—		301,006,585		6,877,633,452		199,686,233		—

The Board of Trustees of GMO Trust has approved the liquidation of GMO Inflation Indexed Plus Bond Fund (the “Fund”). It is expected that the Fund will be liquidated on or about January 30, 2013.


Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 98.4%

		United States — 98.4%

		Affiliated Issuers — 98.4%
	22,349,321	GMO International Growth Equity Fund, Class IV		539,065,631
	78,452,236	GMO International Intrinsic Value Fund, Class IV		1,607,486,314


		TOTAL MUTUAL FUNDS (COST $1,913,005,858)		2,146,551,945


		SHORT-TERM INVESTMENTS — 2.0%

		Time Deposits — 2.0%
USD	5,314,876	Bank of New York Mellon (New York) Time Deposit, 0.07%, due 12/03/12		5,314,876
EUR	7,131	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 12/03/12		9,255


Par Value		Description	Value ($)
		Time Deposits — continued
USD	15,000,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		15,000,000
USD	15,000,000	Deutsche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		15,000,000
USD	8,207,016	Royal Bank of Canada (Toronto) Time Deposit, 0.07%, due 12/03/12		8,207,016

		Total Time Deposits		43,531,147


		TOTAL SHORT-TERM INVESTMENTS (COST $43,531,147)		43,531,147


		TOTAL INVESTMENTS — 100.4% (Cost $1,956,537,005)		2,190,083,092
		Other Assets and Liabilities (net) — (0.4%)		(8,377,717	)


		TOTAL NET ASSETS — 100.0%		$2,181,705,375

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 95.2%

		Australia — 0.5%
	93,537	GPT Group (REIT)		340,824
	310,509	Telstra Corp Ltd		1,396,883

		Total Australia		1,737,707


		Austria — 0.3%
	23,024	OMV AG		823,794
	9,268	Voestalpine AG		299,432

		Total Austria		1,123,226


		Belgium — 0.7%
	28,587	Anheuser-Busch InBev NV		2,510,293


		Canada — 0.1%
	32,300	Research In Motion Ltd *		376,863


		Denmark — 0.2%
	3,867	Novo-Nordisk A/S-Class B		612,960


		Finland — 0.1%
	137,598	Nokia Oyj		452,099


		France — 6.4%
	83,547	ArcelorMittal		1,270,172
	83,394	AXA		1,373,491
	43,319	BNP Paribas		2,424,176
	14,155	Bouygues SA		349,806
	2,893	Casino Guichard-Perrachon SA		262,644
	33,930	CNP Assurances		494,575
	11,657	Compagnie de Saint-Gobain		465,615
	11,992	European Aeronautic Defense and Space Co NV		404,255
	83,304	France Telecom SA		886,089
	81,313	GDF Suez		1,829,323
	10,586	Lafarge SA		616,046
	24,462	Peugeot SA *		150,306
	20,995	Renault SA		1,051,751
	15,515	Sanofi		1,385,760
	20,324	Societe Generale *		736,752
	115,774	Total SA		5,802,081
	10,569	Vinci SA		467,119
	77,741	Vivendi SA		1,672,390

		Total France		21,642,351


		Germany — 3.3%
	11,216	Allianz SE (Registered)		1,459,085
	8,958	Bayerische Motoren Werke AG		795,542
	3,169	Continental AG		351,235
	10,412	Daimler AG (Registered)		514,965


Shares		Description	Value ($)
		Germany — continued
	18,558	Deutsche Lufthansa AG (Registered)		308,225
	11,021	Deutsche Bank AG (Registered)		486,129
	19,253	Deutsche Post AG (Registered)		399,901
	97,444	E.ON AG		1,757,209
	8,417	Hannover Rueckversicherung AG (Registered)		620,632
	11,324	HeidelbergCement AG		616,151
	7,638	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,304,338
	24,145	RWE AG		1,007,177
	13,536	Suedzucker AG		533,209
	17,341	ThyssenKrupp AG		351,255
	3,604	Volkswagen AG		734,073

		Total Germany		11,239,126


		Hong Kong — 0.0%
	37	Esprit Holdings Ltd		57


		Ireland — 0.4%
	49,997	CRH Plc		915,205
	10,426	Kerry Group Plc-Class A		546,207

		Total Ireland		1,461,412


		Italy — 3.6%
	835,198	Enel SPA		3,167,669
	181,426	ENI SPA		4,302,394
	53,553	Fiat Industrial SPA		572,636
	75,994	Fiat SPA *		352,381
	118,125	Finmeccanica SPA *		621,858
	270,229	Intesa Sanpaolo SPA		455,353
	128,554	Mediaset SPA		212,720
	128,256	Parmalat SPA		294,754
	15,699	Prysmian SPA		297,322
	980,026	Telecom Italia SPA		892,870
	657,793	Telecom Italia SPA-Di RISP		525,393
	146,253	UniCredit SPA *		681,686

		Total Italy		12,377,036


		Japan — 10.2%
	54,200	Aeon Co Ltd		606,967
	31,000	Ajinomoto Co Inc		443,320
	16,000	Asahi Breweries Ltd		360,081
	13,200	Astellas Pharma Inc		668,235
	6,300	Central Japan Railway Co		499,611
	17,248	Century Tokyo Leasing Corp		338,692
	126,000	Cosmo Oil Co Ltd		245,375
	13,600	Credit Saison Co Ltd		303,503
	22,446	Daishi Bank Ltd (The)		78,247
	5,700	Daito Trust Construction Co Ltd		553,806
	1,700	Fast Retailing Co Ltd		387,736


Shares		Description	Value ($)
		Japan — continued
	16,800	FujiFilm Holdings Corp		309,395
	147,000	Hitachi Ltd		851,914
	91	INPEX Corp		489,355
	78,000	Isuzu Motors Ltd		459,261
	154,100	Itochu Corp		1,545,697
	21,100	Japan Tobacco Inc		632,674
	45,000	JFE Holdings Inc		701,224
	139,720	JX Holdings Inc		748,271
	201,000	Kawasaki Kisen Kaisha Ltd *		266,656
	21,700	KDDI Corp		1,610,203
	185,000	Marubeni Corp		1,223,943
	273,000	Mazda Motor Corp *		432,640
	74,000	Mitsubishi Chemical Holdings Corp		324,659
	42,100	Mitsubishi Corp		801,382
	50,200	Mitsui & Co Ltd		696,757
	127,000	Mitsui OSK Lines Ltd		320,382
	184,000	Mizuho Financial Group Inc		296,653
	14,400	Nikon Corp		401,238
	369,545	Nippon Steel Corp		852,085
	66,500	Nippon Telegraph & Telephone Corp		2,991,478
	170,000	Nippon Yusen Kabushiki Kaisha		362,716
	65,500	Nissan Motor Co Ltd		638,394
	1,243	NTT Docomo Inc		1,802,011
	2,530	ORIX Corp		254,929
	14,800	Otsuka Holdings Co Ltd		439,659
	37,000	Ricoh Company Ltd		344,937
	31,000	Shizuoka Bank Ltd (The)		306,964
	64,500	Showa Shell Sekiyu KK		376,614
	321,000	Sojitz Corp		405,964
	39,200	Sony Corp		381,938
	139,800	Sumitomo Corp		1,741,430
	39,000	Sumitomo Metal Mining Co Ltd		536,146
	24,200	Sumitomo Mitsui Financial Group Inc		783,364
	8,000	Sumitomo Realty & Development Co Ltd		218,789
	180,000	Taisei Corp		490,213
	33,300	Takeda Pharmaceutical Co Ltd		1,524,383
	52,000	TonenGeneral Sekiyu KK		483,530
	33,700	Toyota Motor Corp		1,451,024
	44,900	Toyota Tsusho Corp		1,037,355
	7,100	Unicharm Corp		362,942
	10,910	Yamada Denki Co Ltd		386,198

		Total Japan		34,770,940


		Netherlands — 0.7%
	61,183	Aegon NV		351,857
	5,925	ASML Holding NV		370,491
	162,182	ING Groep NV *		1,465,473

		Total Netherlands		2,187,821


Shares		Description	Value ($)
		Norway — 0.3%
	42,396	Statoil ASA		1,035,767


		Portugal — 0.2%
	257,680	EDP - Energias de Portugal SA		652,013


		Singapore — 0.8%
	213,000	CapitaCommercial Trust (REIT)		282,644
	328,019	Global Logistic Properties Ltd		754,654
	88,522	Keppel Land Ltd		260,866
	94,000	SembCorp Industries Ltd		398,568
	59,000	StarHub Ltd		180,139
	29,000	United Overseas Bank Ltd		444,603
	29,386	Venture Corp Ltd		188,222
	146,971	Yanlord Land Group Ltd *		173,207

		Total Singapore		2,682,903


		Spain — 3.4%
	18,248	ACS Actividades de Construccion y Servicios SA		390,694
	205,395	Banco Bilbao Vizcaya Argentaria SA		1,742,678
	187,428	Banco Popular Espanol SA *		156,732
	361,544	Banco Santander SA		2,785,168
	34,211	Ferrovial SA		507,572
	58,905	Gas Natural SDG SA		914,826
	2,435	Grifols SA *		77,960
	117,300	Iberdrola SA		582,857
	5,302	Inditex SA		727,867
	22,376	Indra Sistemas SA		262,822
	250,169	Mapfre SA		704,558
	62,947	Repsol YPF SA		1,336,071
	89,987	Telefonica SA		1,182,104

		Total Spain		11,371,909


		Sweden — 0.1%
	11,108	Svenska Cellulosa AB-Class B		225,056


		Switzerland — 0.5%
	8,130	Novartis AG (Registered)		503,795
	609	Swisscom AG (Registered)		256,542
	3,495	Zurich Insurance Group AG *		892,785

		Total Switzerland		1,653,122


		United Kingdom — 10.4%
	6,687	Aggreko Plc		239,207
	20,223	Anglo American Plc		561,654
	63,900	AstraZeneca Plc		3,035,137
	216,006	Aviva Plc		1,215,693
	111,790	BAE Systems Plc		586,640
	92,784	Balfour Beatty Plc		384,328


Shares		Description	Value ($)
		United Kingdom — continued
	489,371	Barclays Plc		1,941,009
	790,414	BP Plc		5,487,286
	23,118	British American Tobacco Plc		1,214,411
	361,795	BT Group Plc		1,353,134
	44,436	Diageo Plc		1,325,402
	20,975	Imperial Tobacco Group Plc		839,378
	51,686	Kingfisher Plc		230,406
	768,693	Lloyds Banking Group Plc *		574,023
	89,560	Marks & Spencer Group Plc		560,661
	9,361	Next Plc		549,438
	11,961	Rio Tinto Plc		593,942
	46,540	Rolls-Royce Holdings Plc *		664,723
	3,537,040	Rolls-Royce Holdings Plc-Class C *		5,667
	111,998	Royal Dutch Shell Plc A Shares (London)		3,749,856
	84,783	Royal Dutch Shell Plc B Shares (London)		2,926,627
	326,996	RSA Insurance Group Plc		615,957
	28,106	Tate & Lyle Plc		347,951
	129,745	TUI Travel Plc		564,448
	1,524,032	Vodafone Group Plc		3,931,448
	76,154	WM Morrison Supermarkets Plc		328,122
	9,522	Wolseley Plc		442,407
	28,127	WPP Plc		386,181
	30,004	Xstrata Plc		497,446

		Total United Kingdom		35,152,582


		United States — 53.0%
	23,600	3M Co.		2,146,420
	43,500	Abbott Laboratories		2,827,500
	19,300	Accenture Plc-Class A		1,310,856
	16,300	Aetna, Inc.		703,997
	15,300	AFLAC, Inc.		810,747
	6,100	Alexion Pharmaceuticals, Inc. *		585,722
	3,300	Allergan, Inc.		306,075
	12,100	Allstate Corp. (The)		489,808
	21,000	Altria Group, Inc.		710,010
	23,800	American Capital Agency Corp. REIT		750,890
	26,700	American International Group, Inc. *		884,571
	6,000	American Tower Corp. REIT		449,580
	8,200	Ameriprise Financial, Inc.		497,494
	12,300	Amgen, Inc.		1,092,240
	23,800	Apple, Inc.		13,929,664
	12,300	Assurant, Inc.		420,783
	102,300	AT&T, Inc.		3,491,499
	19,000	Automatic Data Processing, Inc.		1,078,440
	1,400	AutoZone, Inc. *		537,278
	2,000	AvalonBay Communities, Inc. REIT		263,580
	74,000	Bank of America Corp.		729,640
	14,200	Baxter International Inc		941,034
	19,200	BB&T Corp.		540,864


Shares		Description	Value ($)
		United States — continued
	13,200	Becton, Dickinson and Co.		1,012,044
	5,300	Bed Bath & Beyond, Inc. *		311,216
	23,200	Best Buy Co., Inc.		304,152
	3,400	Biogen Idec, Inc. *		506,906
	2,000	BlackRock, Inc.		394,080
	19,500	Bristol–Myers Squibb Co		636,285
	6,700	Cabot Oil & Gas Corp.		315,570
	10,300	Capital One Financial Corp.		593,280
	31,800	CBS Corp.-Class B (Non Voting)		1,144,164
	5,500	Celgene Corp. *		432,245
	3,400	CF Industries Holdings Inc.		727,702
	28,200	Chevron Corp.		2,980,458
	1,600	Chipotle Mexican Grill, Inc. *		422,048
	15,300	CH Robinson Worldwide, Inc.		944,622
	79,100	Cisco Systems, Inc.		1,495,781
	11,900	Citigroup, Inc.		411,383
	21,100	Coach, Inc.		1,220,424
	16,000	Cobalt International Energy, Inc. *		373,120
	63,400	Coca-Cola Co. (The)		2,404,128
	10,800	Cognizant Technology Solutions Corp.-Class A *		726,084
	6,200	Colgate–Palmolive Co.		672,700
	33,000	Comcast Corp.- Class A		1,226,940
	12,600	Comcast Corp.-Class A (Non-Voting)		454,104
	14,400	Computer Sciences Corp.		548,064
	7,100	Consolidated Edison, Inc.		396,109
	5,300	Cooper Industries Plc		394,850
	2,700	Core Laboratories NV		278,586
	6,400	Coventry Health Care, Inc.		279,552
	10,900	Covidien Plc		633,399
	6,100	CR Bard, Inc.		603,961
	5,700	Crown Castle International Corp. *		384,864
	26,700	CVS Caremark Corp.		1,241,817
	9,700	Danaher Corp.		523,509
	45,000	Dell, Inc.		433,800
	4,000	Digital Realty Trust, Inc. REIT		258,160
	27,900	Discover Financial Services		1,160,919
	8,500	Dollar General Corp. *		425,000
	8,600	Dollar Tree, Inc. *		358,964
	13,700	eBay, Inc. *		723,634
	20,700	Ecolab, Inc.		1,492,056
	35,500	Eli Lilly & Co.		1,740,920
	18,500	EMC Corp. *		459,170
	5,200	Entergy Corp.		330,408
	1,600	Essex Property Trust, Inc. REIT		224,784
	11,800	Exelon Corp.		356,596
	10,700	Expeditors International of Washington, Inc.		400,394
	9,900	Fastenal Co.		413,919
	24,200	Fifth Third Bancorp		354,288
	8,700	FMC Corp.		482,502
	13,900	Forest Laboratories, Inc. *		492,894


Shares		Description	Value ($)
		United States — continued
	1,800	Franklin Resources, Inc.		237,636
	12,800	GameStop Corp.-Class A		336,000
	15,500	Gap Inc. (The)		534,130
	25,800	General Growth Properties, Inc. REIT		499,746
	58,100	General Motors Co. *		1,503,628
	22,900	General Dynamics Corp.		1,522,850
	10,400	General Mills, Inc.		426,296
	9,500	Genuine Parts Co.		618,355
	6,300	Gilead Sciences, Inc. *		472,500
	5,300	Google, Inc.-Class A *		3,701,361
	52,100	Hartford Financial Services Group, Inc. (The)		1,103,478
	73,100	Hewlett-Packard Co.		949,569
	10,600	HollyFrontier Corp.		480,498
	48,300	Home Depot, Inc.		3,142,881
	6,500	Honeywell International, Inc.		398,645
	17,100	Hormel Foods Corp.		530,271
	7,800	Illinois Tool Works, Inc.		480,246
	7,800	Ingersoll-Rand Plc		380,484
	31,800	Intel Corp.		622,326
	14,300	International Business Machines Corp.		2,718,001
	12,500	Intuit, Inc.		748,875
	800	Intuitive Surgical, Inc. *		423,200
	19,500	Invesco Ltd.		487,305
	71,000	Johnson & Johnson		4,950,830
	26,200	JPMorgan Chase & Co.		1,076,296
	16,500	Kimberly–Clark Corp.		1,414,380
	13,000	Kinder Morgan Inc.		439,530
	8,600	L-3 Communications Holdings, Inc.		660,910
	8,800	Limited Brands, Inc.		458,920
	17,100	Lincoln National Corp.		422,370
	4,500	Lockheed Martin Corp.		419,850
	13,300	Lowe’s Cos., Inc.		479,997
	8,200	LyondellBasell Industries NV-Class A		407,786
	21,700	Macy’s, Inc.		839,790
	12,400	Marathon Petroleum Corp.		738,296
	18,500	Marathon Oil Corp.		570,725
	2,000	Mastercard, Inc.-Class A		977,360
	24,500	McDonald’s Corp.		2,132,480
	4,500	Mead Johnson Nutrition Co.		306,855
	15,100	Medtronic, Inc.		635,861
	61,800	Merck & Co., Inc.		2,737,740
	15,000	MetLife, Inc.		497,850
	191,400	Microsoft Corp.		5,095,068
	10,300	Monsanto Co.		943,377
	13,400	Monster Beverage Corp. *		697,470
	4,300	NextEra Energy, Inc.		295,453
	18,500	Nike, Inc.-Class B		1,803,380
	19,900	NiSource, Inc.		480,983
	4,500	O’Reilly Automotive, Inc. *		423,360
	68,700	Oracle Corp.		2,205,270


Shares		Description	Value ($)
		United States — continued
	26,500	Paychex, Inc.		862,310
	38,500	PepsiCo, Inc.		2,703,085
	146,773	Pfizer, Inc.		3,672,260
	39,600	Philip Morris International Inc.		3,559,248
	16,300	Pitney Bowes, Inc.		182,397
	1,400	Priceline.com, Inc. *		928,424
	51,100	Procter & Gamble Co. (The)		3,568,313
	11,600	ProLogis, Inc. REIT		393,704
	8,200	Prudential Financial, Inc.		427,384
	6,000	Public Storage REIT		843,840
	35,200	Qualcomm, Inc.		2,239,424
	6,200	Raytheon Co.		354,206
	1,800	Regeneron Pharmaceuticals, Inc. *		317,790
	89,600	Regions Financial Corp.		597,632
	19,000	Reynolds American, Inc.		830,680
	12,900	Rockwell Collins, Inc.		737,622
	9,200	Ross Stores, Inc.		523,664
	20,600	RR Donnelley & Sons Co.		193,640
	4,400	Sherwin-Williams Co. (The)		671,088
	8,700	Sigma–Aldrich Corp.		630,924
	8,700	Simon Property Group, Inc. REIT		1,323,531
	20,800	Starbucks Corp.		1,078,896
	18,100	Stryker Corp.		980,296
	19,700	SunTrust Banks, Inc.		534,855
	39,700	Sysco Corp.		1,256,505
	4,600	T. Rowe Price Group, Inc.		297,482
	4,100	Teradata Corp. *		243,868
	8,900	Tesoro Corp.		376,292
	7,000	Time Warner Cable, Inc.		664,230
	24,800	TJX Cos., Inc. (The)		1,099,632
	3,700	TransDigm Group, Inc.		503,274
	5,800	Travelers Cos., Inc. (The)		410,756
	7,700	Union Pacific Corp.		945,406
	27,115	UnitedHealth Group, Inc.		1,474,785
	10,200	United Technologies Corp.		817,122
	48,200	US Bancorp		1,554,932
	37,100	Valero Energy Corp.		1,196,846
	2,600	Valspar Corp.		163,228
	7,700	Varian Medical Systems, Inc. *		532,532
	9,300	Verisk Analytics, Inc.-Class A *		463,512
	3,200	VF Corp.		513,632
	11,600	Visa, Inc.-Class A		1,736,636
	13,700	Walgreen Co.		464,567
	35,700	Walt Disney Co. (The)		1,772,862
	45,300	Wal–Mart Stores, Inc.		3,262,506
	16,800	WellPoint, Inc.		939,120
	90,000	Wells Fargo & Co.		2,970,900
	8,200	Western Digital Corp.		274,208
	11,200	Weyerhaeuser Co. REIT		308,672
	3,800	Whirlpool Corp.		386,992


Shares / Par Value		Description	Value ($)
		United States — continued
	4,400	Whole Foods Market, Inc.		410,784
	4,900	WW Grainger, Inc.		950,698
	13,200	Yum! Brands, Inc.		885,456

		Total United States		180,064,363


		TOTAL COMMON STOCKS (COST $304,106,485)		323,329,606


		PREFERRED STOCKS — 0.5%

		Germany — 0.5%
	2,195	Henkel AG & Co KGaA 1.27%		183,425
	12,089	Porsche Automobil Holding SE 1.35%		897,455
	3,179	Volkswagen AG 1.86%		689,152

		Total Germany		1,770,032


		TOTAL PREFERRED STOCKS (COST $1,398,359)		1,770,032


		MUTUAL FUNDS — 2.8%

		United States — 2.8%

		Affiliated Issuers — 2.8%
	388,333	GMO U.S. Treasury Fund		9,708,325


		TOTAL MUTUAL FUNDS (COST $9,708,325)		9,708,325


		SHORT-TERM INVESTMENTS — 0.9%

		Time Deposits — 0.9%
AUD	14,019	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		14,630
CAD	9,982	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 12/03/12		10,049


Par Value		Description	Value ($)
		Time Deposits — continued
CHF	19,308	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		20,835
GBP	29,963	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		48,006
HKD	77,661	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,020
NOK	57,056	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,072
SEK	138,484	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		20,814
SGD	15,178	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		12,435
EUR	73,719	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		95,876
JPY	5,148,922	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		62,461
USD	2,341,686	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		2,341,686
USD	290,285	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		290,285

		Total Time Deposits		2,937,169


		TOTAL SHORT-TERM INVESTMENTS (COST $2,937,169)		2,937,169


		TOTAL INVESTMENTS — 99.4% (Cost $318,150,338)		337,745,132
		Other Assets and Liabilities (net) — 0.6%		1,921,907


		TOTAL NET ASSETS — 100.0%		$339,667,039

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

JPM - J.P. Morgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 92.4%

		Japan — 92.4%
	847,000	77 Bank Ltd (The)		3,468,845
	36,700	ABC-Mart Inc		1,563,424
	3,862	Accordia Golf Co Ltd		3,609,753
	1,083	Activia Properties Inc (REIT)		6,715,853
	4,019	Advance Residence Investment Corp (REIT)		8,436,784
	190,000	Aeon Co Ltd		2,127,744
	28,300	Ahresty Corp		135,042
	9,586	Aisan Industry Co Ltd		74,332
	21,800	Alconix Corp		330,937
	34,000	Alfresa Holdings Corp		1,428,689
	190,400	Alps Electric Co Ltd		1,205,047
	224,700	AOC Holdings Inc		835,487
	47,600	Arc Land Sakamoto Co Ltd		710,931
	33,300	Arcs Co Ltd		689,567
	205,754	Arnest One Corp		2,813,405
	27,100	ARRK Corp *		56,942
	12,800	Asahi Holdings Inc		217,348
	141,000	Asahi Glass Co Ltd		1,078,020
	323,000	Asanuma Corp *		232,484
	33,000	ASKUL Corp		494,372
	20,000	Axell Corp		468,899
	99,000	Bando Chemical Industries Ltd		313,311
	2,530,000	Bank of Yokohama Ltd (The)		12,027,779
	166,500	Belluna Co Ltd		1,241,593
	233,000	Best Denki Co Ltd *		342,943
	2,009	BIC Camera Inc		989,914
	102,000	Brother Industries Ltd		993,056
	345,000	Calsonic Kansei Corp		1,595,132
	81,456	Cawachi Ltd		1,585,209
	9,900	Central Japan Railway Co		785,103
	300,420	Century Tokyo Leasing Corp		5,899,220
	2,169,000	Chiba Bank Ltd		12,977,019
	16,700	Chiyoda Integre Co Ltd		169,418
	62,464	Chori Co Ltd		669,615
	266,400	Chubu Electric Power Co Inc		3,607,391
	204,657	Chuetsu Pulp & Paper Co Ltd		348,961
	32,000	Chugoku Marine Paints Ltd		174,039
	7,100	Coca–Cola Central Japan Co Ltd		88,608
	73,500	Cocokara fine Inc		2,306,957
	2,770,000	Cosmo Oil Co Ltd		5,394,360
	12,674	Dai-ichi Life Insurance Co Ltd (The)		14,453,713
	684,300	Daiei Inc *		1,338,832
	121,000	Daihatsu Diesel Manufacturing Co Ltd		325,144
	284,570	Daiho Corp		359,807
	184,000	Daiichi Jitsugyo Co Ltd		824,606
	12,000	Daiichikosho Co Ltd		280,081
	61,000	Dainichiseika Color & Chemicals Manufacturing Co Ltd		245,201


Shares		Description	Value ($)
		Japan — continued
	28,000	Daio Paper Corp		177,227
	207,100	Daito Trust Construction Co Ltd		20,121,615
	183	Daiwa House Investment Corp (REIT) *		1,112,185
	76,000	Daiwa Industries Ltd		328,993
	972,000	Daiwabo Holdings Co Ltd		1,997,484
	77,000	Dai Nippon Printing Co Ltd		578,512
	47,800	DCM Holdings Co Ltd		307,996
	169,012	Dena Co Ltd		6,192,136
	286,000	Denki Kagaku Kogyo K K		936,697
	1,229,000	DIC Corp		2,214,733
	7,500	Doshisha Co Ltd		202,029
	3,596	eAccess Ltd		2,652,305
	29,000	Eagle Industry Co Ltd		209,881
	383,700	Edion Corp		1,505,330
	35,100	Electric Power Development Co Ltd		888,598
	22,000	Exedy Corp		483,668
	14,300	F-Tech Inc		193,807
	47,600	Ferrotec Corp		166,204
	9,200	Fields Corp		118,925
	86,700	Foster Electric Co Ltd		1,562,244
	39,152	Fuji Kosan Co Ltd *		219,009
	1,713	Fuji Media Holdings Inc		2,496,041
	271,000	Fujikura Ltd		765,820
	1,300	Fujimori Kogyo Co Ltd		35,280
	164,300	Fujisash Co Ltd *		144,275
	76,000	Fujitsu General Ltd		699,620
	493,000	Fujitsu Ltd		1,874,166
	636,000	Fuji Electric Co Ltd		1,362,352
	82,000	Fuji Heavy Industries Ltd		924,601
	7,807	Fuji Soft Inc		158,022
	1,800,000	Fukuoka Financial Group Inc		7,116,140
	1,471	FULLCAST Holdings Co Ltd *		274,728
	362,000	Furukawa-Sky Aluminum Corp		896,521
	324,800	Futaba Industrial Co Ltd *		1,266,947
	83,700	Fuyo General Lease Co Ltd		2,359,423
	1,546	Geo Corp		1,653,015
	58,000	Godo Steel Ltd		101,113
	198,229	GSI Creos Corp		257,942
	9,600	Gulliver International Co Ltd		363,937
	49,000	Gunze Ltd		121,468
	56,058	Hajime Construction Co Ltd		1,766,831
	17,600	Hakuto Co Ltd		159,930
	3,400	Hamakyorex Co Ltd		101,632
	1,080,711	Hanwa Co Ltd		3,574,406
	12,000	Happinet Corp		86,255
	1,154,500	Haseko Corp *		758,551
	337,300	Hazama Corp		804,689
	92,800	Heiwado Co Ltd		1,293,742
	29,000	Higashi Nihon House Co Ltd		110,285


Shares		Description	Value ($)
		Japan — continued
	25,200	Hikari Tsushin Inc		1,146,726
	18,100	Hisamitsu Pharmaceutical Co Inc		943,588
	4,900	Hogy Medical Co Ltd		241,000
	105,600	Hokkaido Electric Power Co Inc		1,046,860
	74,800	Hokuriku Electric Power Co		829,907
	647	Hoosiers Corp		457,207
	16,475	Hosiden Corp		97,899
	104,619	Idemitsu Kosan Co Ltd		8,597,687
	9,600	Imasen Electric Industrial Co Ltd		110,840
	3,857	Inaba Denki Sangyo Co Ltd		109,758
	299,200	Inabata & Co Ltd		1,887,197
	435	Industrial & Infrastructure Fund Investment Corp (REIT)		3,367,267
	545	INPEX Corp		2,930,750
	66,500	IT Holdings Corp		812,897
	156,353	Itochu Enex Co Ltd		789,932
	5,200	Itochu-Shokuhin Co Ltd		181,853
	1,386,000	Itochu Corp		13,902,246
	81,100	Itoki Corp		421,948
	780,200	Iwatani Corp		2,921,293
	265,903	Izumiya Co Ltd		1,314,641
	91,000	Izumi Co Ltd		2,036,446
	599,000	Izutsuya Co Ltd *		387,763
	35,600	Japan Airlines Co Ltd *		1,636,732
	1,532	Japan Prime Realty Investment Corp (REIT)		4,532,737
	45,000	Japan Pulp & Paper Co Ltd		146,110
	359	Japan Excellent Inc (REIT)		2,011,274
	6,115	Japan Retail Fund Investment Corp (REIT)		11,138,067
	511,432	JFE Holdings Inc		7,969,515
	153,239	Joshin Denki Co Ltd		1,581,998
	118,900	JVC Kenwood Corp		419,715
	2,601,900	JX Holdings Inc		13,934,487
	72,840	K’s Holdings Corp		1,649,415
	28,700	Kaga Electronics Co Ltd		262,861
	524,000	Kajima Corp		1,512,267
	103,000	Kamei Corp		908,456
	47,000	Kanamoto Co Ltd		599,728
	37,000	Kandenko Co Ltd		161,588
	112,000	Kaneka Corp		564,061
	2,343,000	Kanematsu Corp *		2,737,901
	585,300	Kansai Electric Power Co Inc (The)		5,567,306
	19,000	Kasai Kogyo Co Ltd		88,834
	66,900	Kasumi Co Ltd		422,984
	58,000	Kato Works Co Ltd		151,421
	76,200	Kato Sangyo Co Ltd		1,358,165
	138,000	Kawai Musical Instruments Manufacturing Co Ltd		251,899
	3,552,000	Kawasaki Kisen Kaisha Ltd *		4,712,254
	81,700	KDDI Corp		6,062,379


Shares		Description	Value ($)
		Japan — continued
	78,500	Keiyo Co Ltd		429,323
	1,240	Kenedix Realty Investment Corp (REIT)		4,122,917
	109,000	Kinki Nippon Tourist Co Ltd *		150,177
	108,000	Kitagawa Iron Works Co Ltd		177,467
	2,661,000	Kobe Steel Ltd *		2,499,507
	142,560	Kohnan Shoji Co Ltd		1,658,541
	111,200	Kojima Co Ltd		351,674
	30,500	Konaka Co Ltd		222,927
	39,770	Kosaido Co Ltd *		149,779
	108,000	Krosaki Harima Corp		250,475
	896,567	Kumagai Gumi Co Ltd *		840,296
	797,842	Kurabo Industries Ltd		1,272,057
	46,300	Kuroda Electric Co Ltd		492,075
	130,000	Kyodo Printing Co Ltd		358,721
	62,000	Kyoritsu Maintenance Co Ltd		1,309,840
	68,800	Kyowa Exeo Corp		697,367
	103,000	Kyudenko Corp		462,682
	133,900	Kyushu Electric Power Co Inc		1,254,803
	7,600	Macnica Inc		147,071
	105,000	Maeda Corp		472,521
	5,300	Mars Engineering Corp		114,829
	1,710,000	Marubeni Corp		11,313,205
	335,300	Marudai Food Co Ltd		1,162,128
	136,074	Maruetsu Inc (The)		442,404
	869,000	Maruha Nichiro Holdings Inc		1,446,660
	38,000	Maruzen Showa Unyu Co Ltd		107,703
	17,700	Matsumotokiyoshi Holdings Co Ltd		424,448
	2,836,000	Mazda Motor Corp *		4,494,383
	145,200	Medipal Holdings Corp		1,720,722
	5,300	Meiko Electronics Co Ltd		42,908
	59,100	Meiwa Corp		234,249
	1,190	MID REIT Inc (REIT)		2,972,254
	72,100	Mikuni Coca–Cola Bottling Co Ltd		601,169
	332,344	Mirait Holdings Corp		2,609,374
	136,000	Misawa Homes Co Ltd		1,948,580
	103,000	Mitsuba Corp		682,795
	306,000	Mitsubishi Materials Corp		877,351
	50,800	Mitsubishi Shokuhin Co Ltd		1,266,907
	134,166	Mitsubishi Steel Manufacturing Co Ltd		244,261
	1,094,000	Mitsubishi Chemical Holdings Corp		4,799,693
	928,700	Mitsubishi Corp		17,677,997
	291,000	Mitsubishi Gas Chemical Co Inc		1,723,506
	735,392	Mitsubishi Paper Mills Ltd *		689,770
	7,439,300	Mitsubishi UFJ Financial Group Inc		34,216,333
	158,390	Mitsubishi UFJ Lease & Finance Co Ltd		6,923,541
	1,332,000	Mitsui Chemicals Inc		3,017,729
	783,496	Mitsui Engineer & Shipbuilding Co Ltd		1,038,895
	571,000	Mitsui Matsushima Co Ltd		923,831
	32,000	Mitsui Sugar Co Ltd		98,010


Shares		Description	Value ($)
		Japan — continued
	731,200	Mitsui & Co Ltd		10,148,780
	62,000	Mitsui Home Co Ltd		302,295
	570,000	Mitsui Mining & Smelting Co Ltd		1,132,651
	3,394,000	Mitsui OSK Lines Ltd		8,562,018
	96,000	Miyaji Engineering Group Inc *		173,944
	6,512,400	Mizuho Financial Group Inc		10,499,563
	204,000	Morinaga Milk Industry Co Ltd		662,092
	37,250	Moshi Moshi Hotline Inc		531,838
	95	MTI Ltd		90,898
	3,400	Nafco Co Ltd		48,251
	23,100	Nagase & Co		251,423
	566,000	Nakayama Steel Works Ltd *		373,503
	169,123	Namura Shipbuilding Co Ltd		503,611
	55,900	NEC Capital Solutions Ltd		778,867
	1,632,000	NEC Corp *		2,856,156
	22,500	NEC Mobiling Ltd		896,250
	12,400	NEC Fielding Ltd		144,845
	14,400	NEC Networks & System Integration Corp		257,850
	97,300	New Japan Chemical Co Ltd		366,101
	70,000	Nichias Corp		335,784
	13,300	Nichiha Corp		150,461
	200	Nichirei Corp		1,086
	50,200	Nihon Unisys Ltd		360,912
	197,000	Nihon Yamamura Glass Co Ltd		419,050
	22,400	Nintendo Co Ltd		2,691,894
	252,000	Nippon Carbide Industries Co Inc		624,531
	571,000	Nippon Coke & Engineering Co Ltd		688,991
	39,000	Nippon Corp		450,720
	119,000	Nippon Formula Feed Manufacturing Co Ltd		147,629
	1,470,700	Nippon Light Metal Co Ltd *		1,325,244
	4,000	Nippon Pillar Packing Co Ltd		24,415
	379,000	Nippon Road Co Ltd (The)		1,444,896
	22,400	Nippon Seiki Co Ltd		221,916
	86,000	Nippon Shokubai Co Ltd		839,953
	102,000	Nippon Soda Co Ltd		448,613
	162,000	Nippon Steel Trading Co Ltd		374,820
	65,000	Nippon Densetsu Kogyo Co Ltd		569,335
	434,000	Nippon Electric Glass Co Ltd		2,485,304
	19,000	Nippon Flour Mills Co Ltd		80,333
	158,900	Nippon Paper Group Inc		1,955,437
	1,695,000	Nippon Sheet Glass Co Ltd		1,905,415
	227,100	Nippon Suisan Kaisha Ltd		403,405
	432,100	Nippon Telegraph & Telephone Corp		19,437,857
	135,500	Nippon Yakin Koguo Co Ltd *		122,038
	3,319,000	Nippon Yusen Kabushiki Kaisha		7,081,500
	48,300	Nishimatsuya Chain Co Ltd		389,886
	1,328,984	Nishimatsu Construction Co Ltd		2,218,046
	80,572	Nissan Shatai Co Ltd		926,416
	72,000	Nissan Tokyo Sales Holdings Co Ltd *		280,743


Shares		Description	Value ($)
		Japan — continued
	132,600	Nissan Chemical Industries Ltd		1,600,698
	82,600	Nissan Motor Co Ltd		805,058
	86,000	Nissei Build Kogyo Co Ltd		186,380
	98,700	Nissen Holdings Co Ltd		381,682
	67,300	Nisshin Steel Holdings Co Ltd *		478,411
	141,000	Nisshinbo Holdings Inc		1,001,544
	153,000	Nissin Corp		365,880
	14,400	Nitori Holdings Co Ltd		1,071,924
	68,000	Nittetsu Mining Co Ltd		282,097
	46,900	Nittoc Construction Co Ltd		179,553
	559	Nomura Real Estate Office Fund (REIT)		3,351,421
	281,000	NS United Kaiun Kaisha Ltd *		329,100
	1,164,000	NTN Corp		2,424,588
	2,702	NTT Docomo Inc		3,917,163
	424,000	Oki Electric Industry Co Ltd *		407,644
	13,900	Okinawa Cellular Telephone Co		306,004
	51,900	Okinawa Electric Power Co		1,542,454
	77,000	Okuwa Co Ltd		1,015,401
	10,000	Onoken Co Ltd		78,194
	20,000	Oracle Corp		841,547
	70,450	ORIX Corp		7,098,719
	246,000	Pacific Metals Co Ltd		833,057
	18,400	Paltac Corp		218,572
	5,000	Parco Co Ltd		50,446
	314	Pasona Group Inc		183,537
	147,620	Penta Ocean Construction Co Ltd		372,611
	2,812	PGM Holdings KK		2,419,343
	79,291	Point Inc		2,867,579
	464	Premier Investment Corp (REIT)		1,690,909
	166,000	Press Kogyo Co Ltd		710,926
	860,000	Prima Meat Packers Ltd		1,474,356
	3,100	PS Mitsubishi Construction Co Ltd		14,563
	82,800	Raito Kogyo Co Ltd		400,406
	179,000	Rengo Co Ltd		933,944
	317,000	Ricoh Company Ltd		2,955,269
	25,300	Right On Co Ltd		187,991
	27,000	Riken Corp		97,386
	16,800	Riso Kagaku Corp		318,327
	69,886	Round One Corp		394,284
	54,000	Ryobi Ltd		123,599
	14,500	S Foods Inc		135,233
	16,300	Saint Marc Holdings Co Ltd		590,915
	141,000	San-Ai Oil Co Ltd		620,037
	84,000	Sanden Corp		325,427
	31,000	Sanki Engineering		146,878
	167,000	Sankyo–Tateyama Holdings Inc		344,026
	38,300	Sankyo Co Ltd		1,571,375
	163,418	Sankyu Inc		668,667
	52,400	Sanoyas Holdings Corp *		92,122


Shares		Description	Value ($)
		Japan — continued
	95,800	Sanshin Electronics Co Ltd		653,081
	71,000	Sanyo Special Steel Co Ltd		208,447
	2,100	San–A Co Ltd		76,246
	573,000	Sasebo Heavy Industries Co Ltd		537,512
	441,000	Sata Construction Co Ltd *		353,719
	74,000	Seika Corp		205,080
	459,000	Seikitokyu Kogyo Co Ltd *		319,139
	237,000	Seiko Holdings Corp *		545,639
	44,000	Seino Holdings Co Ltd		267,281
	10,700	Seiren Co Ltd		64,062
	282	Sekisui House SI Investment Co (REIT)		1,297,154
	260,516	Senko Co Ltd		1,095,063
	30,500	Senshukai Co Ltd		193,811
	810,000	Sharp Corp		1,692,055
	9,400	Shimachu Co Ltd		198,320
	12,800	Shinko Plantech Co Ltd		101,949
	34,400	Shinko Shoji Co Ltd		284,565
	45,000	ShinMaywa Industries Ltd		272,903
	11,608,000	Shinsei Bank Ltd		19,776,156
	185,618	Shinsho Corp		336,631
	59,668	Shiroki Corp		136,504
	938,000	Shizuoka Bank Ltd (The)		9,288,138
	63,500	Shizuoka Gas Co Ltd		459,926
	37,955	Showa Corp		382,139
	65,000	Showa Sangyo Co Ltd		217,247
	879,300	Showa Shell Sekiyu KK		5,134,218
	4,900	Siix Corp		61,601
	71,000	Sinanen Co Ltd		296,977
	83,600	Skymark Airlines Inc *		450,948
	38,500	Sodick Co Ltd		169,413
	5,962,800	Sojitz Corp		7,541,061
	69,200	Stanley Electric Co Ltd		975,539
	38,013	Sumida Corp		190,780
	613,176	Sumikin Bussan Corp		1,535,684
	259,400	Sumiseki Holdings Inc *		231,035
	358,000	Sumitomo Chemical Co Ltd		1,026,186
	14,100	Sumitomo Densetsu Co Ltd		137,962
	435,000	Sumitomo Heavy Industries Ltd		1,838,017
	2,780,000	Sumitomo Light Metal Industries Ltd		2,298,157
	892,300	Sumitomo Mitsui Construction Co Ltd *		575,863
	26,000	Sumitomo Seika Chemicals Co Ltd		92,182
	1,215,000	Sumitomo Corp		15,134,746
	1,099,000	Sumitomo Mitsui Financial Group Inc		35,575,077
	3,712,000	Sumitomo Mitsui Trust Holdings Inc		11,317,774
	276,000	Suruga Bank Ltd		3,575,857
	40,752	Suzuken Co Ltd		1,215,369
	66,000	SWCC Showa Holdings Co Ltd		49,911
	39,000	T RAD Co Ltd		91,835
	16,600	Tachi-S Co Ltd		321,266


Shares		Description	Value ($)
		Japan — continued
	337	Tact Home Co Ltd		340,928
	437,400	Taihei Kogyo Co Ltd		1,557,191
	667,836	Taisei Corp		1,818,788
	114,000	Takashima & Co Ltd		361,435
	55,000	Takashimaya Co Ltd		348,750
	4,151	Take And Give Needs Co Ltd		435,881
	187,000	Takeda Pharmaceutical Co Ltd		8,560,351
	36,000	Takiron Co Ltd		120,460
	75,000	TBK Co Ltd		379,536
	26,900	Teikoku Piston Ring Co Ltd		338,486
	556,000	Tekken Corp		718,030
	25,020	Tera Probe Inc *		181,304
	20,700	Terumo Corp		879,601
	657,098	TOA Corp		999,598
	57,000	Toa Road Corp		159,010
	80,000	Toagosei Co Ltd		343,393
	667,388	Tobishima Corp *		698,678
	243,700	Tohoku Electric Power Co Inc *		2,213,151
	162,400	Toho Holdings Co Ltd		3,109,258
	208,000	Tohto Suisan Co Ltd		318,759
	42,900	Tokai Rika Co Ltd		555,683
	23,490	Token Corp		1,070,892
	718,400	Tokio Marine Holdings Inc		18,500,419
	542,000	Tokuyama Corp		910,820
	71,000	Tokyo Dome Corp *		229,290
	103,000	Tokyo Tekko Co Ltd		354,213
	552	Tokyu REIT Inc (REIT)		2,977,981
	210,577	Tokyu Construction Co Ltd		404,098
	3,800	Tomen Electronics Corp		44,799
	407,000	TonenGeneral Sekiyu KK		3,784,551
	21,500	Toppan Forms Co Ltd		201,314
	141,000	Toppan Printing Co Ltd		875,645
	102,000	Topy Industries Ltd		218,813
	761,000	Tosoh Corp		1,640,703
	24,633	Totetsu Kogyo Co Ltd		288,523
	79,190	Touei Housing Corp		828,114
	73,000	Toyo Kanetsu KK		157,610
	12,000	Toyo Kohan Co Ltd		31,685
	734,000	Toyo Tire & Rubber Co Ltd		2,047,181
	55,600	Toyota Motor Corp		2,393,975
	494,200	Toyota Tsusho Corp		11,417,834
	40,200	TS Tech Co Ltd		716,512
	40,300	Tsumura & Co		1,310,205
	134,600	T–Gaia Corp		1,279,423
	341,000	Ube Industries Ltd		708,336
	272,000	Uchida Yoko Co Ltd		727,020
	68,900	Unipres Corp		1,655,675
	5,430	United Urban Investment Corp (REIT)		6,172,914
	1,455,000	Unitika Ltd *		706,199


Shares / Par Value		Description	Value ($)
		Japan — continued
	272,400	UNY Co Ltd		1,909,572
	377,730	Usen Corp *		578,903
	10,437	USS Co Ltd		1,114,510
	48,600	Valor Co Ltd		754,213
	17,700	Vital KSK Holdings Inc		172,623
	19,701	Warabeya Nichiyo Co Ltd		361,206
	15,200	Xebio Co Ltd		274,239
	133,010	Yamada Denki Co Ltd		4,708,362
	68,800	Yamazen Corp		474,714
	6,400	Yokohama Reito Co Ltd		44,081
	75,200	Yonekyu Corp		636,524
	30,000	Yorozu Corp		438,881
	959,000	Yuasa Trading Co Ltd		1,714,817
	84,000	Yurtec Corp		280,744

		Total Japan		779,533,383


		TOTAL COMMON STOCKS (COST $800,890,578)		779,533,383


		SHORT-TERM INVESTMENTS — 6.7%

		Time Deposits — 6.7%
USD	10,000,000	Barclays (London) Time Deposit, 0.07%, due 12/03/12		10,000,000


Par Value		Description	Value ($)
		Time Deposits — continued
JPY	38,286,666	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		464,447
USD	9,535,722	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		9,535,722
USD	10,000,000	DBS Bank Ltd (Singapore) Time Deposit, 0.07%, due 12/03/12		10,000,000
USD	10,000,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		10,000,000
USD	6,717,536	DnB Nor Bank (Oslo) Time Deposit, 0.07%, due 12/03/12		6,717,536
USD	10,000,000	Royal Bank of Scotland (London) Time Deposit, 0.07%, due 12/03/12		10,000,000

		Total Time Deposits		56,717,705


		TOTAL SHORT-TERM INVESTMENTS (COST $56,717,705)		56,717,705


		TOTAL INVESTMENTS — 99.1% (Cost $857,608,283)		836,251,088
		Other Assets and Liabilities (net) — 0.9%		7,309,992


		TOTAL NET ASSETS — 100.0%	$	843,561,080

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

MSCI - Morgan Stanley & Co. International PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:


Shares		Description	Value ($)
		COMMON STOCKS — 93.5%

		Australia — 5.9%
	394,977	ALS Ltd (Queensland)		3,923,833
	7,915,339	Arrium Ltd		6,791,591
	291,238	Australia and New Zealand Banking Group Ltd		7,411,781
	334,543	BHP Billiton Ltd		12,047,677
	1,572,325	Billabong International Ltd		1,512,347
	15,103,906	BlueScope Steel Ltd *		8,368,119
	177,956	Commonwealth Bank of Australia		11,093,361
	351,838	CSL Ltd		18,976,903
	7,078,146	Dexus Property Group (REIT)		7,429,766
	5,999,371	Goodman Fielder Ltd *		4,199,346
	1,921,982	Goodman Group (REIT)		9,268,228
	2,144,407	GPT Group (REIT)		7,813,636
	2,007,238	Investa Office Fund (REIT)		6,077,988
	360,609	JB Hi–Fi Ltd		3,737,838
	224,378	Macquarie Group Ltd		7,680,938
	4,200,523	Mirvac Group (REIT)		6,450,770
	545,206	Myer Holdings Ltd		1,234,532
	2,490,562	Pacific Brands Ltd		1,547,794
	1,948,735	Qantas Airways Ltd *		2,698,126
	2,596,372	QBE Insurance Group Ltd		29,667,239
	1,667,480	Resolute Mining Ltd		3,222,497
	4,483,543	Stockland (REIT)		15,868,105
	1,604,073	TABCORP Holdings Ltd		4,690,097
	602,799	Tatts Group Ltd		1,842,547
	10,160,082	Telstra Corp Ltd		45,707,040
	99,886	Wesfarmers Ltd		3,704,945
	1,019,200	Westpac Banking Corp		27,146,147

		Total Australia		260,113,191


		Austria — 0.6%
	86,524	Andritz AG		5,512,399
	336,479	OMV AG		12,039,145
	71,527	Raiffeisen International Bank Holding		2,947,827
	203,982	Voestalpine AG		6,590,295

		Total Austria		27,089,666


		Belgium — 1.8%
	394,418	Ageas		10,555,513
	625,416	Anheuser-Busch InBev NV		54,919,269
	288,078	Belgacom SA		8,469,994
	109,087	Delhaize Group		4,041,716

		Total Belgium		77,986,492


		Canada — 3.2%
	32,600	Agrium Inc		3,329,082
	50,500	Alimentation Couche Tard Inc		2,494,624
	95,500	BCE Inc		4,043,620
	593,800	Canadian Natural Resources Ltd		17,090,393
	18,000	Canadian Tire Corp Ltd		1,194,141


Shares		Description	Value ($)
		Canada — continued
	147,100	Canadian National Railway Co		13,229,893
	28,000	Canadian Pacific Railway Ltd		2,612,976
	33,100	Dollarama Inc		2,114,255
	92,665	Enbridge Inc		3,751,937
	744,900	Encana Corp		16,272,542
	410,830	First Quantum Minerals Ltd		8,437,038
	216,400	Husky Energy Inc		6,073,622
	562,700	Manulife Financial Corp		7,239,448
	80,255	Methanex Corp		2,428,616
	119,400	Metro Inc - Class A		7,351,391
	1,121,000	Research In Motion Ltd *		13,079,368
	230,958	Royal Bank of Canada		13,694,495
	375,400	Sherritt International Corp		1,923,578
	598,800	Sun Life Financial Inc		16,390,368

		Total Canada		142,751,387


		Denmark — 1.0%
	6,853	Coloplast A/S		1,600,077
	74,697	GN Store Nord A/S		1,055,126
	267,454	Novo-Nordisk A/S - Class B		42,394,260

		Total Denmark		45,049,463


		Finland — 0.6%
	255,516	Neste Oil Oyj		3,266,302
	59,168	Nokian Renkaat Oyj		2,473,602
	6,425,171	Nokia Oyj		21,110,861
	87,850	Tieto Oyj		1,688,951

		Total Finland		28,539,716


		France — 11.0%
	1,226,676	Air France–KLM *		11,265,234
	119,691	Arkema		12,250,270
	399,557	AXA		6,580,665
	333,321	BNP Paribas		18,652,990
	71,086	Bouygues SA		1,756,714
	57,501	Compagnie Generale des Etablissements Michelin - Class B		5,359,091
	85,323	Essilor International SA		8,243,667
	295,738	European Aeronautic Defense and Space Co NV		9,969,438
	1,045,635	France Telecom SA		11,122,224
	138,303	GDF Suez		3,111,443
	69,734	Gemalto NV		6,416,955
	38,958	L’Oreal SA		5,290,430
	40,128	Lafarge SA		2,335,227
	233,164	Lagardere SCA		7,028,466
	49,846	Pernod-Ricard SA		5,647,844
	1,673,899	Peugeot SA *		10,285,195
	51,431	Rallye SA		1,539,561
	10,289	Remy Cointreau SA		1,152,854
	499,199	Renault SA		25,007,524


Shares		Description	Value ($)
		France — continued
	77,183	Safran SA		3,164,481
	1,481,264	Sanofi		132,302,727
	3,409,044	Total SA		170,846,201
	991,987	Vivendi SA		21,339,953
	71,287	Zodiac Aerospace		7,971,020

		Total France		488,640,174


		Germany — 6.2%
	103,239	Adidas AG		9,081,702
	147,334	Aurubis AG		9,363,504
	403,456	Bayer AG (Registered)		36,513,902
	33,890	Beiersdorf AG		2,657,891
	59,967	Continental AG		6,646,417
	531,286	Deutsche Lufthansa AG (Registered)		8,823,985
	86,236	Deutsche Bank AG (Registered)		3,803,817
	308,139	Deutsche Post AG (Registered)		6,400,316
	70,295	Duerr AG		5,867,177
	4,257,682	E.ON AG		76,778,827
	228,903	GEA Group AG		7,486,592
	94,789	Lanxess AG		8,256,015
	174,783	Leoni AG		6,070,332
	98,491	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		16,819,261
	665,343	RWE AG		27,753,904
	120,898	Salzgitter AG		5,569,101
	335,429	SAP AG		26,189,974
	249,505	Suedzucker AG		9,828,478

		Total Germany		273,911,195


		Greece — 0.2%
	597,606	Marfin Investment Group SA *		245,313
	902,628	OPAP SA		5,871,995
	609,422	Public Power Corp SA *		3,535,193

		Total Greece		9,652,501


		Hong Kong — 0.9%
	189,000	Cheung Kong Holdings Ltd		2,878,733
	1,543,721	CLP Holdings Ltd		13,488,774
	4,027,100	Esprit Holdings Ltd		6,237,257
	948,000	Galaxy Entertainment Group Ltd *		3,606,831
	4,909,000	Pacific Basin Shipping Ltd		2,597,578
	578,500	Swire Pacific Ltd		7,108,768
	1,125,000	Yue Yuen Industrial Holdings		3,918,478

		Total Hong Kong		39,836,419


		Ireland — 0.8%
	539,215	C&C Group Plc		2,872,125
	614,916	CRH Plc		11,256,157
	137,700	DCC Plc		4,154,249
	182,870	Kerry Group Plc - Class A		9,580,365


Shares		Description	Value ($)
		Ireland — continued
	87,321	Paddy Power Plc		6,588,727

		Total Ireland		34,451,623


		Israel — 0.2%
	543,520	Africa Israel Investments Ltd *		1,311,839
	76,066	Mellanox Technologies Ltd *		5,775,215
	318,686	Partner Communications Co Ltd		2,058,324
	1,999	Paz Oil Co Ltd		278,501

		Total Israel		9,423,879


		Italy — 5.4%
	2,089,719	A2A SPA		1,139,523
	196,571	Azimut Holding SPA		2,565,010
	18,579,294	Enel SPA		70,465,983
	2,821,829	ENI SPA		66,917,743
	26,262	Exor SPA		650,026
	793,012	Fiat Industrial SPA		8,479,586
	1,297,757	Fiat SPA *		6,017,649
	2,702,026	Finmeccanica SPA *		14,224,570
	728,038	Impregilo SPA		3,005,720
	3,550,755	Intesa Sanpaolo SPA		5,983,250
	1,234,950	Intesa Sanpaolo SPA-Di RISP		1,688,489
	27,500	Lottomatica SPA		606,656
	64,678	Luxottica Group SPA		2,659,922
	910,518	Mediolanum SPA		4,443,823
	938,571	Pirelli & C SPA		10,905,716
	239,709	Recordati SPA		2,006,828
	19,662,639	Telecom Italia SPA		17,913,997
	14,113,972	Telecom Italia SPA-Di RISP		11,273,127
	1,145,002	Terna SPA		4,351,825
	46,503	Tod’s SPA		5,676,078

		Total Italy		240,975,521


		Japan — 22.3%
	14,400	ABC-Mart Inc		613,441
	3,681	Accordia Golf Co Ltd		3,440,575
	1,570	Advance Residence Investment Corp (REIT)		3,295,783
	274,700	Advantest Corp		3,689,159
	1,489,800	Aeon Co Ltd		16,683,754
	657,000	Anritsu Corp		8,473,857
	589,800	Astellas Pharma Inc		29,857,941
	266,200	Credit Saison Co Ltd		5,940,629
	644,650	Daiei Inc *		1,261,257
	2,465,000	Daikyo Inc		5,945,462
	317,600	Daito Trust Construction Co Ltd		30,857,677
	925,000	Daiwabo Holdings Co Ltd		1,900,898
	361,400	Dena Co Ltd		13,240,705
	1,521,000	DIC Corp		2,740,935
	236,700	Eisai Co Ltd		9,949,009
	43,400	Fast Retailing Co Ltd		9,898,658
	1,307,000	Fuji Electric Co Ltd		2,799,676


Shares		Description	Value ($)
		Japan — continued
	765,000	Fuji Heavy Industries Ltd		8,625,847
	149,500	Fuji Oil Co Ltd		2,147,879
	583,000	Gunze Ltd		1,445,225
	506,000	Hanwa Co Ltd		1,673,574
	7,053,373	Haseko Corp *		4,634,337
	103,600	Hikari Tsushin Inc		4,714,316
	1,227	INPEX Corp		6,598,220
	1,504,348	Isuzu Motors Ltd		8,857,549
	2,266,800	Itochu Corp		22,737,093
	34,300	J Trust Co Ltd		562,261
	874,300	Japan Tobacco Inc		26,215,506
	602,000	JFE Holdings Inc		9,380,813
	678,000	Juki Corp		768,026
	6,117,430	JX Holdings Inc		32,761,923
	323,020	K’s Holdings Corp		7,314,581
	3,866,000	Kajima Corp		11,157,300
	106,220	Kakaku.com Inc		3,662,399
	340,100	Kao Corp		9,351,572
	5,856,000	Kawasaki Kisen Kaisha Ltd *		7,768,851
	589,800	KDDI Corp		43,764,882
	444,000	Kinugawa Rubber Industrial Co Ltd		2,847,084
	2,050,000	Kobe Steel Ltd *		1,925,588
	168,484	Kohnan Shoji Co Ltd		1,960,141
	296,000	Kurimoto Ltd		1,002,093
	141,400	Lawson Inc		9,572,261
	1,458,500	Leopalace21 Corp *		4,600,586
	374,000	Look Inc		1,873,701
	2,323,000	Marubeni Corp		15,368,757
	4,547,000	Mazda Motor Corp *		7,205,910
	340,194	Medipal Holdings Corp		4,031,539
	56,604	Meiji Holdings Co Ltd		2,519,940
	16,400	Misawa Homes Co Ltd		234,976
	2,290,500	Mitsubishi Chemical Holdings Corp		10,049,084
	1,519,400	Mitsubishi Corp		28,922,094
	125,850	Mitsubishi UFJ Lease & Finance Co Ltd		5,501,153
	1,644,783	Mitsui Engineer & Shipbuilding Co Ltd		2,180,939
	719,300	Mitsui & Co Ltd		9,983,613
	1,695,000	Mitsui Mining & Smelting Co Ltd		3,368,148
	2,932,866	Mitsui OSK Lines Ltd		7,398,719
	12,222,500	Mizuho Financial Group Inc		19,705,625
	352,900	Namco Bandai Holdings Inc		4,954,322
	366,000	Nikon Corp		10,198,140
	74,900	Nintendo Co Ltd		9,001,019
	3,088,600	Nippon Light Metal Co Ltd *		2,783,130
	436,300	Nippon Paper Group Inc		5,369,146
	3,847,000	Nippon Steel Corp		8,870,287
	1,018,600	Nippon Telegraph & Telephone Corp		45,821,340
	3,481,000	Nippon Yusen Kabushiki Kaisha		7,427,147
	421,608	Nipro Corp		3,086,605
	120,500	Nitori Holdings Co Ltd		8,969,919
	70,600	Nitto Denko Corp		3,687,219


Shares		Description	Value ($)
		Japan — continued
	399,297	North Pacific Bank Ltd *		1,042,996
	10,131	NTT Docomo Inc		14,687,187
	1,810,000	Obayashi Corp		8,575,419
	1,768,000	Oki Electric Industry Co Ltd *		1,699,798
	109,700	Ono Pharmaceutical Co Ltd		6,008,874
	400,000	Orient Corp *		813,262
	1,819,500	Penta Ocean Construction Co Ltd		4,592,647
	146,110	Point Inc		5,284,104
	6,683,100	Resona Holdings Inc		28,053,706
	710,000	Ricoh Company Ltd		6,619,057
	758,500	Round One Corp		4,279,316
	119,600	Ryohin Keikaku Co Ltd		7,650,136
	200,600	Sankyo Co Ltd		8,230,232
	255,500	Seven & I Holdings Co Ltd		7,446,021
	373,800	Seven Bank Ltd		975,925
	407,600	Shinko Electric Industries Co Ltd		2,859,875
	654,000	SoftBank Corp		24,598,491
	4,907,300	Sojitz Corp		6,206,186
	2,047,420	Sumitomo Light Metal Industries Ltd		1,692,551
	2,202,000	Sumitomo Corp		27,429,391
	282,300	Sumitomo Mitsui Financial Group Inc		9,138,166
	1,206,000	SxL Corp *		2,043,575
	5,598,000	Taiheiyo Cement Co Ltd		12,526,950
	4,089,000	Taisei Corp		11,136,004
	445,500	Taiyo Yuden Co Ltd		3,895,275
	1,030,300	Takeda Pharmaceutical Co Ltd		47,164,332
	960,400	Tokyo Electric Power Co Inc (The) *		1,521,963
	423,000	Tokyo Gas Co Ltd		2,076,596
	2,042,000	Tokyo Tatemono Co Ltd *		8,194,026
	396,000	TonenGeneral Sekiyu KK		3,682,266
	609,000	Tosoh Corp		1,312,993
	1,028,200	Toyota Motor Corp		44,271,312
	806,700	Toyota Tsusho Corp		18,637,732
	440,000	Tsugami Corp		2,735,202
	86,265	Unicharm Corp		4,409,745
	2,124,645	Unitika Ltd *		1,031,217
	928,800	UNY Co Ltd		6,511,052
	61,290	USS Co Ltd		6,544,825
	1,422	Wacom Co Ltd		4,065,519
	494,130	Yamada Denki Co Ltd		17,491,490

		Total Japan		992,287,209


		Malta — 0.0%
	15,998,662	BGP Holdings Plc *		—


		Netherlands — 1.3%
	2,018,738	Aegon NV		11,609,551
	272,076	ASML Holding NV		17,012,949
	224,644	CSM NV		4,443,395
	95,335	Delta Lloyd NV		1,425,246
	1,111,743	ING Groep NV *		10,045,684


Shares		Description	Value ($)
		Netherlands — continued
	1,082,343	Koninklijke BAM Groep NV		4,191,884
	919,534	SNS REAAL NV *		1,257,848
	29,600	Vopak		2,188,056
	75,966	Wereldhave NV (REIT)		4,668,484

		Total Netherlands		56,843,097


		New Zealand — 0.6%
	1,552,192	Chorus Ltd		4,333,149
	1,153,685	Fletcher Building Ltd		7,502,626
	8,890,481	Telecom Corp of New Zealand		16,864,704

		Total New Zealand		28,700,479


		Norway — 0.3%
	225,732	Aker Solutions ASA		4,242,183
	125,673	Petroleum Geo–Services ASA		2,103,146
	251,214	TGS Nopec Geophysical Co ASA		7,941,296

		Total Norway		14,286,625


		Portugal — 0.2%
	4,061,492	EDP - Energias de Portugal SA		10,276,880


		Singapore — 1.6%
	917,000	China Minzhong Food Corp Ltd *		626,955
	934,000	Ezion Holdings Ltd		1,103,654
	3,044,000	Ezra Holdings Ltd *		2,653,238
	37,886,000	Golden Agri-Resources Ltd		20,470,731
	2,721,000	Jaya Holdings Ltd *		1,245,851
	2,529,000	LionGold Corp Ltd *		2,206,556
	718,200	MobileOne Ltd		1,600,106
	2,191,000	Noble Group Ltd		1,942,760
	2,257,000	Singapore Press Holdings Ltd		7,726,029
	9,936,000	Singapore Telecommunications		26,944,330
	688,000	STX OSV Holdings Ltd		779,691
	247,000	Venture Corp Ltd		1,582,073
	3,098,000	Yangzijiang Shipbuilding Holdings Ltd		2,369,072

		Total Singapore		71,251,046


		Spain — 6.3%
	213,318	Abengoa SA		587,706
	78,121	Amadeus IT Holding SA - Class A		1,824,959
	3,141,167	Banco Bilbao Vizcaya Argentaria SA		26,651,287
	10,619,670	Banco Santander SA		81,809,024
	903,597	Distribuidora Internacional de Alimentacion SA		5,615,473
	143,131	Fomento de Construcciones y Contratas SA		1,702,692
	1,256,465	Gas Natural SDG SA		19,513,580
	370,586	Grifols SA *		11,864,832
	4,736,192	Iberdrola SA		23,533,878
	152,034	Inditex SA		20,871,477
	856,657	Repsol YPF SA		18,182,827
	5,038,793	Telefonica SA		66,191,555

		Total Spain		278,349,290


Shares		Description	Value ($)
		Sweden — 0.8%
	398,017	Boliden AB		7,054,756
	416,748	Investor AB - B Shares		9,662,702
	157,637	NCC - Class B		3,064,694
	227,499	Skandinaviska Enskilda Banken AB - Class A		1,833,410
	156,827	Svenska Handelsbanken AB - Class A		5,581,444
	386,455	Swedbank AB Class A		7,146,562

		Total Sweden		34,343,568


		Switzerland — 1.5%
	6,688	AMS AG		723,380
	454,757	Novartis AG (Registered)		28,180,093
	111,097	Roche Holding AG (Non Voting)		21,885,579
	117,985	Swiss Re AG		8,508,848
	30,388	Zurich Insurance Group AG *		7,762,500

		Total Switzerland		67,060,400


		United Kingdom — 20.8%
	1,101,905	Aberdeen Asset Management Plc		5,968,884
	48,515	Admiral Group Plc		870,137
	564,979	Aegis Group Plc		2,128,589
	299,830	Aggreko Plc		10,725,481
	91,088	Ashtead Group Plc		560,017
	2,377,548	AstraZeneca Plc		112,929,311
	1,259,581	Aviva Plc		7,088,989
	173,652	Babcock International Group Plc		2,773,618
	6,642,225	BAE Systems Plc		34,856,359
	14,143,274	Barclays Plc		56,096,945
	275,683	BBA Aviation Plc		944,776
	14,452,673	BP Plc		100,334,700
	335,268	British American Tobacco Plc		17,611,952
	4,524,647	BT Group Plc		16,922,439
	287,110	Bunzl Plc		4,734,173
	39,744	Croda International Plc		1,516,826
	2,204,546	Darty Plc		1,690,174
	1,957,665	Diageo Plc		58,391,700
	12,266,078	Dixons Retail Plc *		5,399,748
	932,603	Drax Group Plc		8,094,423
	185,226	easyJet Plc		2,123,947
	296,558	Fenner Plc		1,838,248
	1,562,193	FirstGroup Plc		4,677,569
	99	Game Group Plc * ^{(a) (b)}		—
	2,571,280	GlaxoSmithKline Plc		55,066,815
	51,653	Halfords Group Plc		282,735
	4,433,582	Home Retail Group Plc		7,943,167
	342,769	IMI Plc		5,795,461
	151,030	InterContinental Hotels Group Plc		4,038,377
	52,174	Intertek Group Plc		2,583,934
	3,344,967	ITV Plc		5,306,335
	310,585	Lancashire Holdings Ltd		3,963,514
	39,031,608	Lloyds Banking Group Plc *		29,146,950
	26,878	Micro Focus International Plc		246,958
	440,487	Next Plc		25,854,121


Shares		Description	Value ($)
		United Kingdom — continued
	81,072	Persimmon Plc		1,041,035
	440,189	Playtech Ltd		2,963,680
	777,337	Premier Foods Plc *		1,192,862
	1,053,175	Prudential Plc		15,309,907
	52,788	Randgold Resources Ltd		5,656,954
	1,264,554	Rio Tinto Plc		62,793,375
	612,139	Rockhopper Exploration Plc *		1,444,955
	1,381,735	Rolls-Royce Holdings Plc *		19,735,082
	115,590,300	Rolls-Royce Holdings Plc-Class C *		185,193
	1,310,908	Royal Bank of Scotland Group Plc *		6,211,462
	591,147	Royal Dutch Shell Group - Class A (Amsterdam)		19,811,562
	794,116	Royal Dutch Shell Plc A Shares (London)		26,588,162
	1,126,014	Royal Dutch Shell Plc B Shares (London)		38,868,914
	256,107	SABMiller Plc		11,612,354
	236,470	Scottish & Southern Energy Plc		5,404,963
	235,310	Spectris Plc		7,262,756
	149,527	Telecity Group Plc		2,054,839
	3,667,247	Thomas Cook Group Plc *		1,529,252
	888,333	Trinity Mirror Plc *		1,167,675
	470,929	Tullett Prebon Plc		1,713,732
	19,421,131	Vodafone Group Plc		50,099,450
	44,233	Whitbread Plc		1,702,116
	446,362	WH Smith Plc		4,647,226
	1,869,529	William Hill Plc		10,111,284
	299,535	Wolseley Plc		13,916,869
	746,344	WPP Plc		10,247,239

		Total United Kingdom		921,780,270


		TOTAL COMMON STOCKS (COST $4,168,874,525)		4,153,600,091


		PREFERRED STOCKS — 0.8%

		Germany — 0.8%
	166,186	Henkel AG & Co KGaA 1.27%		13,887,315
	315,602	Porsche Automobil Holding SE 1.35%		23,429,439

		Total Germany		37,316,754


		TOTAL PREFERRED STOCKS (COST $ 28,772,901)		37,316,754


		RIGHTS/WARRANTS — 0.0%

		Singapore — 0.0%
	632,250	LionGold Corp Ltd Rights, Expires 12/11/12*		33,669

		TOTAL RIGHTS/WARRANTS (COST $0)		33,669


		MUTUAL FUNDS — 1.7%

		United States — 1.7%

		Affiliated Issuers – 1.7%
	3,023,442	GMO U.S. Treasury Fund		75,586,056

		TOTAL MUTUAL FUNDS (COST $75,586,056)		75,586,056


Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.7%

		Time Deposits — 1.7%
USD	25,000,000	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.07%, due 12/03/12		25,000,000
USD	25,000,000	Barclays (London) Time Deposit, 0.07%, due 12/03/12		25,000,000
AUD	344,644	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		359,670
CHF	9,298	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,034
GBP	787,780	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		1,262,141
HKD	77,509	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,001
NOK	57,703	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,187
NZD	12,182	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		10,000
SEK	67,783	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		10,188
EUR	60,853	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		79,142
JPY	98,803,607	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		1,198,565
USD	2,117,593	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		2,117,593
USD	12,500,000	DBS Bank Ltd (Singapore) Time Deposit, 0.07%, due 12/03/12		12,500,000
CAD	146,433	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		147,413
SGD	303,210	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		248,410
USD	6,803,752	Royal Bank of Scotland (London) Time Deposit, 0.07%, due 12/03/12		6,803,752

		Total Time Deposits		74,767,096


		TOTAL SHORT-TERM INVESTMENTS (COST $74,767,096)		74,767,096


		TOTAL INVESTMENTS — 97.7% (Cost $4,348,000,578)		4,341,303,666
		Other Assets and Liabilities (net) —2.3%		99,931,789


		TOTAL NET ASSETS — 100.0%		$4,441,235,455

A summary of outstanding financial instruments at November 30, 2012 is as follows:

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.

(b)	Bankrupt issuer.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

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

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 98.0%

		Australia — 4.3%
	224,594	ALS Ltd (Queensland)		2,231,191
	238,689	Australia and New Zealand Banking Group Ltd		6,074,450
	2,845,125	BlueScope Steel Ltd *		1,576,304
	234,218	Coca Cola Amatil Ltd		3,360,425
	25,465	Cochlear Ltd		2,004,510
	477,775	CSL Ltd		25,769,502
	384,105	Fortescue Metals Group Ltd		1,571,165
	183,784	Shopping Centres Australasia Property Group (REIT) *		278,106
	3,745,864	Telstra Corp Ltd		16,851,474
	142,241	Wesfarmers Ltd		5,275,965
	296,745	Westfield Group (REIT)		3,230,459
	281,826	Westpac Banking Corp		7,506,368
	918,922	Woolworths Ltd		28,093,305

		Total Australia		103,823,224


		Austria — 0.1%
	79,723	Erste Group Bank AG *		2,347,943
	946,419	Immofinanz AG (Entitlement Shares) *		—

		Total Austria		2,347,943


		Belgium — 2.2%
	136,532	Ageas		3,653,904
	425,607	Anheuser-Busch InBev NV		37,373,565
	47,415	Bekaert NV		1,132,640
	88,344	Colruyt SA		4,066,713
	64,698	Mobistar SA		1,710,752
	39,170	UCB SA		2,225,657
	59,288	Umicore SA		3,082,792

		Total Belgium		53,246,023


		Canada — 3.3%
	38,800	Agrium Inc		3,962,221
	128,900	BCE Inc		5,457,828
	356,900	Canadian National Railway Co		32,098,904
	85,700	Canadian Pacific Railway Ltd		7,997,574
	194,800	Enbridge Inc		7,887,306
	29,800	Metro Inc-Class A		1,834,769
	109,700	Rogers Communications Inc-Class B		4,844,757
	186,200	Royal Bank of Canada		11,040,600
	51,000	Saputo Inc		2,363,759
	35,596	Valeant Pharmaceuticals International Inc *		1,983,070

		Total Canada		79,470,788


		Denmark — 3.7%
	21,287	Chr Hansen Holding A/S		689,023
	29,552	Coloplast A/S		6,899,966
	120,987	GN Store Nord A/S		1,708,991


Shares		Description	Value ($)
		Denmark — continued
	463,997	Novo-Nordisk A/S-Class B		73,548,384
	164,505	Novozymes A/S-B Shares		4,531,648

		Total Denmark		87,378,012


		Finland — 0.8%
	235,144	Fortum Oyj		4,232,666
	110,636	Kone Oyj-Class B		8,288,601
	101,479	Neste Oil Oyj		1,297,222
	35,272	Nokian Renkaat Oyj		1,474,596
	52,935	Sampo Oyj-Class A		1,691,836
	72,430	Wartsila Oyj		3,057,117

		Total Finland		20,042,038


		France — 6.5%
	137,900	Air France–KLM *		1,266,411
	1,170,068	Alcatel-Lucent *		1,287,405
	23,822	Arkema		2,438,161
	18,823	AtoS		1,337,948
	42,770	BNP Paribas		2,393,454
	59,950	Bureau Veritas SA		6,654,699
	211,654	Carrefour SA		5,223,743
	28,808	Casino Guichard-Perrachon SA		2,615,366
	35,226	Compagnie de Saint-Gobain		1,407,030
	57,126	Compagnie Generale des Etablissements Michelin-Class B		5,324,141
	69,949	Danone SA		4,439,739
	68,255	Dassault Systemes SA		7,730,886
	137,718	Essilor International SA		13,305,923
	155,046	European Aeronautic Defense and Space Co NV		5,226,658
	87,649	Eutelsat Communications		2,712,138
	76,728	Gemalto NV		7,060,546
	17,205	ICADE (REIT)		1,555,911
	28,601	Iliad SA		5,088,301
	84,388	L’Oreal SA		11,459,747
	71,030	Lafarge SA		4,133,552
	21,519	Neopost SA		1,125,402
	30,814	Pernod-Ricard SA		3,491,407
	58,287	Publicis Groupe SA		3,300,421
	26,099	Remy Cointreau SA		2,924,321
	56,049	Renault SA		2,807,791
	278,920	Sanofi		24,912,424
	170,688	SES SA-Class A FDR		4,830,620
	5,666	Societe BIC SA		708,431
	33,209	Sodexo		2,683,772
	94,828	Suez Environnement SA		1,033,555
	18,801	Technip SA		2,185,838
	13,414	Unibail-Rodamco SE (REIT)		3,151,495
	16,639	Valeo SA		789,891
	19,941	Vallourec SA		1,036,539
	24,734	Wendel		2,321,645
	44,409	Zodiac Aerospace		4,965,632

		Total France		154,930,943


Shares		Description	Value ($)
		Germany — 7.3%
	41,861	Adidas AG		3,682,418
	47,174	Aurubis AG		2,998,045
	47,811	BASF AG		4,286,650
	28,350	Bayerische Motoren Werke AG		2,517,706
	341,409	Bayer AG (Registered)		30,898,474
	65,650	Beiersdorf AG		5,148,732
	7,161	Brenntag AG		925,992
	43,280	Continental AG		4,796,920
	167,475	Deutsche Lufthansa AG (Registered)		2,781,547
	261,350	Deutsche Post AG (Registered)		5,428,468
	31,261	Duerr AG		2,609,202
	27,427	Fielmann AG		2,670,917
	239,264	Freenet AG		4,460,071
	103,248	GEA Group AG		3,376,870
	61,770	Hannover Rueckversicherung AG (Registered)		4,554,644
	56,152	HeidelbergCement AG		3,055,292
	52,032	Henkel AG & Co KGaA		3,524,609
	27,157	Hugo Boss AG		2,849,930
	38,085	Kabel Deutschland Holding AG		2,756,531
	33,702	Lanxess AG		2,935,406
	27,157	Leoni AG		943,181
	22,789	Merck KGaA		3,049,406
	104,965	Metro AG		2,938,811
	34,214	MTU Aero Engines Holding AG		3,046,083
	80,477	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		13,743,019
	14,750	Salzgitter AG		679,451
	448,573	SAP AG		35,024,149
	37,824	Software AG		1,590,438
	64,895	Stada Arzneimittel AG		1,927,997
	122,200	Suedzucker AG		4,813,691
	15,418	Symrise AG		537,028
	166,312	ThyssenKrupp AG		3,368,781
	189,079	TUI AG *		1,881,179
	14,699	Volkswagen AG		2,993,934
	13,209	Wacker Chemie AG		719,436

		Total Germany		173,515,008


		Hong Kong — 2.9%
	617,000	AAC Technologies Holdings Inc		2,315,739
	1,286,000	BOC Hong Kong Holdings Ltd		3,947,706
	404,000	Cheung Kong Infrastructure Holdings Ltd		2,459,669
	693,000	CLP Holdings Ltd		6,055,317
	622,174	Esprit Holdings Ltd		963,636
	1,089,000	Galaxy Entertainment Group Ltd *		4,143,290
	260,800	Hang Seng Bank Ltd		3,975,133
	5,021,111	Hong Kong & China Gas		13,606,969
	188,200	Hong Kong Exchanges & Clearing Ltd		2,998,016
	29,600	Jardine Matheson Holdings Ltd		1,746,582
	1,105,853	Link (REIT)		6,041,504


Shares		Description	Value ($)
		Hong Kong — continued
	1,474,000	Li & Fung Ltd		2,425,994
	844,000	Power Assets Holdings Ltd		7,456,385
	1,280,800	Sands China Ltd		5,460,128
	265,000	Sun Hung Kai Properties Ltd		3,880,195
	221,000	Wharf Holdings Ltd (The)		1,708,858
	2,414,000	Xinyi Glass Holdings Ltd		1,357,335

		Total Hong Kong		70,542,456


		Ireland — 1.2%
	216,245	CRH Plc		3,958,407
	87,710	DCC Plc		2,646,109
	345,315	Elan Corp Plc *		3,452,045
	172,616	Kerry Group Plc-Class A		9,043,168
	139,599	Paddy Power Plc		10,533,316

		Total Ireland		29,633,045


		Israel — 0.2%
	87,982	Israel Chemicals Ltd		1,083,992
	35,668	Mellanox Technologies Ltd *		2,708,048

		Total Israel		3,792,040


		Italy — 0.6%
	329,101	Assicurazioni Generali SPA		5,528,416
	218,258	Atlantia SPA		3,731,399
	151,267	Fiat Industrial SPA		1,617,481
	264,616	Fiat SPA *		1,227,014
	170,303	Mediobanca SPA		942,626
	92,462	Mediolanum SPA		451,265

		Total Italy		13,498,201


		Japan — 21.0%
	39,500	ABC-Mart Inc		1,682,704
	94,900	Advantest Corp		1,274,485
	187,600	Aeon Co Ltd		2,100,867
	256,000	Ajinomoto Co Inc		3,660,966
	157,000	Anritsu Corp		2,024,955
	81,600	Asahi Breweries Ltd		1,836,413
	398,500	Astellas Pharma Inc		20,173,600
	403,050	Canon Inc		14,259,276
	39,400	Central Japan Railway Co		3,124,551
	109,000	Chiyoda Corp		1,578,693
	219,000	Chugai Pharmaceutical Co Ltd		4,347,518
	101,600	Credit Saison Co Ltd		2,267,347
	150,000	Daihatsu Motor Co Ltd		2,670,851
	96,100	Daito Trust Construction Co Ltd		9,336,974
	112,200	Dena Co Ltd		4,110,700
	880,000	DIC Corp		1,585,814
	166,700	Eisai Co Ltd		7,006,759


Shares		Description	Value ($)
		Japan — continued
	38,900	Fanuc Ltd		6,586,317
	51,300	Fast Retailing Co Ltd		11,700,488
	330,000	Fuji Heavy Industries Ltd		3,720,954
	99,900	Gree Inc		1,735,471
	334,000	Hankyu Hanshin Holdings Inc		1,763,887
	1,417,500	Haseko Corp *		931,352
	271,000	Hino Motors Ltd		2,339,888
	17,600	Hirose Electric Co Ltd		2,006,549
	127,100	Hisamitsu Pharmaceutical Co Inc		6,625,970
	341,000	Hitachi Ltd		1,976,210
	172,900	Honda Motor Co Ltd		5,762,988
	296,000	Hoya Corp		5,694,592
	11,500	Idemitsu Kosan Co Ltd		945,081
	698,000	IHI Corp		1,555,261
	913	INPEX Corp		4,909,678
	237,100	Isetan Mitsukoshi Holdings Ltd		2,115,414
	857,000	Isuzu Motors Ltd		5,045,986
	1,054,200	Itochu Corp		10,574,133
	80,800	Ito En Ltd		1,493,197
	88,500	Izumi Co Ltd		1,980,500
	145	Japan Real Estate Investment Corp (REIT)		1,425,857
	458,900	Japan Tobacco Inc		13,759,917
	245,100	JFE Holdings Inc		3,819,331
	90,000	JGC Corp		2,980,549
	81,100	K’s Holdings Corp		1,836,458
	57,929	Kakaku.com Inc		1,997,356
	365,100	Kao Corp		10,038,985
	210,300	KDDI Corp		15,604,874
	512,000	Keio Corp		3,756,461
	35,293	Keyence Corp		9,879,938
	894,000	Kintetsu Corp		3,561,615
	1,441,000	Kobe Steel Ltd *		1,353,547
	179,400	Komatsu Ltd		4,044,987
	175,000	Kubota Corp		1,865,421
	103,400	Lawson Inc		6,999,800
	589,700	Leopalace21 Corp *		1,860,107
	49,200	Makita Corp		2,087,219
	988,000	Marubeni Corp		6,536,518
	2,259,000	Mazda Motor Corp *		3,579,976
	246,200	Medipal Holdings Corp		2,917,644
	334,900	Mitsubishi Corp		6,374,891
	618,000	Mitsui Engineer & Shipbuilding Co Ltd		819,452
	3,546,300	Mizuho Financial Group Inc		5,717,493
	181,100	Namco Bandai Holdings Inc		2,542,442
	1,088,000	NEC Corp *		1,904,104
	39,100	Nidec Corp		2,379,126
	206,100	Nikon Corp		5,742,723
	57,800	Nintendo Co Ltd		6,946,047
	74,250	Nitori Holdings Co Ltd		5,527,108


Shares		Description	Value ($)
		Japan — continued
	89,400	Nitto Denko Corp		4,669,085
	138,800	Nomura Research Institute Ltd		2,690,614
	5,285	NTT Docomo Inc		7,661,809
	649,000	Odakyu Electric Railway Co Ltd		6,630,026
	574,000	OJI Paper Co Ltd		1,817,124
	50,800	Ono Pharmaceutical Co Ltd		2,782,596
	29,900	Oracle Corp		1,258,112
	61,000	Oriental Land Co Ltd		7,852,358
	113,200	Otsuka Holdings Co Ltd		3,362,798
	193,500	Panasonic Corp		954,214
	19,940	Point Inc		721,135
	269,100	Rakuten Inc		2,268,709
	35,000	Sankyo Co Ltd		1,435,983
	100,300	Santen Pharmaceutical Co Ltd		4,309,979
	20,500	Sawai Pharmaceuticals Co Ltd		2,215,392
	46,500	Secom Co Ltd		2,386,451
	150,700	Seven & I Holdings Co Ltd		4,391,841
	678,200	Seven Bank Ltd		1,770,660
	38,400	Shimamura Co Ltd		3,884,718
	79,500	Shimano Inc		5,265,957
	356,000	Shimizu Corp		1,074,035
	104,000	Shin-Etsu Chemical Co Ltd		6,142,271
	181,200	Shiseido Co Ltd		2,632,867
	18,800	SMC Corp		3,186,119
	382,100	SoftBank Corp		14,371,687
	122,500	Stanley Electric Co Ltd		1,726,929
	156,300	Sumitomo Rubber Industries		1,852,474
	204,400	Sumitomo Corp		2,546,125
	128,000	Sumitomo Metal Mining Co Ltd		1,759,660
	105,900	Sumitomo Mitsui Financial Group Inc		3,428,026
	42,400	Suzuken Co Ltd		1,264,518
	71,500	Sysmex Corp		3,237,431
	143,900	Takeda Pharmaceutical Co Ltd		6,587,351
	144,800	Terumo Corp		6,152,958
	746,000	Tobu Railway Co Ltd		3,862,753
	556,000	Tokyo Gas Co Ltd		2,729,521
	469,000	Toray Industries Inc		2,785,277
	845,000	Toshiba Corp		2,893,718
	734,400	Toyota Motor Corp		31,621,136
	152,100	Toyota Tsusho Corp		3,514,068
	102,000	Toyo Suisan Kaisha Ltd		2,800,422
	149,000	Trend Micro Inc		3,905,609
	108,600	Tsumura & Co		3,530,726
	116,900	Unicharm Corp		5,975,764
	34,010	USS Co Ltd		3,631,743
	17,130	Yahoo Japan Corp		5,770,884
	85,560	Yamada Denki Co Ltd		3,028,701
	42,700	Yamato Kogyo Co Ltd		1,157,147

		Total Japan		501,865,816


Shares		Description	Value ($)
		Netherlands — 2.2%
	200,625	ASML Holding NV		12,545,108
	391,325	Koninklijke Ahold NV		4,964,348
	661,404	Koninklijke KPN NV		3,745,966
	39,828	Randstad Holdings NV		1,296,919
	175,414	Reed Elsevier NV		2,536,736
	637,906	Unilever NV		24,207,811
	43,618	Vopak		3,224,278

		Total Netherlands		52,521,166


		New Zealand — 0.1%
	1,616,286	Telecom Corp of New Zealand Ltd		3,065,997


		Norway — 0.9%
	115,624	Aker Solutions ASA		2,172,923
	1,308,647	Marine Harvest ASA *		1,141,921
	116,263	Seadrill Ltd		4,467,591
	226,653	Statoil ASA		5,537,308
	87,294	Telenor ASA		1,772,689
	63,735	TGS Nopec Geophysical Co ASA		2,014,770
	75,762	Yara International ASA		3,798,792

		Total Norway		20,905,994


		Singapore — 2.5%
	571,000	CapitaCommercial Trust (REIT)		757,699
	415,000	Ezion Holdings Ltd		490,382
	1,491,000	Ezra Holdings Ltd *		1,299,599
	7,059,000	Golden Agri-Resources Ltd		3,814,150
	1,229,000	Hyflux Ltd		1,296,639
	321,900	Keppel Corp Ltd		2,822,426
	2,492,000	Noble Group Ltd		2,209,656
	984,000	SATS Ltd		2,288,687
	831,000	SembCorp Industries Ltd		3,523,516
	736,000	Singapore Exchange Ltd		4,150,903
	1,714,000	Singapore Press Holdings Ltd		5,867,264
	2,112,000	Singapore Technologies Engineering Ltd		6,347,292
	4,636,500	Singapore Telecommunications		12,573,207
	1,366,000	SMRT Corp Ltd		1,912,744
	1,115,000	StarHub Ltd		3,404,315
	183,000	United Overseas Bank Ltd		2,805,598
	455,000	Wilmar International Ltd		1,188,092
	1,940,000	Yangzijiang Shipbuilding Holdings Ltd		1,483,537
	951,000	Yanlord Land Group Ltd *		1,120,764

		Total Singapore		59,356,470


		Spain — 2.0%
	111,620	Enagas		2,284,774
	64,351	Grifols SA *		2,060,288
	1,070,825	Iberdrola SA		5,320,870
	180,961	Inditex SA		24,842,623
	71,443	Red Electrica de Espana		3,311,024
	423,058	Repsol YPF SA		8,979,545

		Total Spain		46,799,124


Shares		Description	Value ($)
		Sweden — 3.1%
	136,484	Assa Abloy AB-Class B		4,944,853
	74,362	Atlas Copco AB		1,718,043
	131,781	Atlas Copco AB-Class A		3,396,680
	58,113	Electrolux AB-Class B		1,523,461
	200,435	Elekta AB-Class B		2,898,318
	55,862	Getinge AB-Class B		1,802,050
	616,335	Hennes & Mauritz AB-Class B		20,019,137
	76,694	Investor AB-B Shares		1,778,224
	150,153	Kinnevik Investment AB		2,926,223
	47,302	Millicom International Cellular SA SDR		4,061,740
	191,141	Scania AB-Class B		3,974,844
	479,485	Skandinaviska Enskilda Banken AB-Class A		3,864,159
	218,449	Svenska Handelsbanken AB-Class A		7,774,560
	375,927	Swedbank AB-Class A		6,951,872
	90,920	Swedish Match AB		3,201,803
	180,045	Volvo AB-Class B		2,554,654

		Total Sweden		73,390,621


		Switzerland — 9.2%
	110,703	ABB Ltd *		2,158,579
	93,017	Actelion Ltd (Registered) *		4,610,437
	17,412	Adecco SA		861,543
	49,482	Compagnie Financiere Richemont SA-Class A		3,819,207
	24,582	Geberit AG (Registered) *		5,198,230
	12,890	Kuehne & Nagel International AG (Registered)		1,553,122
	977,560	Nestle SA (Registered)		63,988,777
	290,206	Novartis AG (Registered)		17,983,301
	6,950	Partners Group Holding AG		1,515,195
	433,774	Roche Holding AG (Non Voting)		85,451,408
	5,967	Schindler Holding AG		837,323
	3,106	SGS SA (Registered)		6,972,820
	15,787	Sonova Holding AG (Registered) *		1,724,530
	6,563	Straumann Holding AG		766,501
	13,936	Swatch Group AG (The)		1,156,674
	4,309	Swatch Group AG		2,083,067
	106,076	Swiss Re AG		7,649,994
	5,883	Swisscom AG (Registered)		2,478,226
	9,869	Syngenta AG (Registered)		3,951,127
	16,441	Zurich Insurance Group AG *		4,199,792

		Total Switzerland		218,959,853


		United Kingdom — 23.9%
	777,969	Aberdeen Asset Management Plc		4,214,162
	250,293	Admiral Group Plc		4,489,111
	522,063	Aegis Group Plc		1,966,901
	263,269	Aggreko Plc		9,417,625
	184,912	AMEC Plc		3,093,396
	216,488	Anglo American Plc		6,012,532
	475,331	Ashmore Group Plc		2,744,568
	286,036	Ashtead Group Plc		1,758,575
	52,168	ASOS Plc *		2,076,591
	101,759	Associated British Foods Plc		2,410,713


Shares		Description	Value ($)
		United Kingdom — continued
	286,335	AstraZeneca Plc		13,600,404
	216,204	Babcock International Group Plc		3,453,270
	264,099	BAE Systems Plc		1,385,911
	433,284	Balfour Beatty Plc		1,794,739
	532,860	Barratt Developments Plc *		1,666,488
	407,575	BG Group Plc		6,992,577
	277,190	BHP Billiton Plc		8,730,201
	1,286,945	British American Tobacco Plc		67,604,466
	489,509	British Sky Broadcasting Group Plc		5,957,218
	1,572,941	BT Group Plc		5,882,889
	434,662	Bunzl Plc		7,167,166
	227,009	Burberry Group Plc		4,684,582
	374,271	Capita Group Plc		4,574,218
	231,467	Chemring Group Plc		913,133
	1,351,888	Cobham Plc		4,593,875
	246,741	Compass Group Plc		2,851,579
	162,316	Croda International Plc		6,194,776
	894,864	Debenhams Plc		1,692,156
	2,284,743	Diageo Plc		68,147,527
	170,183	easyJet Plc		1,951,452
	194,323	Eurasian Natural Resources Corp Plc		841,328
	513,132	Experian Plc		8,531,222
	2,027,840	GlaxoSmithKline Plc		43,428,444
	256,731	Glencore International Plc		1,421,846
	805,506	HSBC Holdings Plc		8,225,941
	177,487	ICAP Plc		829,678
	149,474	IMI Plc		2,527,273
	203,243	InterContinental Hotels Group Plc		5,434,496
	123,618	Intertek Group Plc		6,122,220
	1,982,475	ITV Plc		3,144,927
	304,759	John Wood Group Plc		3,801,922
	122,052	Johnson Matthey Plc		4,695,762
	134,521	Kazakhmys Plc		1,538,271
	220,404	Lancashire Holdings Ltd		2,812,674
	502,590	LG Group Holdings Plc		3,411,537
	22,269,110	Lloyds Banking Group Plc *		16,629,513
	1,048,489	Man Group Plc		1,291,122
	224,583	Micro Focus International Plc		2,063,491
	192,698	National Grid Plc		2,178,131
	233,961	Next Plc		13,732,201
	1,418,546	Old Mutual Plc		3,897,598
	97,979	Pennon Group Plc		971,843
	110,412	Persimmon Plc		1,417,786
	134,455	Petrofac Ltd		3,508,025
	204,686	Playtech Ltd		1,378,099
	1,273,923	Prudential Plc		18,518,901
	28,194	Randgold Resources Ltd		3,021,372
	248,021	Reckitt Benckiser Group Plc		15,600,423
	287,935	Reed Elsevier Plc		2,965,566
	543,870	Resolution Ltd		2,072,740


Shares		Description	Value ($)
		United Kingdom — continued
	429,977	Rexam Plc		3,016,328
	187,398	Rightmove Plc		4,499,301
	809,546	Rio Tinto Plc		40,199,253
	558,326	Rolls-Royce Holdings Plc *		7,974,474
	56,122,200	Rolls-Royce Holdings Plc-Class C *		89,916
	139,210	SABMiller Plc		6,312,033
	626,409	Sage Group Plc (The)		3,129,122
	139,556	Scottish & Southern Energy Plc		3,189,813
	102,514	Shire Plc		2,960,018
	207,247	Smiths Group Plc		3,637,934
	342,544	Smith & Nephew Plc		3,608,948
	123,393	Spectris Plc		3,808,479
	388,311	Standard Life Assurance Plc		1,992,225
	315,826	Tate & Lyle Plc		3,909,915
	732,271	Taylor Wimpey Plc		716,259
	211,584	Telecity Group Plc		2,907,642
	990,547	Tesco Plc		5,167,419
	306,843	Tullett Prebon Plc		1,116,615
	94,280	United Business Media Ltd		1,112,488
	103,897	Whitbread Plc		3,998,026
	807,379	William Hill Plc		4,366,682
	140,561	Wolseley Plc		6,530,686
	607,355	WPP Plc		8,338,932
	157,530	Xstrata Plc		2,611,740

		Total United Kingdom		569,231,401


		TOTAL COMMON STOCKS (COST $2,103,840,040)		2,338,316,163


		PREFERRED STOCKS — 0.9%

		Germany — 0.9%
	36,666	Bayerische Motoren Werke AG 4.96%		2,232,708
	8,265	Fuchs Petrolub AG 1.81%		577,333
	121,569	Henkel AG & Co KGaA 1.27%		10,158,900
	37,492	Volkswagen AG 1.86%		8,127,614

		Total Germany		21,096,555


		TOTAL PREFERRED STOCKS (COST $18,421,869)		21,096,555


		RIGHTS/WARRANTS — 0.0%

		Canada — 0.0%
	19,162	Kinross Gold Corp Warrants, Strike 21.29, Expires 9/17/14 *		6,655


		TOTAL RIGHTS/WARRANTS (COST $67,723)		6,655


Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 0.1%

		United States — 0.1%

		Affiliated Issuers — 0.1%
	97,680	GMO U.S. Treasury Fund		2,442,000


		TOTAL MUTUAL FUNDS (COST $2,442,000)		2,442,000


		SHORT-TERM INVESTMENTS — 0.4%

		Time Deposits — 0.4%
USD	5,623,323	Barclays (London) Time Deposit, 0.07%, due 12/03/12		5,623,323
AUD	9,596	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		10,015
CHF	2,535,503	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		2,736,056
GBP	131,530	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		210,730
HKD	1,068,588	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		137,879
NOK	57,703	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,187


Par Value		Description	Value ($)
		Time Deposits — continued
NZD	51,022	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		41,886
SEK	515,837	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		77,531
EUR	25,864	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		33,637
JPY	104,787,486	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		1,271,154
CAD	198,218	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		199,545
SGD	161,473	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		132,290

		Total Time Deposits		10,484,233


		TOTAL SHORT-TERM INVESTMENTS (COST $10,484,233)		10,484,233


		TOTAL INVESTMENTS — 99.4% (Cost $2,135,255,865)		2,372,345,606

		Other Assets and Liabilities (net) — 0.6%		13,120,156


		TOTAL NET ASSETS — 100.0%		$2,385,465,762

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

FDR - Fiduciary Depositary Receipt

REIT - Real Estate Investment Trust

SDR - Swedish Depository Receipt

*	Non-income producing security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

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

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 91.9%

		Australia — 2.5%
	359,372	Arrium Ltd		308,352
	18,586	Australia and New Zealand Banking Group Ltd		472,999
	531,108	BlueScope Steel Ltd *		294,253
	24,133	CSL Ltd		1,301,649
	317,961	Dexus Property Group (REIT)		333,756
	124,257	GPT Group (REIT)		452,759
	83,448	Investa Office Fund (REIT)		252,684
	344,151	Mirvac Group (REIT)		528,515
	76,696	QBE Insurance Group Ltd		876,361
	224,342	Stockland (REIT)		793,989
	118,407	TABCORP Holdings Ltd		346,206
	72,974	Tatts Group Ltd		223,056
	141,767	Telstra Corp Ltd		637,766
	23,889	Westfield Group (REIT)		260,063
	26,784	Westpac Banking Corp		713,385

		Total Australia		7,795,793


		Austria — 0.4%
	20,558	OMV AG		735,561
	15,374	Voestalpine AG		496,706

		Total Austria		1,232,267


		Belgium — 0.9%
	14,175	Ageas		379,355
	23,205	Anheuser-Busch InBev NV		2,037,686
	13,336	Belgacom SA		392,102

		Total Belgium		2,809,143


		Brazil — 0.8%
	103,691	Banco do Brasil SA		1,063,211
	19,058	Cielo SA		496,339
	36	Gerdau SA Sponsored ADR		306
	19,900	Petroleo Brasileiro SA (Petrobras)		177,878
	36,200	Vale SA		636,990

		Total Brazil		2,374,724


		Canada — 2.5%
	4,800	Agrium Inc		490,172
	9,300	Alimentation Couche Tard Inc		459,406
	16,000	Canadian Oil Sands Ltd		324,719
	5,200	Canadian Tire Corp Ltd		344,974
	4,300	Canadian Pacific Railway Ltd		401,278
	10,800	Capital Power Corp		237,342
	16,200	CML HealthCare Inc		106,331
	11,700	Davis & Henderson Income Corp		251,585
	4,200	Empire Co Ltd		243,709
	24,600	First Quantum Minerals Ltd		505,200


Shares		Description	Value ($)
		Canada — continued
	12,200	Genworth MI Canada Inc		253,617
	7,100	Home Capital Group Inc		388,111
	19,300	Husky Energy Inc		541,686
	37,800	Just Energy Group Inc		333,725
	3,400	Metro Inc-Class A		209,336
	13,500	Parkland Fuel Corp		239,870
	26,200	Petrominerales Ltd		201,244
	14,800	Pretium Resources Inc *		200,393
	89,600	Research In Motion Ltd *		1,045,416
	26,300	RONA Inc		281,705
	61,300	Sherritt International Corp		314,106
	20,000	Transcontinental Inc		192,681
	12,700	TransForce Inc		232,560

		Total Canada		7,799,166


		China — 7.1%
	5,104,000	Bank of China Ltd-Class H		2,152,757
	738,000	Bank of Communications Co Ltd-Class H		537,561
	4,153,000	China Construction Bank-Class H		3,182,159
	427,500	China Mobile Ltd		4,869,357
	122,000	China Overseas Land & Investment Ltd		361,920
	1,744,000	China Petroleum & Chemical Corp-Class H		1,844,932
	1,016,000	CNOOC Ltd		2,159,383
	56,500	Hengan International Group Co Ltd		512,035
	3,304,000	Industrial and Commercial Bank of China Ltd-Class H		2,228,455
	2,160,000	PetroChina Co Ltd-Class H		2,870,770
	39,600	Tencent Holdings Ltd		1,288,761

		Total China		22,008,090


		Colombia — 0.2%
	171,494	Ecopetrol SA		499,781


		Denmark — 0.4%
	7,753	Novo-Nordisk A/S-Class B		1,228,932


		Finland — 0.4%
	336,447	Nokia Oyj		1,105,447


		France — 8.7%
	106,092	Air France–KLM *		974,301
	12,607	BNP Paribas		705,501
	5,214	Compagnie Generale des Etablissements Michelin - Class B		485,945
	2,896	Dassault Systemes SA		328,015
	5,041	Essilor International SA		487,047
	79,157	France Telecom SA		841,978
	142	Fromageries Bel SA		34,204
	3,141	Lafarge SA		182,789


Shares		Description	Value ($)
		France — continued
	28,777	PagesJaunes Groupe *		64,070
	111,056	Peugeot SA *		682,378
	27,481	Renault SA		1,376,669
	91,007	Sanofi		8,128,513
	208,541	Total SA		10,451,152
	899	Unibail-Rodamco SE (REIT)		211,212
	80,171	Vivendi SA		1,724,665
	3,315	Zodiac Aerospace		370,670

		Total France		27,049,109


		Germany — 4.6%
	4,666	Adidas AG		410,458
	9,855	Aurubis AG		626,314
	18,822	Bayer AG (Registered)		1,703,444
	4,478	Continental AG		496,317
	44,973	Deutsche Post AG (Registered)		934,128
	230,994	E.ON AG		4,165,517
	8,890	GEA Group AG		290,760
	1,814	Hugo Boss AG		190,366
	2,303	Merck KGaA		308,165
	7,236	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,235,688
	56,004	RWE AG		2,336,133
	7,054	Salzgitter AG		324,939
	10,565	SAP AG		824,905
	7,677	Suedzucker AG		302,412

		Total Germany		14,149,546


		Greece — 0.2%
	72,227	OPAP SA		469,869
	30,005	Public Power Corp SA *		174,056

		Total Greece		643,925


		Hong Kong — 0.7%
	39,500	CLP Holdings Ltd		345,144
	307,800	Esprit Holdings Ltd		476,727
	293,700	Hong Kong & China Gas		795,913
	32,000	Power Assets Holdings Ltd		282,707
	70,000	Yue Yuen Industrial Holdings		243,816

		Total Hong Kong		2,144,307


		India — 0.2%
	20,500	Tata Motors Ltd Sponsored ADR		513,935


		Ireland — 0.5%
	35,927	C&C Group Plc		191,365
	13,484	CRH Plc		246,827
	12,158	DCC Plc		366,793
	4,842	Paddy Power Plc		365,349


Shares		Description	Value ($)
		Ireland — continued
	21,395	Smurfit Kappa Group Plc		251,139

		Total Ireland		1,421,473


		Italy — 4.3%
	1,180,841	Enel SPA		4,478,594
	214,022	ENI SPA		5,075,385
	184,784	Finmeccanica SPA *		972,779
	8,625	Italcementi SPA-Di RISP		20,241
	23,288	Parmalat SPA		53,520
	29,402	Pirelli & C SPA		341,636
	16,569	Recordati SPA		138,715
	1,631,624	Telecom Italia SPA		1,486,520
	1,044,606	Telecom Italia SPA-Di RISP		834,349

		Total Italy		13,401,739


		Japan — 17.2%
	80	Advance Residence Investment Corp (REIT)		167,938
	87,500	Aeon Co Ltd		979,882
	10,400	Aeon Credit Service Co Ltd		203,793
	75,750	Aiful Corp *		326,662
	27,000	Ajinomoto Co Inc		386,118
	7,000	Alfresa Holdings Corp		294,142
	20,000	Anritsu Corp		257,956
	15,200	Asahi Breweries Ltd		342,077
	29,000	Astellas Pharma Inc		1,468,091
	31,000	Calsonic Kansei Corp		143,331
	157,000	Cosmo Oil Co Ltd		305,745
	11,100	Credit Saison Co Ltd		247,712
	166,000	Daikyo Inc		400,384
	21,100	Daito Trust Construction Co Ltd		2,050,054
	20,600	Eisai Co Ltd		865,862
	9,300	Electric Power Development Co Ltd		235,440
	18,000	Fuji Heavy Industries Ltd		202,961
	10,000	Fuji Oil Co Ltd		143,671
	35,000	Gunze Ltd		86,763
	32,000	Hanwa Co Ltd		105,839
	381,000	Haseko Corp *		250,332
	5,200	Hikari Tsushin Inc		236,626
	12,600	IT Holdings Corp		154,023
	141,100	Itochu Corp		1,415,301
	206	Japan Retail Fund Investment Corp (REIT)		375,215
	27,100	Japan Tobacco Inc		812,582
	55,500	JFE Holdings Inc		864,842
	327,000	JX Holdings Inc		1,751,250
	25,100	K’s Holdings Corp		568,373
	202,000	Kajima Corp		582,973
	40,100	Kao Corp		1,102,611
	407,000	Kawasaki Kisen Kaisha Ltd *		539,946


Shares		Description	Value ($)
		Japan — continued
	27,700	KDDI Corp		2,055,421
	25,000	Kinugawa Rubber Industrial Co Ltd		160,309
	242,000	Kobe Steel Ltd *		227,313
	11,800	Kyowa Exeo Corp		119,607
	6,300	Lawson Inc		426,487
	73,600	Leopalace21 Corp *		232,158
	149,000	Marubeni Corp		985,770
	18,000	Medipal Holdings Corp		213,313
	197,000	Mitsubishi Chemical Holdings Corp		864,296
	83,500	Mitsubishi Corp		1,589,440
	7,760	Mitsubishi UFJ Lease & Finance Co Ltd		339,205
	149,000	Mitsui Chemicals Inc		337,569
	116,000	Mitsui Engineer & Shipbuilding Co Ltd		153,813
	165,000	Mitsui Mining & Smelting Co Ltd		327,873
	156,000	Mitsui OSK Lines Ltd		393,540
	299,600	Mizuho Financial Group Inc		483,028
	17,900	Namco Bandai Holdings Inc		251,296
	23,800	Net One Systems Co Ltd		231,474
	40,000	Nichirei Corp		217,236
	14,300	Nikon Corp		398,452
	4,300	Nintendo Co Ltd		516,747
	187,000	Nippon Light Metal Co Ltd *		168,505
	14,800	Nippon Paper Group Inc		182,130
	394,000	Nippon Steel Corp		908,472
	39,900	Nippon Telegraph & Telephone Corp		1,794,887
	191,000	Nippon Yusen Kabushiki Kaisha		407,522
	17,800	Nipro Corp		130,314
	30,000	Nisshinbo Holdings Inc		213,094
	53,300	North Pacific Bank Ltd *		139,224
	716	NTT Docomo Inc		1,038,005
	2,500	Okinawa Electric Power Co		74,299
	35	ORIX JREIT Inc (REIT)		175,228
	74,000	Osaka Gas Co Ltd		290,941
	106,500	Penta Ocean Construction Co Ltd		268,819
	6,690	Point Inc		241,946
	246,800	Resona Holdings Inc		1,035,995
	34,300	Round One Corp		193,514
	5,500	Ryohin Keikaku Co Ltd		351,804
	9,800	Sankyo Co Ltd		402,075
	11,500	Sega Sammy Holdings Inc		191,955
	16,000	Seino Holdings Co Ltd		97,193
	14,700	Seven & I Holdings Co Ltd		428,401
	3,400	Shimamura Co Ltd		343,959
	24,000	Shizuoka Bank Ltd (The)		237,650
	53,800	Showa Shell Sekiyu KK		314,137
	27,100	SoftBank Corp		1,019,295
	376,300	Sojitz Corp		475,901
	8,300	Sumisho Computer Systems Corp		142,200
	161,100	Sumitomo Corp		2,006,755


Shares		Description	Value ($)
		Japan — continued
	31,000	Sumitomo Metal Mining Co Ltd		426,168
	189,000	Taisei Corp		514,724
	20,000	Takashimaya Co Ltd		126,818
	82,200	Takeda Pharmaceutical Co Ltd		3,762,892
	44,000	Toho Zinc Co Ltd		165,473
	33,000	Tokyo Gas Co Ltd		162,004
	122,000	Tokyo Tatemono Co Ltd *		489,555
	19	Tokyu REIT Inc (REIT)		102,503
	166,000	Tosoh Corp		357,893
	41,000	Toyota Motor Corp		1,765,341
	36,700	Toyota Tsusho Corp		847,905
	23,000	Toyo Engineering Corp		93,279
	5,300	Unicharm Corp		270,929
	59,000	UNY Co Ltd		413,600
	4,060	USS Co Ltd		433,545
	6,300	West Japan Railway Co		252,223
	25,440	Yamada Denki Co Ltd		900,539
	5,900	Yamato Kogyo Co Ltd		159,887
	31,000	Yokohama Rubber Co Ltd		208,565

		Total Japan		53,120,905


		Mexico — 0.5%
	42,159	America Movil SAB de CV-Class L ADR		994,531
	152,100	Cemex SA de CV CPO *		135,477
	28,500	Cemex SAB de CV Sponsored ADR *		253,650
	25,200	Grupo Financiero Banorte SAB de CV-Class O		143,814

		Total Mexico		1,527,472


		Netherlands — 0.9%
	151,749	Aegon NV		872,693
	9,675	ASML Holding NV		604,979
	118,391	ING Groep NV *		1,069,778
	53,757	Koninklijke BAM Groep NV		208,199

		Total Netherlands		2,755,649


		New Zealand — 0.5%
	58,638	Fletcher Building Ltd		381,334
	34,242	Sky City Entertainment Group Ltd		105,165
	481,822	Telecom Corp of New Zealand		913,987

		Total New Zealand		1,400,486


		Peru — 0.1%
	3,201	Credicorp Ltd		447,820


		Portugal — 0.2%
	256,045	EDP - Energias de Portugal SA		647,876


Shares		Description	Value ($)
		Russia — 3.2%
	574,438	Gazprom OAO Sponsored ADR		5,113,498
	59,353	Lukoil OAO Sponsored ADR		3,740,377
	119,474	Rosneft OJSC GDR (Registered)		933,632

		Total Russia		9,787,507


		Singapore — 1.1%
	289,000	Ezra Holdings Ltd *		251,901
	2,037,000	Golden Agri-Resources Ltd		1,100,641
	101,000	Ho Bee Investment Ltd		134,810
	164,000	Jaya Holdings Ltd *		75,090
	115,000	Singapore Press Holdings Ltd		393,661
	533,000	Singapore Telecommunications		1,445,383
	183,000	Swiber Holdings Ltd *		89,051

		Total Singapore		3,490,537


		South Africa — 0.9%
	110,975	FirstRand Ltd		362,313
	15,022	Kumba Iron Ore Ltd		917,032
	56,562	MTN Group Ltd		1,041,592
	17,334	Shoprite Holdings Ltd		373,406
	6,391	Tiger Brands Ltd		215,104

		Total South Africa		2,909,447


		South Korea — 3.7%
	5,080	Hyundai Steel Co		377,281
	20,159	KT&G Corp		1,593,878
	5,037	NHN Corp		1,172,265
	9,129	POSCO		2,725,786
	4,404	Samsung Electronics Co Ltd		5,724,638

		Total South Korea		11,593,848


		Spain — 5.0%
	188,752	Banco Bilbao Vizcaya Argentaria SA		1,601,470
	515,199	Banco Santander SA		3,968,855
	9,012	Fomento de Construcciones y Contratas SA		107,207
	91,930	Gas Natural SDG SA		1,427,722
	13,944	Grifols SA *		446,437
	258,932	Iberdrola SA		1,286,619
	4,385	Inditex SA		601,980
	97,733	Repsol YPF SA		2,074,415
	294,103	Telefonica SA		3,863,452

		Total Spain		15,378,157


		Sweden — 0.5%
	30,378	Investor AB - B Shares		704,343
	12,002	Svenska Handelsbanken AB-Class A		427,149
	23,222	Swedbank AB-Class A		429,436

		Total Sweden		1,560,928


Shares		Description	Value ($)
		Switzerland — 1.3%
	45,618	Novartis AG (Registered)		2,826,827
	3,875	Roche Holding AG (Non Voting)		763,357
	8,012	Swiss Re AG		577,810

		Total Switzerland		4,167,994


		Taiwan — 2.0%
	94,000	Asustek Computer Inc		1,037,764
	214,000	Formosa Chemicals & Fibre Co		507,057
	178,200	Hon Hai Precision Industry Co Ltd		572,186
	74,000	HTC Corp		677,746
	76,000	MediaTek Inc		865,253
	353,000	Quanta Computer Inc		888,029
	389,000	Taiwan Semiconductor Manufacturing Co Ltd		1,321,767
	1,023,000	United Microelectronics Corp		395,239

		Total Taiwan		6,265,041


		Thailand — 0.5%
	112,900	PTT Exploration & Production Pcl (Foreign Registered)		584,710
	83,900	PTT Pcl (Foreign Registered)		874,452

		Total Thailand		1,459,162


		Turkey — 0.1%
	106,816	Turkiye IS Bankasi-Class C		344,323


		United Kingdom — 19.8%
	70,758	Ashtead Group Plc		435,026
	153,208	AstraZeneca Plc		7,277,108
	122,724	Aviva Plc		690,697
	412,460	BAE Systems Plc		2,164,463
	73,628	Balfour Beatty Plc		304,980
	1,188,459	Barclays Plc		4,713,825
	36,445	BHP Billiton Plc		1,147,849
	876,235	BP Plc		6,083,081
	439,519	BT Group Plc		1,643,826
	13,695	Bunzl Plc		225,818
	18,951	Cape Plc		57,548
	31,024	Catlin Group Ltd		240,145
	79,720	Cobham Plc		270,898
	112,096	Darty Plc		85,941
	160,264	Debenhams Plc		303,054
	69,892	Diageo Plc		2,084,684
	425,818	Dixons Retail Plc *		187,453
	61,018	Drax Group Plc		529,599
	101,814	FirstGroup Plc		304,855
	130,679	GlaxoSmithKline Plc		2,798,636
	22,210	Greencore Group Plc		32,336


Shares		Description	Value ($)
		United Kingdom – continued
	284,688	Home Retail Group Plc		510,044
	23,803	Imperial Tobacco Group Plc		952,549
	56,760	Inchcape Plc		389,147
	33,075	Intermediate Capital Group Plc		154,510
	5,205	Jardine Lloyd Thompson Group Plc		64,214
	21,162	Lancashire Holdings Ltd		270,058
	415,197	Legal & General Group Plc		970,380
	2,634,753	Lloyds Banking Group Plc *		1,967,508
	25,394	Micro Focus International Plc		233,323
	13,092	Next Plc		768,427
	55,018	Prudential Plc		799,792
	49,244	Rio Tinto Plc		2,445,287
	43,542	Rolls-Royce Holdings Plc *		621,903
	3,762,836	Rolls-Royce Holdings Plc-Class C *		6,028
	183,391	Royal Bank of Scotland Group Plc *		868,960
	157,697	Royal Dutch Shell Plc A Shares (London)		5,279,926
	136,155	Royal Dutch Shell Plc B Shares (London)		4,699,939
	6,589	SABMiller Plc		298,757
	40,312	Scottish & Southern Energy Plc		921,406
	19,539	Tate & Lyle Plc		241,892
	63,418	TUI Travel Plc		275,896
	2,221,139	Vodafone Group Plc		5,729,730
	119,064	William Hill Plc		643,953
	36,031	WPP Plc		494,702

		Total United Kingdom		61,190,153

		TOTAL COMMON STOCKS (COST $289,701,041)		284,224,682


		PREFERRED STOCKS — 4.3%

		Brazil — 3.5%
	14,946	Companhia de Bebidas das Americas ADR 1.68%		621,903
	73,200	Gerdau SA 2.04%		607,031
	501,229	Petroleo Brasileiro SA (Petrobras) 0.66%		4,377,075
	298,984	Vale SA 1.83%		5,135,114

		Total Brazil		10,741,123


		Germany — 0.4%
	7,358	Henkel AG & Co KGaA 1.27%		614,871
	6,794	Porsche Automobil Holding SE 1.35%		504,368

		Total Germany		1,119,239


		South Korea — 0.4%
	1,753	Samsung Electronics Co Ltd (Non-Voting) 0.66%		1,336,228

		TOTAL PREFERRED STOCKS (COST $15,551,848)		13,196,590


Shares / Par Value		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	22,103	PTT Exploration Rights, Expires 12/06/12 *		12,244

		TOTAL RIGHTS/WARRANTS (COST $0)		12,244


		MUTUAL FUNDS — 1.8%

		United States — 1.8%
		Affiliated Issuers — 1.8%
	221,000	GMO U.S. Treasury Fund		5,525,000

		TOTAL MUTUAL FUNDS (COST $5,525,000)		5,525,000


		SHORT-TERM INVESTMENTS — 1.2%

		Time Deposits — 1.2%
USD	2,500,000	Bank of Montreal Time Deposit, 0.07%, due 12/03/12		2,500,000
USD	971,367	Bank of Nova Scotia (Toronto) Time Deposit, 0.07%, due 12/03/12		971,367
AUD	21,075	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		21,993
CHF	9,475	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,225
EUR	3,196	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 12/03/12		4,157
GBP	38,456	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		61,613
HKD	77,507	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,001
NOK	58,283	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,289
NZD	21,861	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		17,947
SEK	67,065	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		10,080
ZAR	86,841	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 12/03/12		9,768
JPY	5,315,646	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		64,484
CAD	23,922	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		24,082
SGD	24,443	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		20,025

		Total Time Deposits		3,736,031


		TOTAL SHORT-TERM INVESTMENTS (COST $3,736,031)		3,736,031


		TOTAL INVESTMENTS — 99.2% (Cost $314,513,920)		306,694,547
		Other Assets and Liabilities (net) — 0.8%		2,588,202


		TOTAL NET ASSETS — 100.0%		$309,282,749

A summary of outstanding financial instruments at November 30, 2012 is as follows:

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

REIT - Real Estate Investment Trust

*	Non-income producing security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

ZAR - South African Rand

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 96.7%

		Australia — 3.7%
	10,157,269	Arrium Ltd		8,715,232
	915,833	Australia and New Zealand Banking Group Ltd		23,307,241
	1,420,675	Bank of Queensland Ltd		10,419,300
	708,294	Bendigo and Adelaide Bank Ltd		5,977,460
	21,653,815	BlueScope Steel Ltd *		11,997,010
	721,334	CSL Ltd		38,906,217
	9,513,224	Dexus Property Group (REIT)		9,985,811
	9,444,156	Goodman Fielder Ltd *		6,610,573
	3,710,570	GPT Group (REIT)		13,520,309
	2,406,255	Investa Office Fund (REIT)		7,286,226
	390,041	Macquarie Group Ltd		13,351,936
	10,266,519	Mirvac Group (REIT)		15,766,359
	4,084,875	Pacific Brands Ltd		2,538,602
	3,554,344	QBE Insurance Group Ltd		40,613,430
	6,700,736	Stockland (REIT)		23,715,169
	3,777,652	TABCORP Holdings Ltd		11,045,354
	3,400,620	Tatts Group Ltd		10,394,512
	7,135,569	Telstra Corp Ltd		32,100,699
	631,000	Westfield Group (REIT)		6,869,264
	1,023,754	Westpac Banking Corp		27,267,441

		Total Australia		320,388,145


		Austria — 0.5%
	1,167,625	Immofinanz AG (Entitlement Shares) *		—
	644,642	OMV AG		23,065,149
	100,973	Raiffeisen International Bank Holding		4,161,380
	367,005	Voestalpine AG		11,857,277

		Total Austria		39,083,806


		Belgium — 1.2%
	593,176	Ageas		15,874,724
	824,766	Anheuser-Busch InBev NV		72,424,668
	415,968	Belgacom SA		12,230,182
	122,358	Mobistar SA		3,235,405

		Total Belgium		103,764,979


		Canada — 1.0%
	78,600	Agrium Inc		8,026,561
	227,700	Alimentation Couche Tard Inc		11,248,039
	404,000	Canadian Oil Sands Ltd		8,199,164
	124,800	Canadian Tire Corp Ltd		8,279,378
	615,600	First Quantum Minerals Ltd		12,642,311
	94,400	Home Capital Group Inc		5,160,236
	494,000	Husky Energy Inc		13,864,922
	21	Precision Drilling Corp *		157
	1,549,800	Research In Motion Ltd *		18,082,430
	279,100	RONA Inc		2,989,504

		Total Canada		88,492,702


Shares		Description	Value ($)
		Denmark — 0.5%
	258,415	Novo-Nordisk A/S-Class B		40,961,484


		Finland — 0.5%
	13,221,670	Nokia Oyj		43,441,775
	31,798	Stockmann Oyj ABP-A Shares		602,016
	1,645	Stockmann Oyj ABP-B Shares		29,968

		Total Finland		44,073,759


		France — 13.2%
	2,968,310	Air France–KLM *		27,259,608
	284,337	APERAM		4,112,593
	1,933,764	AXA		31,848,907
	1,806,769	BNP Paribas		101,108,675
	723,884	Carrefour SA		17,865,876
	395,910	CNP Assurances		5,770,915
	81,043	Compagnie Generale des Etablissements Michelin-Class B		7,553,204
	79,830	Dassault Systemes SA		9,041,926
	105,463	Essilor International SA		10,189,537
	2,434,385	France Telecom SA		25,894,099
	1,278,921	GDF Suez		28,772,263
	87,639	L’Oreal SA		11,901,227
	213,371	Lagardere SCA		6,431,829
	973,593	PagesJaunes Groupe *		2,167,635
	2,936,490	Peugeot SA *		18,043,126
	929,813	Renault SA		46,579,262
	3,579,092	Sanofi		319,675,379
	1,112,801	Technicolor *		2,766,970
	8,191,077	Total SA		410,500,535
	2,448,369	Vivendi SA		52,670,124
	85,951	Zodiac Aerospace		9,610,688

		Total France		1,149,764,378

		Germany — 6.1%
	125,432	Adidas AG		11,033,970
	304,011	Aurubis AG		19,320,782
	591,403	Bayer AG (Registered)		53,523,633
	120,642	Beiersdorf AG		9,461,590
	104,355	Continental AG		11,566,142
	853,812	Deutsche Lufthansa AG (Registered)		14,180,731
	1,350,915	Deutsche Post AG (Registered)		28,059,684
	79,032	Duerr AG		6,596,412
	9,119,619	E.ON AG		164,454,191
	380,679	Freenet AG		7,096,159
	94,350	Hannover Rueckversicherung AG (Registered)		6,956,947
	402,719	Kloeckner & Co SE *		4,240,410
	119,425	Lanxess AG		10,401,783
	57,685	Merck KGaA		7,718,856
	253,497	Metro AG		7,097,412
	60,771	MTU Aero Engines Holding AG		5,410,461


Shares		Description	Value ($)
		Germany — continued
	229,925	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		39,264,184
	1,897,461	RWE AG		79,150,079
	151,087	Salzgitter AG		6,959,740
	387,939	SAP AG		30,289,905
	183,620	Suedzucker AG		7,233,143

		Total Germany		530,016,214


		Greece — 0.2%
	2,021,152	OPAP SA		13,148,490
	897,005	Public Power Corp SA *		5,203,432

		Total Greece		18,351,922


		Hong Kong — 1.0%
	3,491,500	BOC Hong Kong Holdings Ltd		10,718,053
	1,828,598	CLP Holdings Ltd		15,977,980
	8,509,890	Esprit Holdings Ltd		13,180,296
	7,746,581	Hong Kong & China Gas		20,992,862
	1,562,766	Link (REIT)		8,537,714
	6,618,000	Pacific Basin Shipping Ltd		3,501,889
	995,969	Power Assets Holdings Ltd		8,798,968
	1,744,400	Yue Yuen Industrial Holdings		6,075,905

		Total Hong Kong		87,783,667


		Ireland — 0.4%
	766,882	C&C Group Plc		4,084,792
	311,490	DCC Plc		9,397,291
	148,045	Kerry Group Plc-Class A		7,755,920
	115,439	Paddy Power Plc		8,710,345
	566,567	Smurfit Kappa Group Plc		6,650,481

		Total Ireland		36,598,829


		Israel — 0.3%
	1,295,535	Bank Hapoalim BM *		5,339,312
	2,442,325	Bank Leumi Le-Israel *		8,244,552
	4,047,425	Israel Discount Bank Ltd-Class A *		6,046,381
	650,760	Partner Communications Co Ltd		4,203,119

		Total Israel		23,833,364


		Italy — 6.3%
	14,439,480	A2A SPA		7,873,846
	943,269	Assicurazioni Generali SPA		15,845,543
	366,297	Azimut Holding SPA		4,779,726
	37,363,096	Enel SPA		141,707,608
	7,822,972	ENI SPA		185,516,426
	205,900	Exor SPA		5,096,348
	800,777	Fiat Industrial SPA		8,562,617


Shares		Description	Value ($)
		Italy — continued
	2,030,466	Fiat SPA *		9,415,192
	4,508,453	Finmeccanica SPA *		23,734,341
	19,248,900	Intesa Sanpaolo SPA		32,435,630
	203,805	Italcementi SPA-Di RISP		478,291
	8,507,394	Mediaset SPA		14,077,264
	1,752,479	Mediolanum SPA		8,553,051
	12,902,814	Milano Assicurazioni SPA *		5,207,706
	540,489	Parmalat SPA		1,242,137
	648,210	Pirelli & C SPA		7,531,869
	394,914	Recordati SPA		3,306,193
	47,398,867	Telecom Italia SPA		43,183,580
	34,936,071	Telecom Italia SPA-Di RISP		27,904,176

		Total Italy		546,451,544

		Japan — 21.4%
	7,224	Accordia Golf Co Ltd		6,752,164
	1,903	Advance Residence Investment Corp (REIT)		3,994,825
	2,098,800	Aeon Co Ltd		23,503,733
	187,700	Aeon Credit Service Co Ltd		3,678,068
	642,000	Ajinomoto Co Inc		9,181,017
	202,000	Alfresa Holdings Corp		8,488,094
	604,000	Anritsu Corp		7,790,273
	2,774,000	Aozora Bank Ltd		8,595,137
	520,200	Asahi Breweries Ltd		11,707,134
	834,600	Astellas Pharma Inc		42,250,657
	1,032,000	Calsonic Kansei Corp		4,771,527
	3,916,000	Cosmo Oil Co Ltd		7,626,106
	284,300	Credit Saison Co Ltd		6,344,556
	483,900	Daiei Inc *		946,750
	4,822,000	Daikyo Inc		11,630,433
	564,100	Daito Trust Construction Co Ltd		54,807,354
	704,300	Dena Co Ltd		25,803,621
	2,131,000	DIC Corp		3,840,192
	105,700	Disco Corp		5,659,174
	518,700	Eisai Co Ltd		21,802,075
	295,700	Electric Power Development Co Ltd		7,485,994
	1,138,000	Fuji Heavy Industries Ltd		12,831,652
	336,200	Fuji Oil Co Ltd		4,830,214
	834,000	Gunze Ltd		2,067,440
	1,098,000	Hanwa Co Ltd		3,631,589
	13,321,500	Haseko Corp *		8,752,738
	161,000	Hikari Tsushin Inc		7,326,302
	101,900	Idemitsu Kosan Co Ltd		8,374,237
	517,300	IT Holdings Corp		6,323,482
	4,976,400	Itochu Corp		49,915,683
	4,796	Japan Retail Fund Investment Corp (REIT)		8,735,596
	921,800	Japan Tobacco Inc		27,639,772


Shares		Description	Value ($)
		Japan — continued
	1,559,800	JFE Holdings Inc		24,305,967
	9,215,490	JX Holdings Inc		49,353,596
	704,300	K’s Holdings Corp		15,948,423
	4,846,993	Kajima Corp		13,988,452
	898,300	Kao Corp		24,700,138
	11,011,000	Kawasaki Kisen Kaisha Ltd *		14,607,721
	1,046,100	KDDI Corp		77,623,675
	7,818,000	Kobe Steel Ltd *		7,343,535
	201,300	Kohnan Shoji Co Ltd		2,341,921
	280,800	Kyowa Exeo Corp		2,846,229
	198,000	Lawson Inc		13,403,873
	2,822,900	Leopalace21 Corp *		8,904,349
	5,232,000	Marubeni Corp		34,614,436
	9,616,000	Mazda Motor Corp *		15,239,066
	917,100	Medipal Holdings Corp		10,868,281
	5,326,000	Mitsubishi Chemical Holdings Corp		23,366,698
	2,724,000	Mitsubishi Corp		51,851,904
	993,000	Mitsubishi Gas Chemical Co Inc		5,881,243
	230,800	Mitsubishi UFJ Lease & Finance Co Ltd		10,088,725
	3,791,000	Mitsui Chemicals Inc		8,588,748
	4,616,000	Mitsui Engineer & Shipbuilding Co Ltd		6,120,694
	1,932,300	Mitsui & Co Ltd		26,819,596
	4,406,000	Mitsui Mining & Smelting Co Ltd		8,755,197
	6,255,000	Mitsui OSK Lines Ltd		15,779,440
	12,201,300	Mizuho Financial Group Inc		19,671,445
	676,100	Net One Systems Co Ltd		6,575,615
	1,217,000	Nichirei Corp		6,609,408
	346,400	Nikon Corp		9,652,010
	216,600	Nintendo Co Ltd		26,029,649
	399,000	Nippon Corp		4,611,212
	4,968,000	Nippon Light Metal Co Ltd *		4,476,653
	645,800	Nippon Paper Group Inc		7,947,271
	12,327,000	Nippon Steel Corp		28,423,195
	1,595,800	Nippon Telegraph & Telephone Corp		71,786,466
	6,582,000	Nippon Yusen Kabushiki Kaisha		14,043,517
	1,097,800	Nipro Corp		8,037,028
	865,000	Nisshinbo Holdings Inc		6,144,223
	215,500	Nitto Denko Corp		11,254,896
	1,620,900	North Pacific Bank Ltd *		4,233,922
	23,223	NTT Docomo Inc		33,667,017
	247	Obayashi Corp		1,170
	111,900	Okinawa Electric Power Co		3,325,637
	57,000	Oriental Land Co Ltd		7,337,449
	1,020	ORIX JREIT Inc (REIT)		5,106,654
	2,187,000	Osaka Gas Co Ltd		8,598,482
	381,600	Otsuka Holdings Co Ltd		11,336,076
	274,530	Point Inc		9,928,445
	12,884,500	Resona Holdings Inc		54,085,376


Shares		Description	Value ($)
		Japan — continued
	1,726,000	Ricoh Company Ltd		16,090,835
	998,600	Round One Corp		5,633,915
	146,700	Ryohin Keikaku Co Ltd		9,383,570
	271,300	Sankyo Co Ltd		11,130,918
	399,200	Sega Sammy Holdings Inc		6,663,341
	387,000	Seino Holdings Co Ltd		2,350,854
	376,100	Seven & I Holdings Co Ltd		10,960,660
	4,152,200	Seven Bank Ltd		10,840,657
	92,000	Shimamura Co Ltd		9,307,137
	10,391,000	Shinsei Bank Ltd		17,702,794
	1,753,900	Showa Shell Sekiyu KK		10,240,993
	761,500	SoftBank Corp		28,641,821
	8,805,900	Sojitz Corp		11,136,686
	195,280	Sumisho Computer Systems Corp		3,345,629
	3,789,000	Sumitomo Light Metal Industries Ltd		3,132,273
	4,874,800	Sumitomo Corp		60,723,340
	642,000	Sumitomo Electric Industries Ltd		6,963,800
	903,000	Sumitomo Metal Mining Co Ltd		12,413,851
	398,400	Sumitomo Mitsui Financial Group Inc		12,896,370
	438,000	Suruga Bank Ltd		5,674,729
	184,300	Suzuken Co Ltd		5,496,477
	4,674,716	Taiheiyo Cement Co Ltd		10,460,867
	4,542,000	Taisei Corp		12,369,707
	2,576,800	Takeda Pharmaceutical Co Ltd		117,958,896
	1,034,000	Toho Zinc Co Ltd		3,888,607
	707,000	Tokyo Gas Co Ltd		3,470,812
	3,327,000	Tokyo Tatemono Co Ltd *		13,350,403
	456	Tokyu REIT Inc (REIT)		2,460,071
	802,000	TonenGeneral Sekiyu KK		7,457,519
	4,101,000	Tosoh Corp		8,841,684
	1,434,500	Toyota Motor Corp		61,765,413
	1,289,900	Toyota Tsusho Corp		29,801,425
	545,000	Toyo Engineering Corp		2,210,314
	151,700	Unicharm Corp		7,754,691
	1,514,600	UNY Co Ltd		10,617,613
	96,470	USS Co Ltd		10,301,506
	213,463	West Japan Railway Co		8,546,080
	805,140	Yamada Denki Co Ltd		28,500,796
	185,600	Yamato Kogyo Co Ltd		5,029,661
	689,000	Yokohama Rubber Co Ltd		4,635,522

		Total Japan		1,863,464,549


		Malta — 0.0%
	15,984,486	BGP Holdings Plc *		—


		Netherlands — 1.2%
	4,868,672	Aegon NV		27,999,224
	311,076	ASML Holding NV		19,451,624
	300,090	CSM NV		5,935,695
	4,978,939	ING Groep NV *		44,989,577
	1,745,334	Koninklijke BAM Groep NV		6,759,629

		Total Netherlands		105,135,749


Shares		Description	Value ($)
		New Zealand — 0.4%
	2,194,994	Chorus Ltd		6,127,616
	1,397,726	Fletcher Building Ltd		9,089,670
	11,462,151	Telecom Corp of New Zealand		21,743,006

		Total New Zealand		36,960,292


		Norway — 0.5%
	2,656,169	DnB NOR ASA		33,026,260
	1,458,004	Golden Ocean Group Ltd *		1,081,391
	208,700	TGS Nopec Geophysical Co ASA		6,597,357

		Total Norway		40,705,008


		Portugal — 0.2%
	8,566,628	EDP - Energias de Portugal SA		21,676,323


		Singapore — 1.7%
	4,424,000	CapitaCommercial Trust (REIT)		5,870,510
	6,624,000	Ezra Holdings Ltd *		5,773,669
	56,529,000	Golden Agri-Resources Ltd		30,544,000
	2,388,000	Ho Bee Investment Ltd		3,187,375
	3,873,000	Jaya Holdings Ltd *		1,773,311
	10,559,000	Noble Group Ltd		9,362,665
	2,088,100	SembCorp Industries Ltd		8,853,734
	2,723,000	Singapore Press Holdings Ltd		9,321,213
	2,105,000	Singapore Technologies Engineering Ltd		6,326,254
	16,343,000	Singapore Telecommunications		44,318,759
	4,346,000	Swiber Holdings Ltd *		2,114,849
	666,000	United Overseas Bank Ltd		10,210,537
	325,000	Venture Corp Ltd		2,081,676
	6,906,000	Yangzijiang Shipbuilding Holdings Ltd		5,281,087

		Total Singapore		145,019,639


		Spain — 7.8%
	10,675,028	Banco Bilbao Vizcaya Argentaria SA		90,572,463
	26,801,114	Banco Santander SA		206,463,381
	2,594,792	Gas Natural SDG SA		40,298,520
	343,117	Grifols SA *		10,985,374
	10,070,173	Iberdrola SA		50,038,136
	105,251	Inditex SA		14,449,030
	776,752	Indra Sistemas SA		9,123,518
	3,170,126	Repsol YPF SA		67,286,969
	14,211,554	Telefonica SA		186,688,531

		Total Spain		675,905,922


		Sweden — 0.9%
	878,819	Investor AB-B Shares		20,376,261
	450,125	Skandinaviska Enskilda Banken AB-Class A		3,627,548
	602,000	Svenska Handelsbanken AB-Class A		21,425,070
	1,176,600	Swedbank AB-Class A		21,758,407
	1,931,458	TeliaSonera AB		12,965,025

		Total Sweden		80,152,311


Shares		Description	Value ($)
		Switzerland — 2.1%
	2,149,760	Novartis AG (Registered)		133,214,962
	144,057	Roche Holding AG (Non Voting)		28,378,542
	228,994	Swiss Re AG		16,514,600

		Total Switzerland		178,108,104


		United Kingdom — 25.6%
	264,051	Admiral Group Plc		4,735,866
	1,096,548	Amlin Plc		6,791,380
	1,181,381	Ashtead Group Plc		7,263,237
	4,804,967	AstraZeneca Plc		228,227,405
	4,286,388	Aviva Plc		24,124,020
	13,587,987	BAE Systems Plc		71,305,587
	2,383,876	Balfour Beatty Plc		9,874,434
	44,357,968	Barclays Plc		175,938,504
	2,538,484	Barratt Developments Plc *		7,938,956
	1,745,729	BHP Billiton Plc		54,982,378
	31,698,103	BP Plc		220,057,538
	9,024,651	BT Group Plc		33,752,712
	556,788	Bunzl Plc		9,180,909
	739,844	Cape Plc		2,246,672
	1,000,400	Catlin Group Ltd		7,743,711
	2,591,012	Cobham Plc		8,804,566
	3,645,077	Darty Plc		2,794,596
	3,932,406	Debenhams Plc		7,436,041
	2,470,998	Diageo Plc		73,702,996
	19,795,248	Dixons Retail Plc *		8,714,223
	1,709,755	Drax Group Plc		14,839,627
	552,348	Experian Plc		9,183,219
	3,349,905	FirstGroup Plc		10,030,394
	5,373,228	GlaxoSmithKline Plc		115,073,642
	556,479	Greencore Group Plc		810,181
	9,718,224	Home Retail Group Plc		17,411,086
	782,906	Imperial Tobacco Group Plc		31,330,346
	1,706,545	Inchcape Plc		11,700,103
	276,712	InterContinental Hotels Group Plc		7,398,977
	1,339,763	Intermediate Capital Group Plc		6,258,698
	120,813	Jardine Lloyd Thompson Group Plc		1,490,471
	344,602	JD Wetherspoon Plc		3,003,286
	589,920	Lancashire Holdings Ltd		7,528,233
	10,670,061	Legal & General Group Plc		24,937,592
	126,131,680	Lloyds Banking Group Plc *		94,189,145
	4,422,360	Man Group Plc		5,445,749
	1,650,190	Marks & Spencer Group Plc		10,330,465
	655,759	Micro Focus International Plc		6,025,180
	1,040,047	National Express Group Plc		2,902,731
	382,308	Next Plc		22,439,339
	3,549,328	Old Mutual Plc		9,752,136
	1,744,016	Prudential Plc		25,352,599
	2,109,711	Punch Taverns Plc *		230,950
	2,455,275	Rio Tinto Plc		121,920,459
	1,535,556	Rolls-Royce Holdings Plc *		21,932,081
	136,182,196	Rolls-Royce Holdings Plc-Class C *		218,184


Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	6,667,711	Royal Bank of Scotland Group Plc *		31,593,546
	5,236,153	Royal Dutch Shell Plc A Shares (London)		175,314,043
	4,101,239	Royal Dutch Shell Plc B Shares (London)		141,570,801
	199,480	SABMiller Plc		9,044,783
	1,095,132	Scottish & Southern Energy Plc		25,031,283
	1,873,579	Spirit Pub Co Plc		1,862,715
	4,553,460	Tesco Plc		23,754,186
	9,891,488	Thomas Cook Group Plc *		4,124,778
	3,518,400	TUI Travel Plc		15,306,598
	735,645	United Utilities Group Plc		8,034,479
	78,083,250	Vodafone Group Plc		201,426,368
	2,804,525	William Hill Plc		15,168,177
	288,213	Wolseley Plc		13,390,831
	1,100,432	WPP Plc		15,108,837

		Total United Kingdom		2,228,082,029


		TOTAL COMMON STOCKS (COST $8,292,586,347)		8,404,774,719


		PREFERRED STOCKS — 0.6%

		Germany — 0.6%
	226,424	Henkel AG & Co KGaA 1.27%		18,921,097
	456,248	Porsche Automobil Holding SE 1.35%		33,870,618

		Total Germany		52,791,715


		TOTAL PREFERRED STOCKS (COST $39,410,683)		52,791,715


		MUTUAL FUNDS — 0.9%

		United States — 0.9%

		Affiliated Issuers — 0.9%
	3,023,461	GMO U.S. Treasury Fund		75,586,524


		TOTAL MUTUAL FUNDS (COST $75,591,206)		75,586,524


		SHORT-TERM INVESTMENTS — 1.1%

		Time Deposits — 1.1%
USD	14,700,982	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.07%, due 12/03/12		14,700,982
USD	25,000,000	Barclays Bank (London) Time Deposit, 0.07%, due 12/03/12		25,000,000


Par Value		Description	Value ($)
		Time Deposits — continued
AUD	551,446	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		575,489
CHF	9,298	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,034
GBP	1,758,083	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		2,816,712
HKD	77,516	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,002
NZD	299,131	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		245,571
SEK	67,919	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		10,208
EUR	337,400	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		438,805
JPY	174,506,640	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		2,116,900
USD	25,000,000	DBS Bank Ltd (Singapore) Time Deposit, 0.07%, due 12/03/12		25,000,000
CAD	130,195	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		131,067
NOK	1,779,331	JPMorgan Chase (New York) Time Deposit, 0.55%, due 12/03/12		314,123
SGD	488,410	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		400,139
USD	25,000,000	Royal Bank of Scotland (London) Time Deposit, 0.07%, due 12/03/12		25,000,000

		Total Time Deposits		96,770,032


		TOTAL SHORT-TERM INVESTMENTS (COST $96,770,032)		96,770,032


		TOTAL INVESTMENTS — 99.3% (Cost $8,504,358,268)		8,629,922,990
		Other Assets and Liabilities (net) — 0.7%		60,118,870


		TOTAL NET ASSETS — 100.0%		$8,690,041,860

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

*	Non-income producing security.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank And Trust Company

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 94.2%

		Australia — 3.5%
	1,168,727	Arrium Ltd		1,002,802
	438,027	Australian Infrastructure Fund		1,441,043
	1,416,195	BlueScope Steel Ltd *		784,624
	179,725	Charter hall Retail (REIT)		671,930
	485,378	Commonwealth Property Office Fund (REIT)		517,045
	194,072	Downer Edi Ltd *		716,035
	1,208,624	Goodman Fielder Ltd *		845,994
	121,053	GrainCorp Ltd- Class A		1,505,771
	156,392	Investa Office Fund (REIT)		473,560
	773,950	PaperlinX Ltd *		50,894
	218,043	Spark Infrastructure Group		372,166
	206,604	TABCORP Holdings Ltd		604,083
	241,161	Tatts Group Ltd		737,145

		Total Australia		9,723,092


		Austria — 0.2%
	6,409	Flughafen Wien AG		317,115
	1,761,602	Immofinanz AG (Entitlement Shares) *		—
	13,172	Strabag SE		347,456

		Total Austria		664,571


		Belgium — 0.3%
	9,085	GIMV NV		441,871
	1,741	Tessenderlo Chemie NV *		2
	6,234	ThromboGenics NV *		300,205

		Total Belgium		742,078


		Brazil — 0.2%
	28,200	Companhia de Saneamento de Minas Gerais-Copasa MG *		593,879


		Canada — 3.1%
	29,700	Artis Real Estate Investment Trust (REIT)		467,917
	7,000	Boardwalk Real Estate Investment Trust (REIT)		454,241
	30,000	Davis & Henderson Income Corp		645,090
	32,400	Dollarama Inc		2,069,542
	12,300	Dorel Industries Inc- Class B		456,165
	11,900	Empire Co Ltd		690,508
	26,000	Ensign Energy Services Inc		377,168
	44,300	Just Energy Group Inc		391,112
	22,900	Parkland Fuel Corp		406,891
	22,271	Quebecor Inc- Class B		848,601
	67,700	RONA Inc		725,150
	130,100	Sherritt International Corp		666,642
	29,350	Torstar Corp- Class B		203,871
	43,125	Transcontinental Inc		415,469

		Total Canada		8,818,367


		China — 0.1%
	447,600	Jiangsu Future Land Co Ltd- Class B		291,346


		Czech Republic — 0.0%
	3,256	Pegas Nonwovens SA		78,032


Shares		Description	Value ($)
		Denmark — 0.7%
	30,041	Chr Hansen Holding A/S		972,375
	68,452	GN Store Nord A/S		966,912

		Total Denmark		1,939,287


		Finland — 0.5%
	45,607	Huhtamaki Oyj		741,768
	36,559	Tieto Oyj		702,861

		Total Finland		1,444,629


		France — 4.1%
	4,907	Arkema		502,227
	10,033	AtoS		713,150
	35,502	Gemalto NV		3,266,911
	17,471	Groupe Steria SCA		274,458
	6,822	Ingenico SA		363,269
	11,583	Lagardere SCA		349,157
	135,696	PagesJaunes Groupe *		302,117
	127,646	Peugeot SA *		784,315
	16,410	Plastic Omnium SA		469,978
	26,102	Rallye SA		781,350
	4,760	Remy Cointreau SA		533,345
	14,033	SCOR		370,790
	76,771	STMicroelectronics NV		488,724
	39,436	Teleperformance		1,373,548
	9,286	Zodiac Aerospace		1,038,322

		Total France		11,611,661


		Germany — 5.8%
	33,820	Aurubis AG		2,149,359
	18,111	Bechtle AG		673,199
	7,055	Bertrandt AG		679,731
	68,009	Drillisch AG		963,066
	17,245	Duerr AG		1,439,355
	164,705	Freenet AG		3,070,232
	30,378	Gagfah SA *		342,048
	14,048	Gerry Weber International AG		665,161
	31,102	Hannover Rueckversicherung AG (Registered)		2,293,323
	18,578	Lanxess AG		1,618,123
	13,407	Leoni AG		465,634
	7,805	Salzgitter AG		359,533
	18,974	Suedzucker AG		747,422
	85,977	TUI AG *		855,400

		Total Germany		16,321,586


		Greece — 0.7%
	111,009	Alapis Holding Industrial and Commercial SA *		5,919
	284,526	Intralot SA		569,811
	85,089	Jumbo SA *		562,702
	631,122	Marfin Investment Group SA *		259,071
	65,033	Motor Oil (Hellas) Corinth Refineries SA		643,437

		Total Greece		2,040,940


Shares		Description	Value ($)
		Hong Kong — 0.9%
	257,500	AAC Technologies Holdings Inc		966,455
	402,000	First Pacific Co		423,037
	329,600	HKR International Ltd		167,963
	295,000	Kowloon Development Co Ltd		347,072
	520,000	Texwinca Holdings Ltd		441,435
	69,000	Yue Yuen Industrial Holdings		240,333

		Total Hong Kong		2,586,295


		India — 0.3%
	83,734	Gitanjali Gems Ltd		763,445
	275,905	Rain Commodities Ltd		183,843

		Total India		947,288


		Indonesia — 0.1%
	42,939,000	Bakrie & Brothers Tbk PT *		223,713


		Ireland — 2.8%
	50,916	DCC Plc		1,536,076
	517,640	Fyffes Plc		335,883
	105,880	Glanbia Plc		1,087,761
	22,250	Paddy Power Plc		1,678,854
	246,016	Smurfit Kappa Group Plc		2,887,787
	427,401	Total Produce Ltd		295,880

		Total Ireland		7,822,241


		Israel — 0.4%
	200,653	Africa Israel Investments Ltd *		484,296
	8,262	Mellanox Technologies Ltd *		627,282

		Total Israel		1,111,578


		Italy — 4.5%
	57,830	Astaldi SPA		341,632
	73,407	Autostrada Torino-Milano SPA		682,833
	104,545	Azimut Holding SPA		1,364,184
	1,138,988	Banca Popolare di Milano SCARL *		601,877
	270,870	Banco Popolare SCARL *		399,419
	61,866	Cementir SPA		124,767
	12,810	Danieli & Co SPA		379,300
	68,713	Danieli & Co SPA-RSP		1,108,470
	29,100	De’Longhi SPA		384,028
	103,556	Finmeccanica SPA *		545,161
	76,404	Impregilo SPA		315,436
	121,411	Italcementi SPA-Di RISP		284,928
	7,159	Italmobiliare SPA *		108,734
	95,780	Lottomatica SPA		2,112,929
	293,999	Mediolanum SPA		1,434,875
	1,567,905	Milano Assicurazioni SPA *		632,822
	124,607	Recordati SPA		1,043,201
	51,301	Societa Iniziative Autostradali e Servizi SPA		441,990
	179,296	Unipol Gruppo Finanziario SPA *		371,750

		Total Italy		12,678,336


Shares		Description	Value ($)
		Japan — 30.2%
	992	Accordia Golf Co Ltd		927,207
	264	Advance Residence Investment Corp (REIT)		554,195
	22,900	Alpen Co Ltd		407,989
	86,900	AOC Holdings Inc		323,115
	31,700	Aoyama Trading Co Ltd		576,476
	123,100	Arnest One Corp		1,683,224
	47,500	ASKUL Corp		711,596
	7,600	Autobacs Seven Co Ltd		297,130
	809	BIC Camera Inc		398,626
	8,400	Calbee Inc		685,866
	61,900	Century Tokyo Leasing Corp		1,215,504
	22,000	Chiba Kogyo Bank Ltd (The) *		113,474
	14,800	Cocokara fine Inc		464,530
	48,600	COMSYS Holdings Corp		572,861
	8,600	Cosmos Pharmaceutical Corp		887,486
	196,750	Daiei Inc *		384,941
	39,900	Daiichikosho Co Ltd		931,268
	575,000	Daikyo Inc		1,386,872
	24	Daiwahouse Residential Investment Corp (REIT)		183,734
	81	Daiwa Office Investment Corp (REIT)		262,433
	151,800	DCM Holdings Co Ltd		978,112
	154,900	Edion Corp		607,703
	81,000	Fujitsu General Ltd		745,647
	17,000	Fuji Soft Inc		344,098
	117,200	Futaba Industrial Co Ltd *		457,162
	37,700	Fuyo General Lease Co Ltd		1,062,727
	252,000	Godo Steel Ltd		439,319
	8,330	Gulliver International Co Ltd		315,792
	232,000	Gunze Ltd		575,115
	18,700	H.I.S. Co Ltd		576,493
	64,000	H2O Retailing Corp		611,333
	284,000	Hanwa Co Ltd		939,318
	198,000	Hazama Corp		472,364
	41,200	Heiwa Corp		640,034
	18,400	Hikari Tsushin Inc		837,292
	35,200	Hitachi Capital Corp		664,722
	881	Hoosiers Corp		622,564
	54	Industrial & Infrastructure Fund Investment Corp (REIT)		418,006
	397,000	Ishihara Sangyo Kaisha Ltd *		280,292
	102,100	IT Holdings Corp		1,248,072
	48,100	Itochu Enex Co Ltd		243,012
	102,400	Izumi Co Ltd		2,291,562
	82,200	J Trust Co Ltd		1,347,459
	212,000	JACCS Co Ltd		823,282
	29	Japan Excellent Inc (REIT)		162,471
	77,000	J–Oil Mills Inc		203,047
	21,100	K’s Holdings Corp		477,796
	15,400	Kaga Electronics Co Ltd		141,048
	21,000	Kaken Pharmaceutical Co Ltd		329,220
	71,000	Kamei Corp		626,217


Shares		Description	Value ($)
		Japan — continued
	770,000	Kanematsu Corp *		899,780
	206	Kenedix Realty Investment Corp (REIT)		684,936
	26,100	Kewpie Corp		380,199
	77,500	Kohnan Shoji Co Ltd		901,634
	73,900	Kojima Co Ltd		233,711
	10,700	Komeri Co Ltd		258,943
	45,900	Konaka Co Ltd		335,486
	98,000	Krosaki Harima Corp		227,283
	166,000	Kurabo Industries Ltd		264,666
	399,000	Kurimoto Ltd		1,350,794
	24,700	Kyorin Co Ltd		525,921
	482,500	Leopalace21 Corp *		1,521,963
	112,000	Look Inc		561,108
	220	M3 Inc		405,618
	356,000	Maruha Nichiro Holdings Inc		592,648
	61,700	Matsui Securities Co Ltd		490,605
	14,500	Matsumotokiyoshi Holdings Co Ltd		347,712
	76,800	Misawa Homes Co Ltd		1,100,375
	198,000	Mitsubishi Steel Manufacturing Co Ltd		360,476
	267,000	Mitsui Mining & Smelting Co Ltd		530,558
	30,800	MonotaRO Co Ltd		900,895
	190	Mori Hills REIT Investment Corp (REIT)		971,451
	198,000	Morinaga Milk Industry Co Ltd		642,619
	116,000	Nakayama Steel Works Ltd *		76,548
	114,000	Nichias Corp		546,848
	131,000	Nichirei Corp		711,448
	37,600	Nihon Kohden Corp		1,235,487
	423,000	Nippon Coke & Engineering Co Ltd		510,408
	120,000	Nippon Corp		1,386,831
	632,000	Nippon Light Metal Co Ltd *		569,494
	96,000	Nippon Soda Co Ltd		422,224
	28,000	Nippon Synthetic Chemical Industry Co Ltd		221,240
	72,000	Nippon Flour Mills Co Ltd		304,418
	473,000	Nishimatsu Construction Co Ltd		789,427
	96,000	Nissan Shatai Co Ltd		1,103,806
	79,000	Nissan Tokyo Sales Holdings Co Ltd *		308,038
	95,300	Nissan Chemical Industries Ltd		1,150,426
	121,000	NS United Kaiun Kaisha Ltd *		141,712
	423,000	Oki Electric Industry Co Ltd *		406,682
	14,600	Okinawa Electric Power Co		433,908
	1,151,000	Orient Corp *		2,340,163
	67	ORIX JREIT Inc (REIT)		335,437
	11,300	Osaka Steel Co Ltd		194,495
	42,500	Park24 Co Ltd		718,629
	21,200	PLENUS Co Ltd		348,952
	15,500	Pola Orbis Holdings Inc		461,365
	91,000	Press Kogyo Co Ltd		389,724
	32,000	Rohto Pharmaceutical Co Ltd		408,543
	101,700	Round One Corp		573,772


Shares		Description	Value ($)
		Japan — continued
	170,000	Ryobi Ltd		389,107
	11,900	Ryohin Keikaku Co Ltd		761,176
	107,000	Seino Holdings Co Ltd		649,978
	99,300	Shinko Electric Industries Co Ltd		696,726
	166,000	ShinMaywa Industries Ltd		1,006,710
	26,500	Ship Healthcare Holdings Inc		825,290
	89,000	Showa Corp		896,071
	19,000	SHO–BOND Holdings Co Ltd		574,629
	1,106	SKY Perfect JSAT Holdings Inc		471,032
	77,200	Sodick Co Ltd		339,705
	751,000	Sumitomo Light Metal Industries Ltd		620,833
	71,000	Taihei Kogyo Co Ltd		252,768
	90,500	Takara Leben Co Ltd		909,156
	96,000	Takashima & Co Ltd		304,367
	143,000	TOA Corp		217,536
	75,600	Toho Holdings Co Ltd		1,447,413
	65,000	Toho Zinc Co Ltd		244,448
	121,000	Tokyo Dome Corp *		390,761
	171,000	Tokyo Tatemono Co Ltd *		686,179
	125	Tokyu REIT Inc (REIT)		674,362
	200,000	Topy Industries Ltd		429,045
	49,100	Toridoll.corp		638,081
	134,000	Tosoh Corp		288,902
	246,000	Toyo Tire & Rubber Co Ltd		686,113
	30,400	TS Tech Co Ltd		541,840
	11,500	Tsuruha Holdings Inc		866,822
	55,700	T–Gaia Corp		529,449
	89,000	Uchida Yoko Co Ltd		237,885
	100,000	Uniden Corp		215,607
	24,500	United Arrows Ltd		630,447
	155,500	UNY Co Ltd		1,090,082
	577	Wacom Co Ltd		1,649,652
	27,300	Xebio Co Ltd		492,548
	197,000	Yokohama Rubber Co Ltd		1,325,396

		Total Japan		85,009,328


		Netherlands — 1.3%
	70,113	Delta Lloyd NV		1,048,181
	18,465	Koninklijke Ten Cate NV		433,363
	204,378	Koninklijke BAM Groep NV		791,550
	28,297	Mediq NV		477,042
	315,969	SNS REAAL NV *		432,220
	177,100	TNT NV *		602,738

		Total Netherlands		3,785,094


		New Zealand — 0.2%
	279,166	AMP NZ Office Ltd		229,262
	97,618	Trade Me Ltd		338,351

		Total New Zealand		567,613


Shares		Description	Value ($)
		Norway — 1.7%
	33,472	Atea ASA		363,412
	35,860	Cermaq ASA *		483,806
	17,515	Fred Olsen Energy ASA		772,874
	62,366	Petroleum Geo–Services ASA		1,043,699
	63,362	TGS Nopec Geophysical Co ASA		2,002,979

		Total Norway		4,666,770


		Philippines — 0.1%
	1,373,300	Lopez Holding Corp		210,553


		Poland — 0.0%
	37,884	MCI Management SA *		64,140


		Portugal — 0.3%
	911,906	Sonae		693,473
	3,194	Zon Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		10,946

		Total Portugal		704,419


		Russia — 0.2%
	10,696,252	IDGC Holding JSC *		694,433


		Singapore — 4.1%
	1,425,000	CapitaCommercial Trust (REIT)		1,890,930
	181,000	CDL Hospitality Trusts (REIT)		285,571
	733,000	Ezion Holdings Ltd		866,144
	366,000	First Resources Ltd		638,385
	325,000	Ho Bee Investment Ltd		433,793
	157,000	Hong Leong Asia Ltd		210,200
	1,481,000	Jaya Holdings Ltd *		678,098
	638,000	Mapletree Industrial Trust (REIT)		718,581
	824,159	Mapletree Logistics Trust (REIT)		749,092
	1,619,000	STX OSV Holdings Ltd		1,834,768
	967,000	Suntec Real Estate Investment Trust (REIT)		1,282,742
	943,000	Swiber Holdings Ltd *		458,882
	133,000	Wheelock Properties Ltd		201,494
	388,676	Wing Tai Holdings Ltd		555,523
	1,195,000	Yoma Strategic Holdings Ltd		646,026

		Total Singapore		11,450,229


		South Africa — 0.1%
	76,176	Basil Read Holdings Ltd *		79,672
	56,841	Stefanutti Stocks Holdings Ltd		55,596
	130,358	Super Group Ltd *		226,491

		Total South Africa		361,759


		South Korea — 1.4%
	1,255	Dongwon Industries Co Ltd		361,518
	17,990	Handsome Co Ltd		497,943


Shares		Description	Value ($)
		South Korea — continued
	5,919	KCC Engineering & Construction Co		125,134
	7,210	KISCO Corp		172,505
	5,085	KISWIRE Ltd		141,045
	10,411	Kolon Corp		160,144
	8,892	Kolon Industries Inc		485,003
	338	Namyang Dairy Products Co Ltd		293,821
	2,305	Nong Shim Holdings Co Ltd		129,496
	1,341	SeAH Holdings Corp		98,695
	3,277	SeAH Steel Corp		275,492
	4,180	Silla Co Ltd		92,477
	4,846	SK Gas Co Ltd		389,294
	319	Taekwang Industrial Co Ltd		275,294
	10,260	Youngone Corp		330,353

		Total South Korea		3,828,214


		Spain — 1.5%
	15,394	Corp Financiera Alba SA		641,458
	31,536	Enagas		645,517
	51,857	Fomento de Construcciones y Contratas SA		616,893
	31,789	Grifols SA *		1,017,770
	108,078	Indra Sistemas SA		1,269,455

		Total Spain		4,191,093


		Sweden — 1.5%
	15,597	Axfood AB		577,947
	48,921	D Carnegie & Co AB * ^(a)		5,515
	8,628	Hexpol AB		425,142
	18,282	Hoganas AB- Class B		625,312
	28,964	NCC Class B		563,102
	27,169	SAAB AB- Class B		528,992
	118,994	Trelleborg AB- Class B		1,412,733
	63,065	Vostok Gas Ltd SDR *^(a)		2,085

		Total Sweden		4,140,828


		Switzerland — 1.3%
	26,857	Actelion Ltd (Registered)		1,331,181
	5,278	AMS AG		570,874
	12,597	Swiss Life Holding AG (Registered) *		1,687,334

		Total Switzerland		3,589,389


		Taiwan — 0.4%
	308,000	Chipbond Technology Corp		597,341
	216,000	Elan Microelectronics Corp		335,864
	126,000	L&K Engineering Co Ltd		113,720
	224,000	Long Bon International Co Ltd *		156,165
	430,000	ProMOS Technologies Inc * ^{(a) (b)}		—

		Total Taiwan		1,203,090


Shares		Description	Value ($)
		Thailand — 0.1%
	2,402,374	Sansiri PCL		278,672


		Turkey — 0.2%
	526,803	Ihlas Holding AS *		380,371
	474,959	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS- Class D		316,303

		Total Turkey		696,674


		United Kingdom — 21.4%
	450,185	Aberdeen Asset Management Plc		2,438,597
	161,312	Aegis Group Plc		607,752
	158,217	Amlin Plc		979,904
	377,175	Ashtead Group Plc		2,318,906
	80,671	Atkins WS Plc		993,205
	489,791	Balfour Beatty Plc		2,028,801
	66,391	Bodycote Plc		438,980
	36,354	Bunzl Plc		599,443
	94,163	Cape Plc		285,943
	288,508	Catlin Group Ltd		2,233,229
	321,780	Cobham Plc		1,093,447
	142,977	Cookson Group Plc		1,405,173
	117,992	Dairy Crest Group Plc		706,692
	492,095	Darty Plc		377,278
	1,496,674	Debenhams Plc		2,830,158
	1,248,851	Dixons Retail Plc *		549,767
	117,686	Drax Group Plc		1,021,442
	112,080	DS Smith Plc		388,795
	131,048	easyJet Plc		1,502,699
	444,734	Enterprise Inns Plc *		612,965
	440,031	FirstGroup Plc		1,317,555
	31,617	Go–Ahead Group Plc		624,526
	129,827	Greene King Plc		1,272,748
	143,012	Halfords Group Plc		782,810
	746,002	Home Retail Group Plc		1,336,531
	21,033	Hunting Plc		274,572
	334,932	Inchcape Plc		2,296,300
	37,198	Inmarsat Plc		350,283
	24,914	InterContinental Hotels Group Plc		666,173
	381,140	Intermediate Capital Group Plc		1,780,494
	33,636	Interserve Plc		196,176
	7,879	Intertek Group Plc		390,210
	405,676	ITV Plc		643,550
	61,577	John Wood Group Plc		768,184
	747,980	Johnston Press Plc *		161,621
	260,871	Ladbrokes Plc		815,310
	92,225	Lancashire Holdings Ltd		1,176,924
	623,840	Marston’s Plc		1,251,617
	89,504	Mcbride Plc		185,792


Shares		Description	Value ($)
		United Kingdom — continued
	161,008	Micro Focus International Plc		1,479,358
	156,912	Mitie Group Plc		674,937
	87,269	Morgan Crucible Co Plc		341,308
	350,920	National Express Group Plc		979,404
	99,350	Ophir Energy Plc *		793,919
	191,184	Pace Plc		561,192
	117,188	Playtech Ltd		788,997
	548,773	Premier Foods Plc *		842,119
	1,049,304	Punch Taverns Plc *		114,867
	333,224	Qinetiq Group Plc		1,056,705
	19,197	Rotork Plc		763,331
	93,788	Senior Plc		298,149
	224,168	SIG Plc		405,705
	600,001	Spirit Pub Co Plc		596,522
	110,141	Stagecoach Group Plc		516,662
	45,192	Telecity Group Plc		621,040
	1,827,610	Thomas Cook Group Plc *		762,118
	289,793	Trinity Mirror Plc *		380,920
	350,981	TUI Travel Plc		1,526,923
	205,851	Tullett Prebon Plc		749,101
	109,892	United Business Media Ltd		1,296,707
	153,513	WH Smith Plc		1,598,276
	28,643	Whitbread Plc		1,102,202
	410,145	William Hill Plc		2,218,255

		Total United Kingdom		60,173,269


		TOTAL COMMON STOCKS (COST $257,707,302)		265,254,486


		PREFERRED STOCKS — 1.7%

		Brazil — 0.3%
	48,800	Eletropaulo Metropolitana SA 49.99%		310,367
	61,700	Metalurgica Gerdau SA 0.87%		648,243

		Total Brazil		958,610


		Germany — 0.7%
	5,006	Biotest AG 1.12%		288,945
	3,539	Draegerwerk AG & Co 0.25%		340,647
	19,800	Jungheinrich AG 2.54%		755,562
	17,407	ProSiebenSat.1 Media AG 5.11%		509,868

		Total Germany		1,895,022


		Russia — 0.7%
	857	Transneft 1.22%		1,815,810


		TOTAL PREFERRED STOCKS (COST $4,489,508)		4,669,442


Shares / Par Value		Description	Value ($)
		RIGHTS/WARRANTS — 0.0%

		Malaysia — 0.0%
	11,833	Coastal Contracts Warrants, Expires 07/18/16 *		1,090

		TOTAL RIGHTS/WARRANTS (COST $0)		1,090


		SHORT-TERM INVESTMENTS — 2.9%

		Time Deposits — 2.9%
USD	2,322,063	Bank of Montreal Time Deposit, 0.07%, due 12/03/12		2,322,063
AUD	39,619	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		41,346
CAD	14,007	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 12/03/12		14,101
CHF	9,400	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,143
GBP	14,738	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		23,612
HKD	77,503	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,000
NOK	57,364	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,127
NZD	12,180	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		10,000


Par Value		Description	Value ($)
		Time Deposits — continued
SEK	67,330	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		10,120
ZAR	199,563	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 12/03/12		22,447
EUR	20,501	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		26,662
JPY	4,592,287	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		55,709
USD	2,417,649	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		2,417,649
USD	2,500,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		2,500,000
USD	571,978	DnB Nor Bank (Oslo) Time Deposit, 0.07%, due 12/03/12		571,978
SGD	57,155	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		46,826

		Total Time Deposits		8,092,783


		TOTAL SHORT-TERM INVESTMENTS (COST $8,092,783)		8,092,783


		TOTAL INVESTMENTS — 98.8% (Cost $270,289,593)		278,017,801
		Other Assets and Liabilities (net) — 1.2%		3,428,842


		TOTAL NET ASSETS — 100.0%	$	281,446,643

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

REIT - Real Estate Investment Trust

SDR	- Swedish Depository Receipt

*	Non-income producing security.

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

(b)	Bankrupt issuer.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

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

USD - United States Dollar

ZAR - South African Rand Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 92.4%

		Australia — 0.4%
	59,117	Incitec Pivot Ltd		194,446


		Austria — 0.6%
	6,742	OMV AG		241,227
	12	Verbund AG		275

		Total Austria		241,502


		Brazil — 1.9%
	24,700	Petroleo Brasileiro SA (Petrobras)		220,784
	34,700	Vale SA		610,595

		Total Brazil		831,379


		Canada — 5.1%
	7,100	Agrium Inc		725,046
	4,500	Calfrac Well Services Ltd		105,099
	3,100	Canadian Natural Resources Ltd		89,222
	6,000	Canadian Oil Sands Ltd		121,770
	5,100	Encana Corp		111,411
	5,700	Ensign Energy Services Inc		82,687
	6,700	Nexen Inc		164,507
	13,500	Precision Drilling Corp *		101,112
	34,800	Sherritt International Corp		178,318
	4,300	Suncor Energy Inc		140,512
	10,700	Talisman Energy Inc		120,427
	9,200	Teck Resources Ltd - Class B		311,467

		Total Canada		2,251,578


		China — 6.6%
	454,000	Asian Citrus Holdings Ltd		212,420
	156,000	China Coal Energy Co Ltd - Class H		157,119
	66,000	China Oilfield Services Ltd - Class H		131,428
	340,000	China Petroleum & Chemical Corp - Class H		359,677
	716,000	China Qinfa Group Ltd		105,268
	205,000	CNOOC Ltd		435,702
	184,000	First Tractor Co Ltd - Class H *		174,100
	452,000	Hidili Industry International Development Ltd		115,471
	60,200	Inner Mongolia Yitai Coal Co - Class B		334,298
	38,000	Jiangxi Copper Co Ltd - Class H		97,358
	392,000	Minmetals Resources Ltd *		152,160
	180,000	PetroChina Co Ltd - Class H		239,231
	248,000	Yanzhou Coal Mining Co Ltd - Class H		380,446

		Total China		2,894,678


		Czech Republic — 0.9%
	12,273	CEZ AS		407,642


		Denmark — 0.4%
	39,719	Vestas Wind Systems A/S *		190,959


Shares		Description	Value ($)
		France — 3.2%
	23,902	Electricite de France SA		438,677
	19,838	Total SA		994,193

		Total France		1,432,870


		Germany — 0.7%
	2,901	Aurubis AG		184,367
	2,919	K+S AG		131,986

		Total Germany		316,353


		Greece — 0.2%
	22,521	Mytilineos Holdings SA *		101,830


		Hungary — 0.4%
	1,840	MOL Hungarian Oil and Gas Plc		156,152


		India — 0.5%
	27,500	Sterlite Industries India Ltd ADR		216,975


		Indonesia — 0.2%
	1,367,500	Bumi Resources Tbk PT		83,958


		Israel — 1.1%
	31,021	Israel Chemicals Ltd		382,198
	161	Israel Corp Ltd (The)		111,074

		Total Israel		493,272


		Italy — 2.9%
	28,110	ENI SPA		666,610
	57,825	Fiat Industrial SPA		618,316

		Total Italy		1,284,926


		Japan — 11.0%
	23	INPEX Corp		123,683
	74,000	Itochu Corp		742,256
	16,000	Kubota Corp		170,553
	98,000	Marubeni Corp		648,359
	63,000	Mitsubishi Materials Corp		180,631
	46,700	Mitsubishi Corp		888,944
	61,500	Mitsui & Co Ltd		853,597
	67,000	Mitsui Mining & Smelting Co Ltd		133,136
	24,000	Nihon Nohyaku Co Ltd		118,861
	82,500	Nippon Coke & Engineering Co Ltd		99,548
	52,100	Sumitomo Corp		648,988
	20,000	Sumitomo Metal Mining Co Ltd		274,947

		Total Japan		4,883,503


		Mexico — 0.5%
	60,800	Grupo Mexico SAB de CV - Class B		199,792


		Netherlands — 0.2%
	7,354	SBM Offshore NV *		82,693


Shares		Description	Value ($)
		Norway — 6.7%
	57,793	Austevoll Seafood ASA		264,910
	22,453	Cermaq ASA		302,925
	3,377	Fred Olsen Energy ASA		149,015
	559,035	Marine Harvest ASA *		487,812
	57,064	Morpol ASA *		79,982
	12,315	ProSafe SE		103,717
	16,563	Salmar ASA *		119,772
	1,038	Songa Offshore SE *		1,043
	16,231	Statoil ASA		396,536
	4,310	TGS Nopec Geophysical Co ASA		136,246
	18,370	Yara International ASA		921,092

		Total Norway		2,963,050


		Poland — 1.9%
	4,383	Jastrzebska Spolka Weglowa SA		121,665
	9,555	KGHM Polska Miedz SA		542,174
	4,439	Zaklady Azotowe Pulawy SA		190,195

		Total Poland		854,034


		Russia — 6.0%
	88,418	Gazprom OAO Sponsored ADR		787,074
	10,434	Lukoil OAO Sponsored ADR		657,542
	15,439	MMC Norilsk Nickel JSC ADR		244,915
	7,942	Phosagro OAO GDR		110,729
	41,916	Rosneft OJSC GDR (Registered Shares)		327,554
	23,245	Surgutneftegas Sponsored ADR		196,166
	6,269	Tatneft Sponsored ADR		248,547
	6,027	TMK OAO (Registered Shares)		92,767

		Total Russia		2,665,294


		Singapore — 2.1%
	132,000	China XLX Fertiliser Ltd		30,247
	51,000	First Resources Ltd		88,955
	1,237,000	Golden Agri-Resources Ltd		668,381
	154,000	Indofood Agri Resources Ltd		160,102

		Total Singapore		947,685


		South Africa — 0.3%
	3,122	Sasol Ltd		131,569


		South Korea — 0.2%
	2,810	Poongsan Corp		87,973


		Spain — 2.3%
	20,226	Endesa SA		410,274
	65,887	Iberdrola SA		327,389
	12,691	Repsol YPF SA		269,370

		Total Spain		1,007,033


		Sweden — 0.7%
	18,068	Boliden AB		320,251


Shares		Description	Value ($)
		Taiwan — 0.3%
	249,000	Sinon Corp		115,304


		Thailand — 0.8%
	16,600	Banpu Pcl (Foreign Registered)		213,467
	13,100	PTT Exploration & Production Pcl (Foreign Registered)		67,845
	8,600	PTT Pcl (Foreign Registered)		89,634

		Total Thailand		370,946


		Turkey — 0.7%
	21,701	Gubre Fabrikalari TAS *		162,798
	49,787	Koza Anadolu Metal Madencilik Isletmeleri AS *		153,243

		Total Turkey		316,041


		United Kingdom — 14.9%
	348	Anglo Pacific Group Plc		1,346
	21,706	Anglo American Plc		602,842
	29,408	BHP Billiton Plc		926,216
	135,527	BP Plc		940,868
	36,311	Eurasian Natural Resources Corp Plc		157,210
	654	Hargreaves Services Plc		8,189
	17,902	Kazakhmys Plc		204,712
	15,924	New World Resources Plc		67,421
	30,673	Rio Tinto Plc		1,523,115
	20,054	Royal Dutch Shell Plc A Shares (London)		671,437
	15,981	Royal Dutch Shell Plc B Shares (London)		551,649
	11,489	Vedanta Resources Plc		197,194
	43,292	Xstrata Plc		717,752

		Total United Kingdom		6,569,951


		United States — 18.7%
	9,400	AGCO Corp. *		433,810
	4,900	Apache Corp.		377,741
	17,600	Arch Coal, Inc.		118,272
	2,700	Baker Hughes, Inc.		116,505
	10,400	Chesapeake Energy Corp.		177,112
	7,000	Chevron Corp.		739,830
	27,600	Chiquita Brands International, Inc. *		196,788
	1,400	Cimarex Energy Co.		84,168
	14,100	Cloud Peak Energy, Inc. *		267,477
	8,900	ConocoPhillips		506,766
	6,200	Deere & Co.		521,110
	3,500	Devon Energy Corp.		180,845
	2,100	Diamond Offshore Drilling, Inc.		144,900
	18,500	Dole Food Co., Inc. *		212,380
	1,700	Energen Corp.		75,701
	7,800	Exxon Mobil Corp.		687,492
	15,900	Freeport–McMoRan Copper & Gold, Inc.		620,259
	3,400	Halliburton Co.		113,390
	7,400	Helix Energy Solutions Group, Inc. *		129,574


Shares		Description	Value ($)
		United States — continued
	4,300	Hess Corp.		213,323
	19,200	James River Coal Co. *		70,848
	9,500	Kodiak Oil & Gas Corp. *		81,510
	11,600	Marathon Oil Corp.		357,860
	4,800	Mosaic Co. (The)		259,488
	2,100	Murphy Oil Corp.		119,154
	14,800	Nabors Industries Ltd. *		217,560
	3,200	Newfield Exploration Co. *		77,888
	3,300	NextEra Energy, Inc.		226,743
	5,000	Noble Corp.		172,450
	7,300	Patterson-UTI Energy, Inc.		129,648
	13,600	Peabody Energy Corp.		341,496
	3,500	Stone Energy Corp. *		72,555
	2,800	Unit Corp. *		125,776
	8,000	Weatherford International Ltd. *		83,280

		Total United States		8,253,699


		TOTAL COMMON STOCKS (COST $39,899,830)		40,867,338


		PREFERRED STOCKS — 3.0%

		Brazil — 2.7%
	39,200	Petroleo Brasileiro SA (Petrobras) 0.66%		342,321
	49,187	Vale SA 1.83%		844,797

		Total Brazil		1,187,118

		Russia — 0.3%
	227,754	Surgutneftegaz OJSC 10.49%		142,711


		TOTAL PREFERRED STOCKS (COST $1,411,433)		1,329,829


		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	2,564	PTT Exploration Rights, Expires 12/06/12*		1,420


		TOTAL RIGHTS/WARRANTS (COST $0)		1,420


Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 2.2%

		Time Deposits — 2.2%
USD	250,000	Bank of America (Charlotte) Time Deposit, 0.07%, due 12/03/12		250,000
USD	250,000	Bank of New York Mellon (New York) Time Deposit, 0.07%, due 12/03/12		250,000
AUD	11	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		12
CAD	1,787	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.20%, due 12/03/12		1,799
NOK	9,379	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		1,646
SGD	7,424	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		6,082
USD	221,421	DnB Nor Bank (Oslo) Time Deposit, 0.07%, due 12/03/12		221,421
USD	250,000	Toronto Dominion (Toronto) Time Deposit, 0.07%, due 12/03/12		250,000

		Total Time Deposits		980,960


		TOTAL SHORT-TERM INVESTMENTS (COST $980,960)		980,960


		TOTAL INVESTMENTS — 97.6% (Cost $42,292,223)		43,179,547
		Other Assets and Liabilities (net) — 2.4%		1,069,859


		TOTAL NET ASSETS — 100.0%		$44,249,406

Notes to Schedule of Investments:

ADR - American Depositary Receipt

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

GDR - Global Depository Receipt

*	Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

CAD - Canadian Dollar

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of outstanding financial instruments at November 30, 2012 is as follows:

As of November 30, 2012 for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover any commitments or collateral requirements of the relevant broker or exchange.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 96.4%

		Australia — 4.3%
	374,731	Arrium Ltd		321,530
	18,663	Australia and New Zealand Banking Group Ltd		474,959
	17,109	BHP Billiton Ltd		616,135
	930,566	BlueScope Steel Ltd *		515,568
	11,506	Commonwealth Bank of Australia		717,257
	41,679	CSL Ltd		2,248,019
	323,588	Dexus Property Group (REIT)		339,663
	437,639	Goodman Fielder Ltd *		306,332
	54,055	Goodman Group (REIT)		260,665
	68,147	GPT Group (REIT)		248,309
	26,449	Macquarie Group Ltd		905,406
	444,427	Mirvac Group (REIT)		682,509
	279,897	QBE Insurance Group Ltd		3,198,221
	7,458	Rio Tinto Ltd		457,946
	334,771	Stockland (REIT)		1,184,818
	138,105	TABCORP Holdings Ltd		403,801
	201,890	Tatts Group Ltd		617,107
	930,133	Telstra Corp Ltd		4,184,378
	5,482	Wesfarmers Ltd		203,337
	92,227	Westpac Banking Corp		2,456,444

		Total Australia		20,342,404


		Austria — 0.6%
	8,935	Andritz AG		569,244
	88,088	Immofinanz AG (Entitlement Shares) *		—
	30,861	OMV AG		1,104,200
	4,160	Raiffeisen International Bank Holding		171,445
	27,079	Voestalpine AG		874,874

		Total Austria		2,719,763


		Belgium — 1.9%
	41,633	Ageas		1,114,193
	67,629	Anheuser-Busch InBev NV		5,938,663
	34,388	Belgacom SA		1,011,067
	17,142	Delhaize Group		635,118
	8,086	Mobistar SA		213,811

		Total Belgium		8,912,852


		Canada — 2.6%
	9,300	Alimentation Couche Tard Inc		459,406
	6,900	Bank of Montreal		414,479
	46,600	Canadian Natural Resources Ltd		1,341,213
	20,000	Canadian Oil Sands Ltd		405,899
	7,400	Canadian Tire Corp Ltd		490,925
	16,800	Canadian National Railway Co		1,510,960
	2,800	Canadian Pacific Railway Ltd		261,298
	21,000	Encana Corp		458,751
	45,200	First Quantum Minerals Ltd		928,253


Shares		Description	Value ($)
		Canada — continued
	36,100	Husky Energy Inc		1,013,206
	10,200	Magna International Inc - Class A		475,935
	56,100	Manulife Financial Corp		721,758
	10,100	Metro Inc - Class A		621,851
	32,800	Research In Motion Ltd *		382,697
	13,800	Royal Bank of Canada		818,261
	3,900	Shoppers Drug Mart Corp		164,150
	61,700	Sun Life Financial Inc		1,688,854
	12,600	Teck Resources Ltd - Class B		426,575

		Total Canada		12,584,471


		Denmark — 1.1%
	1,333	Coloplast A/S		311,236
	31,971	Novo-Nordisk A/S - Class B		5,067,739

		Total Denmark		5,378,975


		Finland — 0.6%
	2,917	Kone Oyj - Class B		218,535
	7,256	Nokian Renkaat Oyj		303,348
	671,978	Nokia Oyj		2,207,884

		Total Finland		2,729,767


		France — 12.6%
	126,818	Air France–KLM *		1,164,639
	20,016	ArcelorMittal		304,305
	6,500	Arkema		665,269
	80,477	AXA		1,325,448
	44,248	BNP Paribas		2,476,164
	29,984	Bouygues SA		740,980
	1,792	Bureau Veritas SA		198,919
	30,147	Carrefour SA		744,045
	5,426	Compagnie Generale des Etablissements Michelin - Class B		505,703
	12,581	Dassault Systemes SA		1,424,984
	12,316	Essilor International SA		1,189,937
	1,613	Esso SAF		114,789
	31,121	European Aeronautic Defense and Space Co NV		1,049,100
	92,696	France Telecom SA		985,990
	28,412	GDF Suez		639,193
	16,002	GDF Suez VVPR Strip *		21
	14,015	Gemalto NV		1,289,667
	7,214	L’Oreal SA		979,649
	6,020	Lafarge SA		350,331
	12,851	Lagardere SCA		387,379
	4,045	NYSE Euronext		94,641
	44,053	PagesJaunes Groupe *		98,081
	7,146	Pernod-Ricard SA		809,684
	132,613	Peugeot SA *		814,834
	4,589	Publicis Groupe SA		259,846


Shares		Description	Value ($)
		France — continued
	2,330	Remy Cointreau SA		261,070
	65,893	Renault SA		3,300,930
	10,990	Safran SA		450,587
	161,036	Sanofi		14,383,325
	29,334	STMicroelectronics NV		186,740
	3,590	Technip SA		417,380
	385,074	Total SA		19,298,205
	1,621	Unibail-Rodamco SE (REIT)		380,839
	74,910	Vivendi SA		1,611,489
	9,378	Zodiac Aerospace		1,048,610

		Total France		59,952,773


		Germany — 6.8%
	8,995	Adidas AG		791,270
	13,966	Aurubis AG		887,580
	38,595	Bayer AG (Registered)		3,492,956
	9,725	Beiersdorf AG		762,703
	20,722	Celesio AG		352,168
	7,908	Continental AG		876,480
	61,755	Deutsche Lufthansa AG (Registered)		1,025,672
	15,683	Deutsche Bank AG (Registered)		691,767
	45,524	Deutsche Post AG (Registered)		945,573
	8,074	Duerr AG		673,897
	460,823	E.ON AG		8,310,026
	29,880	Freenet AG		556,987
	13,384	GEA Group AG		437,742
	10,224	Hannover Rueckversicherung AG (Registered)		753,872
	8,514	HeidelbergCement AG		463,256
	4,297	Hugo Boss AG		450,939
	7,275	Kabel Deutschland Holding AG		526,553
	4,274	Lanxess AG		372,261
	8,577	Leoni AG		297,885
	5,421	Merck KGaA		725,387
	9,447	Metro AG		264,497
	9,832	Muenchener Rueckversicherungs-Gesellschaft AG (Registered)		1,679,006
	71,557	RWE AG		2,984,906
	9,503	Salzgitter AG		437,751
	33,518	SAP AG		2,617,053
	25,341	Suedzucker AG		998,230

		Total Germany		32,376,417


		Greece — 0.2%
	91,733	OPAP SA		596,764
	62,491	Public Power Corp SA *		362,503

		Total Greece		959,267


		Hong Kong — 0.7%
	35,000	Cheung Kong Holdings Ltd		533,099


Shares		Description	Value ($)
		Hong Kong — continued
	82,400	CLP Holdings Ltd		719,997
	157,320	Esprit Holdings Ltd		243,660
	292,380	Hong Kong & China Gas		792,336
	449,000	Pacific Basin Shipping Ltd		237,587
	29,050	Swire Properties Ltd		97,434
	26,000	Swire Pacific Ltd		319,495
	93,000	Yue Yuen Industrial Holdings		323,927

		Total Hong Kong		3,267,535


		Ireland — 0.7%
	57,269	C&C Group Plc		305,043
	26,269	CRH Plc		480,859
	9,955	DCC Plc		300,331
	8,265	Elan Corp Plc *		82,624
	19,423	Kerry Group Plc - Class A		1,017,550
	9,289	Paddy Power Plc		700,893
	28,048	Smurfit Kappa Group Plc		329,233

		Total Ireland		3,216,533


		Israel — 0.1%
	3,348	Mellanox Technologies Ltd *		254,193


		Italy — 6.2%
	39,351	Azimut Holding SPA		513,482
	13,208	Danieli & Co SPA-RSP		213,070
	2,024,274	Enel SPA		7,677,496
	315,282	ENI SPA		7,476,697
	29,078	Exor SPA		719,726
	87,475	Fiat Industrial SPA		935,360
	214,943	Fiat SPA *		996,683
	305,403	Finmeccanica SPA *		1,607,766
	407,584	Intesa Sanpaolo SPA		686,805
	7,568	Lottomatica SPA		166,952
	25,828	Luxottica Group SPA		1,062,192
	279,996	Mediaset SPA		463,312
	160,792	Mediolanum SPA		784,753
	93,823	Pirelli & C SPA		1,090,175
	25,205	Recordati SPA		211,015
	2,634,084	Telecom Italia SPA		2,399,829
	1,982,680	Telecom Italia SPA-Di RISP		1,583,608
	145,093	Terna SPA		551,457
	2,674	Tod’s SPA		326,384

		Total Italy		29,466,762

		Japan — 23.4%
	3,700	ABC-Mart Inc		157,620
	499	Accordia Golf Co Ltd		466,408
	150	Advance Residence Investment Corp (REIT)		314,884
	31,400	Advantest Corp		421,695
	153,100	Aeon Co Ltd		1,714,514


Shares		Description	Value ($)
		Japan — continued
	42,000	Ajinomoto Co Inc		600,627
	16,200	Alfresa Holdings Corp		680,728
	50,000	Anritsu Corp		644,890
	8,200	Arnest One Corp		112,124
	47,300	Astellas Pharma Inc		2,394,508
	5,200	Central Japan Railway Co		412,377
	192,000	Cosmo Oil Co Ltd		373,905
	23,900	Credit Saison Co Ltd		533,362
	72,800	Daiei Inc *		142,433
	239,000	Daikyo Inc		576,457
	33,600	Daito Trust Construction Co Ltd		3,264,540
	32,600	Dena Co Ltd		1,194,375
	51,300	Edion Corp		201,260
	25,800	Eisai Co Ltd		1,084,429
	22,600	Electric Power Development Co Ltd		572,146
	6,400	Fast Retailing Co Ltd		1,459,710
	178,000	Fuji Electric Co Ltd		381,287
	77,000	Fuji Heavy Industries Ltd		868,222
	17,900	Fuji Oil Co Ltd		257,171
	3,500	Fuyo General Lease Co Ltd		98,662
	60,000	Hanwa Co Ltd		198,447
	639,000	Haseko Corp *		419,848
	23,600	Hosiden Corp		140,237
	8,000	Idemitsu Kosan Co Ltd		657,447
	69	INPEX Corp		371,049
	129,000	Isuzu Motors Ltd		759,548
	309,500	Itochu Corp		3,104,434
	5,800	Izumi Co Ltd		129,795
	8,000	J Trust Co Ltd		131,140
	368	Japan Retail Fund Investment Corp (REIT)		670,288
	72,800	Japan Tobacco Inc		2,182,876
	61,100	JFE Holdings Inc		952,106
	590,600	JX Holdings Inc		3,162,961
	35,160	K’s Holdings Corp		796,176
	406,000	Kajima Corp		1,171,719
	42,000	Kamigumi Co Ltd		325,326
	93,700	Kansai Electric Power Co Inc (The)		891,264
	31,000	Kao Corp		852,393
	414,000	Kawasaki Kisen Kaisha Ltd *		549,232
	68,800	KDDI Corp		5,105,161
	34,000	Kinugawa Rubber Industrial Co Ltd		218,020
	246,000	Kobe Steel Ltd *		231,071
	20,100	Kohnan Shoji Co Ltd		233,843
	39,000	Kurimoto Ltd		132,032
	8,000	Kyudenko Corp		35,936
	20,900	Lawson Inc		1,414,853
	131,400	Leopalace21 Corp *		414,479
	272,000	Marubeni Corp		1,799,527
	300,000	Mazda Motor Corp *		475,428


Shares		Description	Value ($)
		Japan — continued
	67,900	Medipal Holdings Corp		804,663
	11,800	Misawa Homes Co Ltd		169,068
	255,000	Mitsubishi Chemical Holdings Corp		1,118,759
	161,300	Mitsubishi Corp		3,070,379
	13,330	Mitsubishi UFJ Lease & Finance Co Ltd		582,681
	95,800	Mitsui & Co Ltd		1,329,668
	296,000	Mitsui Mining & Smelting Co Ltd		588,184
	218,000	Mitsui OSK Lines Ltd		549,947
	1,595,900	Mizuho Financial Group Inc		2,572,977
	16,100	Nagase & Co		175,234
	41,500	Namco Bandai Holdings Inc		582,614
	3,300	Net One Systems Co Ltd		32,095
	30,600	Nikon Corp		852,631
	5,300	Nintendo Co Ltd		636,921
	52,500	Nippon Coke & Engineering Co Ltd		63,349
	30,000	Nippon Corp		346,708
	250,000	Nippon Light Metal Co Ltd *		225,274
	27,100	Nippon Paper Group Inc		333,495
	214,000	Nippon Steel Corp		493,434
	121,100	Nippon Telegraph & Telephone Corp		5,447,638
	259,000	Nippon Yusen Kabushiki Kaisha		552,609
	51,700	Nipro Corp		378,497
	17,500	Nisshin Steel Holdings Co Ltd *		124,401
	33,000	Nisshinbo Holdings Inc		234,404
	11,350	Nitori Holdings Co Ltd		844,884
	17,200	Nitto Denko Corp		898,303
	71,200	North Pacific Bank Ltd *		185,980
	674	NTT Docomo Inc		977,116
	122,000	Obayashi Corp		578,012
	31,000	Odakyu Electric Railway Co Ltd		316,688
	10,900	Ono Pharmaceutical Co Ltd		597,053
	4,100	Oriental Land Co Ltd		527,781
	7,800	Otsuka Holdings Co Ltd		231,712
	31,000	Pacific Metals Co Ltd		104,979
	148,500	Penta Ocean Construction Co Ltd		374,833
	11,780	Point Inc		426,027
	760,600	Resona Holdings Inc		3,192,777
	32,000	Ricoh Company Ltd		298,324
	58,100	Round One Corp		327,789
	9,500	Ryohin Keikaku Co Ltd		607,661
	7,600	Ryosan Co		123,657
	20,500	Sankyo Co Ltd		841,076
	15,900	Sega Sammy Holdings Inc		265,399
	23,400	Seven & I Holdings Co Ltd		681,945
	98,600	Seven Bank Ltd		257,427
	4,600	Shimamura Co Ltd		465,357
	3,900	Shimano Inc		258,330
	2,000	Shizuoka Bank Ltd (The)		19,804
	63,400	SoftBank Corp		2,384,624
	514,900	Sojitz Corp		651,186


Shares		Description	Value ($)
		Japan — continued
	242,000	Sumitomo Light Metal Industries Ltd		200,055
	295,300	Sumitomo Corp		3,678,428
	35,000	Sumitomo Metal Mining Co Ltd		481,157
	17,100	Sumitomo Mitsui Financial Group Inc		553,534
	177,000	Sumitomo Mitsui Trust Holdings Inc		539,668
	12,000	Sumitomo Realty & Development Co Ltd		328,183
	18,600	Suzuken Co Ltd		554,718
	34,000	SxL Corp *		57,613
	407,000	Taiheiyo Cement Co Ltd		910,766
	443,000	Taisei Corp		1,206,468
	22,400	Taiyo Yuden Co Ltd		195,857
	94,100	Takeda Pharmaceutical Co Ltd		4,307,642
	74,000	Tokuyama Corp		124,356
	103,200	Tokyo Electric Power Co Inc (The) *		163,543
	91,000	Tokyo Gas Co Ltd		446,738
	131,000	Tokyo Tatemono Co Ltd *		525,670
	69,000	TonenGeneral Sekiyu KK		641,607
	211,000	Tosoh Corp		454,912
	101,900	Toyota Motor Corp		4,387,519
	75,500	Toyota Tsusho Corp		1,744,327
	9,600	Unicharm Corp		490,738
	95,200	UNY Co Ltd		667,369
	8,120	USS Co Ltd		867,091
	168	Wacom Co Ltd		480,315
	16,500	West Japan Railway Co		660,584
	2,471	Yahoo Japan Corp		832,449
	45,790	Yamada Denki Co Ltd		1,620,900

		Total Japan		111,281,531


		Malta — 0.0%
	1,718,063	BGP Holdings Plc *		—


		Netherlands — 1.4%
	310,041	Aegon NV		1,783,013
	28,647	ASML Holding NV		1,791,301
	11,201	CSM NV		221,553
	37,424	Delta Lloyd NV		559,484
	117,038	ING Groep NV *		1,057,553
	22,043	Koninklijke Ahold NV		279,637
	121,640	Koninklijke BAM Groep NV		471,108
	7,154	Vopak		528,830

		Total Netherlands		6,692,479


		New Zealand — 0.5%
	123,541	Chorus Ltd		344,881
	57,894	Fletcher Building Ltd		376,495
	805,454	Telecom Corp of New Zealand		1,527,898

		Total New Zealand		2,249,274


Shares		Description	Value ($)
		Norway — 0.1%
	7,578	Aker Solutions ASA		142,413
	11,680	Statoil ASA		285,352
	7,596	TGS Nopec Geophysical Co ASA		240,122

		Total Norway		667,887


		Portugal — 0.3%
	541,053	EDP - Energias de Portugal SA		1,369,038
	8,697	Galp Energia SGPS SA		133,427

		Total Portugal		1,502,465


		Singapore — 2.2%
	289,000	CapitaCommercial Trust (REIT)		383,494
	339,000	China Minzhong Food Corp Ltd *		231,775
	237,000	Ezion Holdings Ltd		280,049
	458,000	Ezra Holdings Ltd *		399,206
	4,163,000	Golden Agri-Resources Ltd		2,249,371
	198,000	Ho Bee Investment Ltd		264,280
	370,200	Jaya Holdings Ltd *		169,502
	393,000	LionGold Corp Ltd *		342,893
	878,000	Noble Group Ltd		778,522
	16,000	Singapore Exchange Ltd		90,237
	250,000	Singapore Press Holdings Ltd		855,785
	920,670	Singapore Telecommunications		2,496,662
	174,000	STX OSV Holdings Ltd		197,189
	143,002	Suntec Real Estate Investment Trust (REIT)		189,695
	341,067	Swiber Holdings Ltd *		165,970
	45,800	Triyards Holdings Ltd *		26,829
	70,000	United Overseas Land		333,655
	26,000	United Overseas Bank Ltd		398,609
	26,000	Venture Corp Ltd		166,534
	649,000	Yangzijiang Shipbuilding Holdings Ltd		496,297
	97,000	Yanlord Land Group Ltd *		114,316

		Total Singapore		10,630,870


		Spain — 6.4%
	19,427	Abengoa SA		53,523
	77,708	Abengoa SA Class B *		205,663
	25,372	Amadeus IT Holding SA - Class A		592,707
	321,622	Banco Bilbao Vizcaya Argentaria SA		2,728,808
	1,077,147	Banco Santander SA		8,297,842
	85,433	Distribuidora Internacional de Alimentacion SA		530,930
	23,545	Ferrovial SA		349,326
	5,967	Fomento de Construcciones y Contratas SA		70,984
	144,551	Gas Natural SDG SA		2,244,955
	39,993	Grifols SA *		1,280,432
	3,640	Grifols SA - Class B *		88,858
	532,372	Iberdrola SA		2,645,327
	15,376	Inditex SA		2,110,842


Shares		Description	Value ($)
		Spain — continued
	106,062	Repsol YPF SA		2,251,201
	530,645	Telefonica SA		6,970,760

		Total Spain		30,422,158


		Sweden — 0.7%
	45,940	Investor AB - B Shares		1,065,163
	32,601	Skandinaviska Enskilda Banken AB - Class A		262,731
	22,634	Svenska Handelsbanken AB - Class A		805,540
	49,006	Swedbank AB - Class A		906,249
	7,209	Swedish Match AB		253,869

		Total Sweden		3,293,552


		Switzerland — 1.3%
	1,242	AMS AG		134,336
	42,014	Novartis AG (Registered)		2,603,497
	8,383	Roche Holding AG (Non Voting)		1,651,411
	2,671	Swiss Life Holding AG (Registered)		357,773
	14,245	Swiss Re AG		1,027,321
	1,817	Zurich Insurance Group AG *		464,146

		Total Switzerland		6,238,484


		United Kingdom — 21.7%
	5,703	3i Group Plc		19,338
	149,473	Aberdeen Asset Management Plc		809,677
	37,205	Admiral Group Plc		667,287
	84,260	Aegis Group Plc		317,454
	33,571	Aggreko Plc		1,200,898
	79,832	Amlin Plc		494,433
	20,070	Associated British Foods Plc		475,467
	259,542	AstraZeneca Plc		12,327,784
	149,674	Aviva Plc		842,373
	35,798	Babcock International Group Plc		571,776
	664,464	BAE Systems Plc		3,486,903
	141,055	Balfour Beatty Plc		584,275
	1,501,368	Barclays Plc		5,954,926
	47,442	Barratt Developments Plc *		148,372
	1,462,882	BP Plc		10,155,756
	15,410	British American Tobacco Plc		809,502
	282,254	BT Group Plc		1,055,646
	48,221	Bunzl Plc		795,119
	197,295	Cobham Plc		670,432
	26,105	Cookson Group Plc		256,559
	13,123	Croda International Plc		500,838
	218,525	Diageo Plc		6,517,993
	100,339	Drax Group Plc		870,881
	33,358	easyJet Plc		382,509
	39,578	Experian Plc		658,015
	241,121	FirstGroup Plc		721,972


Shares		Description	Value ($)
		United Kingdom — continued
	211,845	GlaxoSmithKline Plc		4,536,896
	19,778	Halfords Group Plc		108,260
	365,664	Home Retail Group Plc		655,120
	11,277	IMI Plc		190,669
	92,859	Inchcape Plc		636,643
	29,198	InterContinental Hotels Group Plc		780,723
	21,454	Intertek Group Plc		1,062,516
	13,243	Johnson Matthey Plc		509,504
	15,181	Kazakhmys Plc		173,597
	809,686	Legal & General Group Plc		1,892,362
	3,796,074	Lloyds Banking Group Plc *		2,834,728
	45,965	Next Plc		2,697,888
	141,702	Old Mutual Plc		389,340
	11,249	Persimmon Plc		144,447
	13,152	Petrofac Ltd		343,145
	109,368	Premier Foods Plc *		167,831
	129,829	Prudential Plc		1,887,312
	14,075	Punch Taverns Plc *		1,541
	3,859	Randgold Resources Ltd		413,544
	23,332	Reed Elsevier Plc		240,306
	136,245	Rio Tinto Plc		6,765,455
	12,404,948	Rolls Royce Holdings Plc - C Shares *		19,875
	134,629	Rolls-Royce Holdings Plc *		1,922,883
	116,338	Royal Bank of Scotland Group Plc *		551,243
	88,149	Royal Dutch Shell Group Class A (Amsterdam)		2,954,205
	74,408	Royal Dutch Shell Plc A Shares (London)		2,491,288
	107,675	Royal Dutch Shell Plc B Shares (London)		3,716,837
	24,365	SABMiller Plc		1,104,753
	18,174	Scottish & Southern Energy Plc		415,401
	186,750	Spirit Pub Co Plc		185,667
	33,321	Standard Life Assurance Plc		170,953
	11,379	Tate & Lyle Plc		140,872
	617,718	Thomas Cook Group Plc *		257,590
	11,954	Travis Perkins Plc		213,485
	154,102	TUI Travel Plc		670,412
	2,011,195	Vodafone Group Plc		5,188,151
	9,547	Whitbread Plc		367,375
	204,479	William Hill Plc		1,105,918
	29,889	Wolseley Plc		1,388,690
	116,584	WPP Plc		1,600,688
	46,801	Xstrata Plc		775,929

		Total United Kingdom		102,970,227


		TOTAL COMMON STOCKS (COST $411,299,241)		458,110,639


Shares / Par Value		Description	Value ($)
		PREFERRED STOCKS — 0.8%

		Germany — 0.8%
	20,553	Henkel AG & Co KGaA 1.27%		1,717,509
	26,282	Porsche Automobil Holding SE 1.35%		1,951,105

		Total Germany		3,668,614


		TOTAL PREFERRED STOCKS (COST $2,802,109)		3,668,614


		RIGHTS/WARRANTS — 0.0%

		Singapore — 0.0%
	98,250	LionGold Corp Ltd Rights, Expires 12/11/12*		5,232

		TOTAL RIGHTS/WARRANTS (COST $0)		5,232


		MUTUAL FUNDS — 1.7%

		United States — 1.7%

		Affiliated Issuers — 1.7%
	317,260	GMO U.S. Treasury Fund		7,931,500

		TOTAL MUTUAL FUNDS (COST $7,931,500)		7,931,500


		SHORT-TERM INVESTMENTS — 0.4%
		Time Deposits — 0.4%
AUD	27,252	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		28,440
CHF	9,297	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		10,032
EUR	5,904	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 12/03/12		7,678


Par Value		Description	Value ($)
		Time Deposits — continued
GBP	87,189	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		139,689
HKD	344,824	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		44,492
NOK	57,703	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.55%, due 12/03/12		10,187
NZD	25,285	Brown Brothers Harriman (Grand Cayman) Time Deposit, 1.55%, due 12/03/12		20,757
SEK	67,783	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.35%, due 12/03/12		10,188
JPY	12,897,257	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		156,455
USD	1,561,893	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		1,561,893
CAD	60,623	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		61,029
SGD	28,932	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		23,703

		Total Time Deposits		2,074,543


		TOTAL SHORT-TERM INVESTMENTS (COST $2,074,543)		2,074,543


		TOTAL INVESTMENTS — 99.3% (Cost $424,107,393)		471,790,528
		Other Assets and Liabilities (net) — 0.7%		3,095,580


		TOTAL NET ASSETS — 100.0%		$474,886,108

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

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

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument, may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, held either directly or through investments in the underlying funds, that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as being valued using Level 2 inputs (levels defined below) in the table below.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or using fair value inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on the Funds’ net assets) as of November 30, 2012 is as follows:



Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees	Fair valued using inputs obtained from an independent pricing service
Currency Hedged International Equity Fund	—	94.6%
Developed World Stock Fund	—	42.6%
Flexible Equities Fund	—	92.4%
International Core Equity Fund	0.0%^	91.1%
International Growth Equity Fund	—	95.6%
International Intrinsic Value Extended Markets Fund	—	88.4%
International Intrinsic Value Fund		96.3%
International Small Companies Fund	0.0%^	92.1%
Resources Fund	—	66.1%
Risk Premium Fund	—	—
Tax-Managed International Equities Fund	—	94.6%



Fund Name	Futures contracts fair valued using inputs obtained from an independent pricing service	Swap agreements fair valued using inputs obtained from an independent pricing service	Options fair valued using inputs obtained from an independent pricing service
Currency Hedged International Equity Fund	0.1%	—	—
Developed World Stock Fund	0.1%	—	—
Flexible Equities Fund	0.2%	—	—
International Core Equity Fund	0.1%	—	—
International Growth Equity Fund	0.0%^	—	—
International Intrinsic Value Extended Markets Fund	(0.1)%	—	—
International Intrinsic Value Fund	0.1%	—	—
International Small Companies Fund	0.0%^	—	—
Resources Fund	—	—	—
Risk Premium Fund	—	—	(0.5)%
Tax-Managed International Equities Fund	—	—	—

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.

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; non-exchange traded equity securities; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; and certain derivatives using third party valuation services.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

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

For all Funds for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

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

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of November 30, 2012 were as follows:

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

Currency Hedged International Equity
Fund

Developed World Stock Fund

Flexible Equities Fund

International Core Equity Fund

International Growth Equity Fund

International Intrinsic Value Extended
Markets Fund

International Intrinsic Value Fund

International Small Companies Fund

Resources Fund

Risk Premium Fund

Tax-Managed International Equities
Fund

Market Risk – Equity Securities Risk

•

Options Risk

•

Liquidity Risk

•

Smaller Company Risk

•

Derivatives Risk

•

Non-U.S. Investment Risk

•

Currency Risk

•

Focused Investment Risk

•

Leveraging Risk

•

Counterparty Risk

•

Market Risk – Fixed Income Securities

•

Credit Risk

•

Short Sales Risk

•

Natural Resources Risk

•

Commodities Risk

•

Market Disruption and Geopolitical Risk

•

Large Shareholder Risk

•

Management and Operational Risk

•

Fund of Funds Risk

•

Non-Diversified Funds

•

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Because of Risk Premium Fund’s emphasis on selling put options on stock indices, the Fund’s shares are expected to decline in value when those indices decline in value. Also, Risk Premium Fund’s investment strategy of selling put options on stock indices will likely cause the Fund to underperform the equity markets in sharply rising markets.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market value of options written by the Fund will be affected by many factors, including changes in the value of underlying securities or indices; changes in the dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the stock market and underlying securities; and the remaining time to an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. This risk is not present when writing a European style option since the holder may only exercise the option on its expiration date. If the Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. The Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict the Fund’s ability to purchase or sell options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While this type of arrangement allows the Fund greater flexibility to tailor an option to its needs, participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets. Therefore, OTC options generally expose the Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and selling put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to the Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, the Fund’s options transactions potentially could cause a substantial portion of the Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. A Fund is also exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk to some extent but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, resulting in differences between the price at which they are sold and the value at which they are carried on the books of a Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when markets decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

Risk Premium Fund’s ability to use options as part of its investment program depends on the liquidity of the markets in those instruments. In addition, there can be no assurance that a liquid market will exist when Risk Premium Fund seeks to close out an option position. Also, the hours of trading for options on an exchange may not conform to the hours during which the securities held by the Fund are traded. To the extent that the options markets close before the markets for the underlying securities, significant price and rate movements can take place in the underlying markets that may not be reflected in the options markets. If Risk Premium Fund receives a redemption request and is unable to close out an option that it has sold, the Fund may temporarily be leveraged in relation to its net assets.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

Because Risk Premium Fund can have substantial exposure through a limited number of options contracts and because the Fund’s exposures may relate to a relatively small number of U.S. and/or international stock indices, the Fund is subject to additional risk.

• COUNTERPARTY RISK. Funds that enter into contracts with counterparties, such as repurchase or reverse repurchase agreements or other OTC derivatives contracts, or that lend their securities run the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. There is neither an explicit limit on the amount of exposure that a Fund may have with any one counterparty nor a requirement that counterparties maintain a specific rating by a nationally recognized rating organization in order to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

• MARKET RISK — Fixed Income Securities. The market price of a fixed income investment can decline due to a number of market-related factors, primarily an increase in prevailing interest rates. The risk associated with such changes in interest rates (also called “interest rate risk”) is generally greater for fixed income securities with longer durations and in some cases duration can increase.

The extent to which a fixed income security’s price changes with changes in interest rates is referred to as interest rate duration, which can be measured mathematically or empirically. A longer maturity investment generally has longer interest rate duration because the investment’s fixed rate is locked in for a longer period of time. Floating-rate or adjustable-rate securities, however, generally have shorter interest rate durations because their interest rates are not fixed but rather float up and down as interest rates change. Conversely, inverse floating-rate securities have durations that move in the opposite direction from short-term interest rates and thus tend to underperform fixed rate securities when interest rates rise but outperform them when interest rates decline. Fixed income securities paying no interest, such as zero coupon and principal-only securities, create additional interest rate risk.

U.S. government securities are subject to varying degrees of credit risk depending upon whether the securities are supported by the full faith and credit of the United States, supported by the ability to borrow from the U.S. Treasury, supported only by the credit of the issuing U.S. government agency, instrumentality, or corporation, or otherwise supported by the United States. For example, issuers of many types of U.S. government securities (e.g., the Federal Home Loan Mortgage Corporation (“Freddie Mac”), Federal National Mortgage Association (“Fannie Mae”), and Federal Home Loan Banks), although chartered or sponsored by Congress, are not funded by Congressional appropriations and their fixed income securities, including mortgage-backed and other asset-backed securities, are neither guaranteed nor insured by the U.S. government. These securities are subject to more credit risk than U.S. government securities that are supported by the full faith and credit of the United States (e.g., U.S. Treasury bonds). Investments in sovereign debt involve the risk that the governmental entities responsible for repayment may be unable or unwilling to pay interest and repay principal when due. A governmental entity’s willingness or ability to pay interest and repay principal in a timely manner may be affected by a variety of factors, including its cash flow, the size of its reserves, its access to foreign exchange, the relative size of its debt service burden to its economy as a whole, and political constraints. In addition, payment of the principal of fixed income securities issued by the U.S. government can be delayed because the guarantee generally only requires payment upon maturity of the securities.

• SHORT SALES RISK. Some Funds may use short sales in their investment programs in an attempt to increase their returns or for hedging purposes.

In implementing its principal investment strategy, Flexible Equities Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involves a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. Accordingly, Flexible Equities Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own.

• NATURAL RESOURCES RISK. Resources Fund concentrates its investments in the natural resources sector, and so is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control.

Resources Fund’s concentration in the securities of natural resource companies exposes it to the price movements of natural resources to a greater extent than if it were more broadly diversified. Because Resources Fund invests primarily in the natural resources sector, it runs the risk of performing poorly during an economic downturn or a decline in demand for natural resources.

• COMMODITIES RISK. Certain Funds may invest in Alternative Asset Opportunity Fund. Alternative Asset Opportunity Fund has exposure to commodity markets. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many 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, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), 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. Alternative Asset Opportunity Fund invests in commodity-related derivatives. The value of these derivatives may fluctuate more than the commodity or commodities or commodity index to which they relate. Certain Funds are exposed to the risks of investments in commodities to the extent they invest in Alternative Asset Opportunity Fund.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Funds are not subject to restrictions on the frequency of trading of Fund shares. Asset Allocation Funds and separate accounts managed by the Manager for its clients hold substantial percentages of many Funds, and asset allocation decisions by the Manager may result in substantial redemptions from (or investments into) those Funds. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or accelerate the realization of taxable income and/or gains to shareholders if the sales of portfolio securities they necessitate result in gains. They also potentially limit the use of any capital loss carryforwards and certain other losses to offset future realized capital gains (if any). In addition, each Fund that invests in other GMO Funds subject to large shareholder risk is indirectly subject to this risk.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying Funds”), are exposed to the risk that the underlying Funds will not perform as expected.

• NON-DIVERSIFIED FUNDS. Some of the Funds are not “diversified” investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers and/or non-U.S. currencies. As a result, they may be subject to greater credit, market and other risks, and poor performance by a single issuer may have a greater impact on their performance, than if they were “diversified.”

The following Funds are not diversified investment companies under the 1940 Act:

In addition, Currency Hedged International Equity Fund invests a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the 1940 Act.

Temporary Defensive Positions. The following paragraphs provide additional information about whether, and to what extent, the Funds take temporary defensive positions.

The Funds (other than Flexible Equities Fund) normally do not take temporary defensive positions. Flexible Equities Fund may, from time to time, take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

The Funds may use derivatives as a substitute for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds, other than Risk Premium Fund, may have investment exposures in excess of their net assets (i.e., they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

While the Manager expects that Risk Premium Fund’s option positions typically will be fully collateralized at the time when the Fund is selling them, from time to time the Fund may have investment exposures in excess of its net assets (i.e., it may be leveraged). For example, if the Fund receives a redemption request and is unable to close out an option it had sold, the Fund may temporarily have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore be subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on derivative reference assets that the Fund does not own. The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):

Type of Derivative and

Objective for Use

Currency
Hedged
Inter-

national
Equity
Fund

Developed
World
Stock
Fund

Flexible
Equities
Fund

Inter-

national
Core

Equity
Fund

Inter-

national
Growth
Equity
Fund

Inter-

national
Intrinsic
Value
Extended
Markets
Fund

Inter-

national
Intrinsic
Value
Fund

Inter-

national
Small
Companies
Fund

Resources
Fund

Risk
Premium
Fund

Tax-

Managed
Inter-

national
Equities
Fund

Forward currency contracts

Adjust exposure to foreign currencies

To manage against anticipated currency exchange rate changes

To hedge foreign currency exposure in the underlying Funds’ investments relative to the U.S. dollar

Futures contracts

Adjust exposure to certain securities markets

Maintain the diversity and liquidity of the portfolio

Options (Written)

Used written put option contracts as a substitute for direct equity investment

Swap agreements

To achieve returns comparable to holding and lending a direct equity position

Rights and/or warrants

Received as a result of corporate actions

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Funds to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

For the period ended November 30, 2012, investment activity in options contracts written by the Funds were as follows:

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation charges through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

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

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or number of contracts (options) outstanding at each month-end, if any, was as follows for the period ended November 30, 2012:



	Forward Currency Contracts ($)		Futures Contracts ($)		Swap Agreements ($)		Options ($)		Rights / Warrants ($)
Currency Hedged International Equity Fund		2,585,359,807		—		—		—		—
Developed World Stock Fund		53,116,110		16,258,484		—		—		12,997
Flexible Equities Fund		1,125,500,330		35,509,314		—		—		—
International Core Equity Fund		804,187,574		319,059,566		779,369		—		310,398
International Growth Equity Fund		599,883,309		153,850,654		—		—		87,202
International Intrinsic Value Extended Markets Fund		50,678,179		10,950,498		—		—		23,837
International Intrinsic Value Fund		1,426,309,170		538,037,066		1,233,886		—		688,722
International Small Companies Fund		59,030,645		42,811,193		—		—		2,275
Resources Fund		—		—		—		—		592
Risk Premium Fund		—		—		—		6,709		—
Tax-Managed International Equities Fund		—		—		—		—		37,548

The Board of Trustees of GMO Trust has approved the liquidation of the Class M shares of GMO International Intrinsic Value Fund. It is expected that Class M shares of GMO International Intrinsic Value Fund will be liquidated on or about March 31, 2013.


Shares		Description	Value ($)
		COMMON STOCKS — 94.9%

		Australia — 6.0%
	1,587,413	Asciano Group		7,213,929
	561,891	Australia and New Zealand Banking Group Ltd		14,299,691
	2,411,260	Incitec Pivot Ltd		7,931,035
	132,375	Rio Tinto Ltd		8,128,267
	1,975,447	Stockland (REIT)		6,991,480
	2,071,271	Telstra Corp Ltd		9,318,002

		Total Australia		53,882,404


		Brazil — 0.2%
	96,500	Arcos Dorados Holdings Inc-Class A		1,182,125
	36,800	Cia Hering		823,901

		Total Brazil		2,006,026


		Chile — 0.3%
	188,600	Cencosud SA ADR		2,972,336


		Colombia — 0.3%
	379,000	Cemex Latam Holdings SA *		2,388,585


		Denmark — 0.3%
	145,838	H Lundbeck A/S		2,436,488


		Finland — 2.1%
	4,413,677	Nokia Oyj		14,501,797
	366,486	UPM–Kymmene Oyj		4,124,078

		Total Finland		18,625,875


		France — 7.2%
	284,040	ArcelorMittal		4,318,283
	126,982	BNP Paribas		7,106,045
	75,390	Compagnie Generale des Etablissements Michelin-Class B		7,026,345
	153,826	Sanofi		13,739,346
	31,216	Societe BIC SA		3,902,999
	82,599	Societe Generale *		2,994,242
	40,423	Sodexo		3,266,769
	367,326	Total SA		18,408,754
	183,896	Vivendi SA		3,956,032

		Total France		64,718,815


		Germany — 5.5%
	77,747	Allianz SE (Registered)		10,114,076
	139,020	Daimler AG (Registered)		6,875,758
	288,312	Deutsche Post AG (Registered)		5,988,492
	575,742	E.ON AG		10,382,362
	142,917	Metro AG		4,001,391
	88,191	Salzgitter AG		4,062,470
	79,811	Siemens AG (Registered)		8,251,355

		Total Germany		49,675,904


		Hong Kong — 1.5%
	464,000	Cheung Kong Holdings Ltd		7,067,366
	2,301,000	HKT Trust		2,226,660


Shares		Description	Value ($)
		Hong Kong — continued
	2,779,000	New World Development Ltd		4,372,702

		Total Hong Kong		13,666,728


		Ireland — 0.5%
	33,698	DCC Plc		1,016,630
	74,337	Kerry Group Plc-Class A		3,894,436

		Total Ireland		4,911,066


		Israel — 0.2%
	1,516,207	Bezeq Israeli Telecommunication Corp Ltd		1,853,907


		Italy — 4.2%
	835,396	ENI SPA		19,810,844
	161,489	Lottomatica SPA		3,562,484
	2,026,281	Mediaset SPA		3,352,906
	853,103	Saras SPA *		1,041,141
	4,590,559	Telecom Italia SPA		4,182,311
	1,299,906	UniCredit SPA *		6,058,871

		Total Italy		38,008,557


		Japan — 23.0%
	465	Activia Properties Inc (REIT)		2,883,538
	173,300	Aisin Seiki Co Ltd		5,147,751
	831,000	Asahi Kasei Corp		4,756,446
	112,100	Astellas Pharma Inc		5,674,932
	190,500	Canon Inc		6,739,591
	174,300	Daikin Industries Ltd		5,495,584
	53,100	Daito Trust Construction Co Ltd		5,159,139
	113,500	East Japan Railway Co		7,461,203
	2,867	Fuji Media Holdings Inc		4,177,554
	2,039,000	Hitachi Ltd		11,816,691
	387,700	Honda Motor Co Ltd		12,922,560
	198,300	Hoya Corp		3,814,992
	524,400	Itochu Corp		5,259,984
	899	Japan Retail Fund Investment Corp (REIT)		1,637,469
	247,900	Japan Tobacco Inc		7,433,174
	178,800	JS Group Corp		3,797,233
	1,262,500	JX Holdings Inc		6,761,324
	103,000	Lawson Inc		6,972,722
	61,300	Miraca Holdings Inc		2,494,967
	810,000	Mitsubishi Electric Corp		6,328,915
	1,897,000	Mitsubishi UFJ Financial Group Inc		8,725,066
	392,100	Mitsui & Co Ltd		5,442,200
	1,389,600	Nissan Motor Co Ltd		13,543,691
	122,200	Nitto Denko Corp		6,382,127
	4,807	NTT Docomo Inc		6,968,839
	493,000	Sekisui Chemical Co Ltd		3,874,523
	171,100	Seven & I Holdings Co Ltd		4,986,357
	42,700	Shimamura Co Ltd		4,319,725
	3,138,000	Shinsei Bank Ltd		5,346,104
	230,100	Sumitomo Rubber Industries		2,727,155
	415,200	Sumitomo Mitsui Financial Group Inc		13,440,193
	171,500	Sumitomo Realty & Development Co Ltd		4,690,284
	122,600	TDK Corp		4,820,481
	165,900	Tokio Marine Holdings Inc		4,272,299

		Total Japan		206,274,813


Shares		Description	Value ($)
		Mexico — 1.7%
	951,700	Fibra Uno Administracion SA de CV (REIT)		2,490,832
	33,500	Grupo Aeroportuario del Sureste SAB de CV ADR		3,409,965
	805,200	Grupo Financiero Banorte SAB de CV-Class O		4,595,202
	964,000	Mexichem SAB de CV		4,993,872

		Total Mexico		15,489,871


		Netherlands — 2.7%
	107,968	CSM NV		2,135,576
	554,581	Delta Lloyd NV		8,290,916
	852,207	ING Groep NV *		7,700,523
	217,950	Koninklijke Philips Electronics NV		5,636,436

		Total Netherlands		23,763,451


		Norway — 2.0%
	606,997	ProSafe SE		5,112,126
	306,243	Statoil ASA		7,481,753
	1,019,674	Storebrand ASA *		4,893,692

		Total Norway		17,487,571


		Philippines — 0.3%
	186,660	Cebu Air Inc		287,373
	172,660	GT Capital Holdings Inc		2,519,813

		Total Philippines		2,807,186


		Russia — 2.5%
	454,450	Gazprom OAO Sponsored ADR		4,045,396
	180,789	Phosagro OAO GDR		2,520,602
	492,939	Sberbank Sponsored ADR		5,843,671
	180,106	TMK OAO (Registered Shares)		2,772,177
	487,500	VimpelCom Ltd Sponsored ADR		5,157,750
	118,821	X5 Retail Group NV GDR (Registered Shares) *		2,038,406

		Total Russia		22,378,002


		South Korea — 1.6%
	29,810	Dongbu Insurance Co Ltd		1,281,563
	31,524	Doosan Heavy Industries and Construction Co		1,184,843
	38,432	Kia Motors Corp		2,196,095
	138,140	LG Display Co Ltd *		4,411,620
	2,775	Samsung Electronics Co Ltd		3,607,146
	38,030	Shinhan Financial Group Co Ltd		1,219,272

		Total South Korea		13,900,539


		Spain — 2.0%
	115,657	Amadeus IT Holding SA-Class A		2,701,826
	291,641	Banco Santander SA		2,246,667
	157,120	Enagas		3,216,123
	203,608	Repsol YPF SA		4,321,647
	394,680	Telefonica SA		5,184,671

		Total Spain		17,670,934


Shares		Description	Value ($)
		Sweden — 0.9%
	128,204	Getinge AB-Class B		4,135,728
	449,367	Nordea Bank AB		4,119,998

		Total Sweden		8,255,726


		Switzerland — 5.6%
	153,463	ABB Ltd		2,992,349
	324,192	Novartis AG (Registered)		20,089,324
	24,049	Sulzer AG		3,728,947
	13,827	Syngenta AG (Registered)		5,535,741
	506,195	UBS AG (Registered) *		7,937,920
	37,466	Zurich Insurance Group AG *		9,570,549

		Total Switzerland		49,854,830


		Taiwan — 0.7%
	401,416	Asustek Computer Inc		4,431,650
	222,000	HTC Corp		2,033,237

		Total Taiwan		6,464,887


		Thailand — 0.9%
	1,044,600	Bangkok Bank Pcl NVDR		6,227,059
	5,858,500	Land & Houses Pcl NVDR		1,803,350

		Total Thailand		8,030,409


		United Kingdom — 22.7%
	398,923	Aberdeen Asset Management Plc		2,160,917
	153,842	AMEC Plc		2,573,625
	493,296	BG Group Plc		8,463,252
	185,460	BHP Billiton Plc		5,841,131
	3,122,202	BP Plc		21,675,243
	258,745	British American Tobacco Plc		13,592,125
	1,069,091	BT Group Plc		3,998,462
	339,461	Diageo Plc		10,125,177
	230,764	Domino Printing Sciences Plc		2,196,720
	514,881	GlaxoSmithKline Plc		11,026,748
	2,125,368	HSBC Holdings Plc		21,704,557
	214,615	Imperial Tobacco Group Plc		8,588,467
	465,676	Inchcape Plc		3,192,683
	155,550	John Wood Group Plc		1,940,513
	17,545	Johnson Matthey Plc		675,017
	234,997	National Express Group Plc		655,868
	533,632	Premier Oil Plc *		2,878,063
	349,931	Prudential Plc		5,086,915
	277,784	Rio Tinto Plc		13,793,792
	365,804	Rolls-Royce Holdings Plc *		5,224,715
	28,257,484	Rolls-Royce Holdings Plc-Class C *		45,273
	427,050	Royal Dutch Shell Plc A Shares (London)		14,298,257
	433,775	Royal Dutch Shell Plc B Shares (London)		14,973,493


Shares / Par Value		Description	Value ($)
		United Kingdom — continued
	222,569	Schroders Plc (Non Voting)		4,655,318
	128,129	Travis Perkins Plc		2,288,242
	77,164	Ultra Electronics Holdings Plc		2,017,694
	4,068,986	Vodafone Group Plc		10,496,503
	173,849	Weir Group Plc (The)		5,264,181
	263,031	WPP Plc		3,611,393

		Total United Kingdom		203,044,344

		TOTAL COMMON STOCKS (COST $805,574,431)		850,569,254


		PREFERRED STOCKS — 1.2%

		Brazil — 0.4%
	178,100	Telefonica Brasil SA 4.56%		3,867,390


		Germany — 0.8%
	32,728	Volkswagen AG 1.86%		7,094,862


		TOTAL PREFERRED STOCKS (COST $10,503,680)		10,962,252


		SHORT-TERM INVESTMENTS — 3.5%

		Time Deposits — 3.5%
USD	1,462,672	Bank of New York Mellon (New York) Time Deposit, 0.07%, due 12/03/12		1,462,672
AUD	41	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		42
EUR	1,160	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 12/03/12		1,509
GBP	7,989	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		12,799
HKD	184	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		24


Par Value		Description	Value ($)
		Time Deposits — continued
JPY	89,201,634	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		1,082,100
USD	13,918,310	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		13,918,310
USD	15,000,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		15,000,000

		Total Time Deposits		31,477,456


		TOTAL SHORT-TERM INVESTMENTS (COST $31,477,456)		31,477,456


		TOTAL INVESTMENTS — 99.6% (Cost $847,555,567)		893,008,962
		Other Assets and Liabilities (net) — 0.4%		3,388,767


		TOTAL NET ASSETS — 100.0%		$896,397,729

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

*	Non-income producing security.

Currency Abbreviations:

AUD - Australian Dollar

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:


Shares		Description	Value ($)
		COMMON STOCKS — 96.0%

		Australia — 4.7%
	1,597,064	Asciano Group		7,257,787
	6,369,185	Dexus Property Group (REIT)		6,685,586
	963,618	Iress Market Technology Ltd		8,280,945
	2,040,254	Primary Health Care Ltd		8,526,026
	957,103	Tox Free Solutions Ltd		2,826,805

		Total Australia		33,577,149


		Austria — 0.7%
	236,042	Conwert Immobilien Invest SE		2,914,648
	8,872	Lenzing AG		735,484
	140,867	Zumtobel AG		1,504,247

		Total Austria		5,154,379


		Belgium — 2.0%
	56,167	CMB Cie Maritime Belge SA		1,057,563
	52,208	Compagnie d’Entreprises CFE		2,687,552
	56,302	Mobistar SA		1,488,744
	77,957	SA D’Ieteren NV		3,714,029
	97,552	Umicore SA		5,072,402

		Total Belgium		14,020,290


		Brazil — 2.4%
	228,300	Aliansce Shopping Centers SA		2,334,498
	660,000	Brazil Pharma SA		4,092,568
	451,200	Cia de Locacao das Americas *		2,533,882
	136,900	Cia Hering		3,065,002
	683,900	Even Construtora e Incorporadora SA		2,755,700
	194,100	Iochpe-Maxion SA		2,335,413

		Total Brazil		17,117,063


		Canada — 4.0%
	204,040	Alamos Gold Inc		3,841,091
	339,200	Canyon Services Group Inc		3,404,464
	70,100	Celtic Exploration Ltd *		1,843,976
	1,019,000	Chinook Energy Inc *		1,477,183
	151,200	Corus Entertainment Inc - Class B		3,479,571
	329,400	Just Energy Group Inc		2,908,177
	172,300	Karnalyte Resources Inc^(a)		1,179,484
	32,300	Karnalyte Resources Inc *		221,110
	764,600	NuVista Energy Ltd *		4,241,150
	442,100	Precision Drilling Corp *		3,311,244
	429,400	Western Energy Services Corp		2,874,626

		Total Canada		28,782,076


		Czech Republic — 0.2%
	59,400	Pegas Nonwovens SA		1,423,549


Shares		Description	Value ($)
		Denmark — 0.9%
	233,393	H Lundbeck A/S		3,899,253
	65,517	NKT Holding A/S		2,180,685
	239,396	Ossur HF *		308,489

		Total Denmark		6,388,427


		Finland — 1.2%
	225,724	Aspo Oyj		1,702,558
	86,421	Huhtamaki Oyj		1,405,580
	741,828	M-real Oyj - B shares *		2,113,643
	23,614	Nokian Renkaat Oyj		987,217
	493,557	Oriola-KD Oyj - Class B		1,354,698
	81,749	Rautaruukki Oyj		599,493
	297,323	Talvivaara Mining Co Plc *		458,070

		Total Finland		8,621,259


		France — 5.8%
	132,154	Cap Gemini SA		5,602,207
	71,177	Compagnie Generale des Etablissements Michelin - Class B		6,633,693
	165,282	Faurecia		2,600,454
	119,062	Legrand SA		4,828,174
	61,608	Societe BIC SA		7,702,972
	80,757	Sodexo		6,526,345
	39,891	Virbac SA		7,362,391

		Total France		41,256,236


		Germany — 4.2%
	161,269	Celesio AG		2,740,752
	52,673	Delticom AG		2,216,157
	238,957	Deutsche Wohnen AG		4,622,804
	89,954	GSW Immobilien AG		3,813,768
	65,197	HeidelbergCement AG		3,547,440
	101,024	Qiagen NV *		1,870,040
	349,290	SAF-Holland SA *		2,355,025
	64,045	Salzgitter AG		2,950,198
	148,477	TAG Immobilien AG		1,795,959
	189,313	Tom Tailor Holding AG		3,941,473

		Total Germany		29,853,616


		Hong Kong — 1.1%
	4,014,910	HKT Trust		3,885,198
	1,045,000	Hopewell Holdings Ltd		4,112,065

		Total Hong Kong		7,997,263


		India — 0.3%
	654,548	Orchid Chemicals & Pharmaceuticals Ltd		1,218,224
	589,619	Rolta India Ltd		676,051

		Total India		1,894,275


Shares		Description	Value ($)
		Ireland — 1.0%
	100,769	DCC Plc		3,040,084
	81,701	Kerry Group Plc - Class A		4,280,228

		Total Ireland		7,320,312


		Italy — 3.8%
	587,650	Amplifon SPA		2,669,768
	738,191	Autogrill SPA		7,316,385
	677,584	Credito Emiliano SPA		3,288,599
	235,094	Lottomatica SPA		5,186,227
	1,652,575	Mediaset SPA		2,734,531
	792,692	Mediolanum SPA		3,868,768
	1,786,258	Saras SPA *		2,179,979

		Total Italy		27,244,257


		Japan — 24.0%
	945,000	Calsonic Kansei Corp		4,369,276
	163,100	Capcom		3,073,097
	258,500	Century Tokyo Leasing Corp		5,076,054
	152,400	Cosmos Pharmaceutical Corp		15,727,080
	398	Daiwa House Investment Corp (REIT) *		2,418,851
	450,200	Fuji Oil Co Ltd		6,468,062
	904,000	GS Yuasa Corp		3,514,700
	180,500	Hitachi Chemical Co Ltd		2,588,200
	362,000	Hitachi Transport System Ltd		5,372,615
	832	Industrial & Infrastructure Fund Investment Corp (REIT)		6,440,382
	145,300	IRISO Electronics Co Ltd		2,146,892
	284,200	Izumi Co Ltd		6,359,979
	602,000	Japan Aviation Electronics Industry Ltd		5,003,841
	138,440	K’s Holdings Corp		3,134,885
	329,500	Keihin Corp		4,412,382
	1,346	Kenedix Realty Investment Corp (REIT)		4,475,360
	140,700	Kintetsu World Express Inc		4,263,687
	169,100	Kyorin Co Ltd		3,600,538
	129,900	Mitsubishi UFJ Lease & Finance Co Ltd		5,678,186
	215,200	Nabtesco Corp		4,285,651
	763,100	NHK Spring Co Ltd		6,421,323
	364,600	Nihon Kohden Corp		11,980,276
	365,000	Nippon Shokubai Co Ltd		3,564,918
	935,000	Nippon Soda Co Ltd		4,112,286
	570,000	Nissin Electric Co Ltd		3,069,682
	749,000	Rengo Co Ltd		3,907,958
	1,159,000	Sanden Corp		4,490,115
	1,122,000	Sanwa Holdings Corp		4,544,804
	8,134,000	Shinsei Bank Ltd		13,857,620
	270,000	Sumitomo Rubber Industries		3,200,051
	863,000	Tsubakimoto Chain Co		4,686,736
	1,687,000	Ube Industries Ltd		3,504,287


Shares		Description	Value ($)
		Japan — continued
	198,500	United Arrows Ltd		5,107,905

		Total Japan		170,857,679


		Mexico — 2.0%
	702,700	Banregio Grupo Financiero SAB de CV		3,162,122
	1,507,700	Corp Inmobiliaria Vesta SAB de CV		2,563,455
	856,700	Credito Real SAB de CV *		1,432,089
	1,457,300	Fibra Uno Administracion SA de CV (REIT)		3,814,110
	1,178,000	Grupo Aeroportuario del Centro Norte SAB de CV		2,960,154

		Total Mexico		13,931,930


		Netherlands — 2.1%
	166,330	AerCap Holdings NV *		2,080,788
	142,994	Arcadis NV		3,321,626
	159,852	CSM NV		3,161,828
	143,006	Imtech NV		3,203,105
	64,379	Koninklijke Ten Cate NV		1,510,938
	51,350	Unit 4 Agresso NV		1,406,807

		Total Netherlands		14,685,092


		New Zealand — 0.6%
	1,299,489	Sky City Entertainment Group Ltd		3,991,044


		Norway — 2.1%
	111,763	Fred Olsen Energy ASA		4,931,697
	833,409	ProSafe SE		7,018,967
	441,368	SpareBank 1 SR Bank ASA		2,826,173

		Total Norway		14,776,837


		Philippines — 0.6%
	620,960	Cebu Air Inc		956,003
	205,800	GT Capital Holdings Inc		3,003,460

		Total Philippines		3,959,463


		Russia — 0.3%
	202,911	Cherkizovo Group GDR (Foreign Registered) *		2,488,036


		Singapore — 1.3%
	770,000	ComfortDelgro Corp Ltd		1,084,176
	3,050,640	Mapletree Logistics Trust (REIT)		2,772,778
	1,088,000	MobileOne Ltd		2,423,997
	1,231,000	Petra Foods Ltd		2,815,136

		Total Singapore		9,096,087


		South Korea — 4.8%
	238,487	CrucialTec Co Ltd *		1,991,726
	23,668	Daelim Industrial Co Ltd		1,726,510


Shares		Description	Value ($)
		South Korea — continued
	331,180	DGB Financial Group Inc		4,136,380
	49,036	Golfzon Co Ltd		2,902,384
	504,321	Kortek Corp		5,952,484
	457,200	Magnachip Semiconductor Corp *		5,760,720
	14,935	Mando Corp		1,690,782
	40,082	S1 Corp		2,538,580
	20,224	Sindoh Co Ltd		1,166,905
	93,090	Tong Yang Life Insurance Co Ltd		898,973
	89,573	Youngone Holding Co Ltd		5,426,330

		Total South Korea		34,191,774


		Spain — 2.0%
	6,108	Construcciones y Auxiliar de Ferrocarriles SA		2,801,378
	362,785	Enagas		7,425,924
	81,650	Red Electrica de Espana		3,784,067

		Total Spain		14,011,369


		Sweden — 2.4%
	278,988	Elekta AB - Class B		4,034,205
	271,899	Getinge AB - Class B		8,771,179
	278,867	Swedish Orphan Biovitrum AB *		1,348,754
	3,757,483	Trigon Agri A/S		2,824,139

		Total Sweden		16,978,277


		Switzerland — 3.5%
	131,839	Aryzta AG *		6,668,990
	14,267	Kaba Holding AG - Class B (Registered)		5,812,871
	38,458	Sulzer AG		5,963,152
	23,782	Swiss Life Holding AG (Registered) *		3,185,535
	16,825	Valora Holding AG		3,226,869

		Total Switzerland		24,857,417


		Taiwan — 0.1%
	718,500	Coretronic Corp		539,508



		Thailand — 0.5%
	43,892,333	Quality Houses PCL (Foreign Registered)		3,259,586


		United Kingdom — 17.4%
	485,037	Babcock International Group Plc		7,747,146
	291,534	Berkeley Group Holdings Plc (Unit Shares) *		7,675,081
	1,055,322	Centaur Media Plc		845,392
	596,067	Diploma Plc		4,598,063
	288,463	Domino Printing Sciences Plc		2,745,977


Shares/ Par Value		Description	Value ($)
		United Kingdom — continued
	639,637	Euromoney Institutional Investor Plc		8,029,374
	1,803,790	F&C Asset Management Plc		2,839,735
	1,080,471	Filtrona Plc		10,159,254
	723,478	Great Portland Estates Plc (REIT)		5,458,763
	871,675	Inchcape Plc		5,976,219
	1,642,860	ITE Group Plc		5,140,983
	526,769	James Fisher & Sons Plc		6,661,727
	468,825	John Wood Group Plc		5,848,674
	1,254,792	Jupiter Fund Management Plc		5,560,957
	520,345	Keller Group Plc		5,413,193
	1,997,077	Lupus Capital Plc		5,312,599
	246,205	National Express Group Plc		687,149
	759,505	Restaurant Group Plc		4,665,661
	1,545,471	RPS Group Plc		5,257,931
	2,094,382	Senior Plc		6,657,974
	187,930	Travis Perkins Plc		3,356,221
	158,914	Weir Group Plc (The)		4,811,946
	2,148,735	Wilmington Group Plc		4,943,578
	197,538	XP Power Ltd		3,045,451

		Total United Kingdom		123,439,048

		TOTAL COMMON STOCKS (COST $613,619,350)		681,713,298


		PREFERRED STOCKS — 0.9%

		Brazil — 0.2%
	321,300	Marcopolo SA 1.89%		1,888,585


		Chile — 0.5%
	1,200,000	Coca-Cola Embonor SA Class B 1.64%		3,318,432


		South Korea — 0.2%
	69,730	Daelim Industrial Co Ltd 0.80%		1,205,854


		TOTAL PREFERRED STOCKS (COST $4,978,462)		6,412,871


		SHORT-TERM INVESTMENTS — 3.4%

		Time Deposits — 3.4%
USD	7,000,000	Bank of New York Mellon (New York) Time Deposit, 0.07%, due 12/03/12		7,000,000
GBP	119,533	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		191,510
EUR	72,789	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		94,666
JPY	22,822,240	Citibank (New York) Time Deposit, 0.01%, due 12/03/12		276,851
USD	6,628,582	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		6,628,582


Par Value		Description	Value ($)
		Time Deposits — continued
USD	7,000,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		7,000,000
CAD	181,797	JPMorgan Chase (New York) Time Deposit, 0.20%, due 12/03/12		183,014
NOK	2,623,437	JPMorgan Chase (New York) Time Deposit, 0.55%, due 12/03/12		463,141
SGD	45,721	JPMorgan Chase (New York) Time Deposit, 0.01%, due 12/03/12		37,458
USD	2,357,765	JPMorgan Chase (New York) Time Deposit, 0.07%, due 12/03/12		2,357,765

		Total Time Deposits		24,232,987


		TOTAL SHORT-TERM INVESTMENTS (COST $24,232,987)		24,232,987


		TOTAL INVESTMENTS — 100.3% (Cost $642,830,799)		712,359,156
		Other Assets and Liabilities (net) — (0.3%)		(1,851,308	)


		TOTAL NET ASSETS — 100.0%	$	710,507,848

Notes to Schedule of Investments:

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

GDR - Global Depository Receipt

REIT - Real Estate Investment Trust

*	Non-income producing security.

(a)	Private placement securities are restricted as to resale.

Currency Abbreviations:

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

NOK - Norwegian Krone

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:


Shares		Description	Value ($)
		COMMON STOCKS — 91.3%

		Australia — 1.4%
	35,316	Tox Free Solutions Ltd		104,306


		Austria — 1.9%
	11,463	Conwert Immobilien Invest SE		141,545


		Brazil — 2.5%
	30,000	Brazil Pharma SA		186,026


		Canada — 2.2%
	5,000	Suncor Energy Inc		163,387


		Finland — 2.3%
	53,189	Nokia Oyj		174,760


		France — 7.8%
	12,587	ArcelorMittal		191,361
	1,367	Societe BIC SA		170,919
	4,506	Total SA		225,821

		Total France		588,101


		Germany — 5.7%
	16,480	TAG Immobilien AG		199,340
	11,037	Tom Tailor Holding AG		229,789

		Total Germany		429,129


		Italy — 11.7%
	11,403	ENI SPA		270,414
	10,354	Lottomatica SPA		228,412
	111,881	Mediaset SPA		185,130
	207,466	Telecom Italia SPA		189,016

		Total Italy		872,972


		Japan — 16.2%
	6,600	Daikin Industries Ltd		208,094
	44,000	Hitachi Ltd		254,995
	5,800	Honda Motor Co Ltd		193,322
	14,400	Keihin Corp		192,832
	36,400	Mitsubishi UFJ Financial Group Inc		167,418
	19,900	Nissan Motor Co Ltd		193,955

		Total Japan		1,210,616


		Mexico — 2.4%
	40,200	Banregio Grupo Financiero SAB de CV		180,898


		Norway — 2.8%
	25,043	ProSafe SE		210,912


		Russia — 2.3%
	3,600	Sberbank of Russia GDR * ^(a)		42,228
	11,245	Sberbank Sponsored ADR		133,307

		Total Russia		175,535


Shares/ Par Value		Description	Value ($)
		Spain — 2.2%
	7,040	Amadeus IT Holding SA Class A		164,459


		Switzerland — 2.7%
	507	Syngenta AG (Registered)		202,981


		United Kingdom — 4.3%
	51,071	Lupus Capital Plc		135,858
	3,792	Rio Tinto Plc		188,298

		Total United Kingdom		324,156


		United States — 22.9%
	9,100	Cisco Systems, Inc.		172,081
	6,000	Comcast Corp.- Class A		223,080
	13,200	Dana Holding Corp.		187,176
	11,700	EPL Oil & Gas, Inc. *		245,583
	5,900	Lazard Ltd.- Class A		173,755
	11,200	Pfizer, Inc.		280,224
	1,900	Rock- Tenn Co.- Class A		123,576
	7,100	RTI International Metals, Inc *		176,080
	2,100	Target Corp.		132,573

		Total United States		1,714,128


		TOTAL COMMON STOCKS (COST $6,282,935)		6,843,911


		SHORT-TERM INVESTMENTS — 8.5%

		Time Deposits — 8.5%
USD	50,000	Australia and New Zealand Banking Group Ltd (ANZ) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Bank of America (Charlotte) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Bank of Montreal Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Barclays (London) Time Deposit, 0.07%, due 12/03/12		50,000
AUD	14	Brown Brothers Harriman (Grand Cayman) Time Deposit, 2.40%, due 12/03/12		14
JPY	647,472	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		7,856
USD	50,000	CIBC (Toronto) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		50,000
USD	25,206	Credit Suisse AG (Zurich) Time Deposit, 0.07%, due 12/03/12		25,206
USD	50,000	DBS Bank Ltd (Singapore) Time Deposit, 0.07%, due 12/03/12		50,000


Par Value		Description	Value ($)
		Time Deposits — continued
USD	50,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	DnB Nor Bank (Oslo) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Royal Bank of Canada (Toronto) Time Deposit, 0.07%, due 12/03/12		50,000
USD	50,000	Skandinaviska Enskilda Banken AB (Stockholm) Time Deposit, 0.07%, due 12/03/12		50,000

		Total Time Deposits		633,076

		TOTAL SHORT-TERM INVESTMENTS (COST $633,076)		633,076


		TOTAL INVESTMENTS — 99.8% (Cost $6,916,011)		7,476,987
		Other Assets and Liabilities (net) — 0.2%		18,447


		TOTAL NET ASSETS — 100.0%	$	7,495,434

Notes to Schedule of Investments:

ADR - American Depositary Receipt

GDR - Global 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.

Currency Abbreviations:

AUD - Australian Dollar

JPY - Japanese Yen

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. In the case of non-emerging market debt instruments with a remaining maturity of sixty days or less, the instrument, may be valued at amortized cost, which approximates market value, if the issuer is deemed to present minimal credit risk. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“the Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as being valued using Level 2 inputs (levels defined below) in the table below.

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.

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts; certain restricted securities; non-exchange traded equity securities; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

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

For all Funds for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

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

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of November 30, 2012 were as follows:

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times:

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equity investments generally have greater price volatility than fixed income and other investments with a scheduled stream of payments, and the market price of equity investments is more susceptible to moving up or down in a rapid or unpredictable manner.

The Funds invest a substantial portion of their assets in equities and, generally do not take temporary defensive positions. As a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents a Fund from selling particular securities or unwinding derivative positions at desirable prices. A Fund is also exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). All of the Funds are subject to liquidity risk to some extent but those with the greatest risk have principal investment strategies that involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities. These types of investments can be difficult to value, resulting in differences between the price at which they are sold and the value at which they are carried on the books of a Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when markets decline generally.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. In addition, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

other things, restrict a Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or increasing margin or capital requirements.

overall risk than funds whose investments are more diversified. A Fund that invests in the securities of a limited number of issuers is particularly exposed to adverse developments affecting those issuers, and a decline in the market value of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases the magnitude of a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

The following Funds are not diversified investment companies under the 1940 Act.

The Funds may use derivatives as a substitute for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives, to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds may have investment exposures in excess of their net assets (i.e. they may be leveraged). A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):

losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments. Options

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation charges through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

The volume of derivative activity, based on absolute values (forward currency contracts and rights and/or warrants) outstanding at each month-end, if any was as follows for the period ended November 30, 2012.

Subsequent to November 30, 2012, GMO Foreign Fund received redemption requests in the amount of $336,831,602.


Shares		Description	Value ($)
		COMMON STOCKS — 89.5%

		Brazil — 6.6%
	203,500	Banco do Brasil SA		2,086,618
	12,100	Banco Santander Brasil SA		82,109
	82,900	Banco Santander Brasil SA ADR		554,601
	57,500	BM&FBOVESPA SA		345,517
	19,600	BR Malls Participacoes SA		251,788
	9,300	BR Properties SA		109,678
	20,700	Brasil Brokers Participacoes SA		62,290
	18,970	Centrais Eletricas Brasileiras SA Sponsored ADR		69,430
	4,509	Cia de Saneamento Basico do Estado de Sao Paulo		182,529
	700	Cia de Saneamento Basico do Estado de Sao Paulo ADR		56,959
	42,060	Cielo SA		1,095,394
	3,400	Companhia de Bebidas das Americas		123,633
	6,000	Companhia de Saneamento de Minas Gerais-Copasa MG ^*		126,357
	4,000	Cosan SA Industria e Comercio		73,549
	47,900	Cyrela Brazil Realty SA		399,466
	26,700	Duratex SA		184,306
	36,000	Electrobras (Centro)		128,884
	4,200	Embraer SA ADR		104,706
	5,300	Fleury SA		57,048
	64,500	Gerdau SA		447,045
	7,000	Localiza Rent a Car SA		116,459
	2,500	Lojas Renner SA		91,433
	72,500	MRV Engenharia e Participacoes SA		383,740
	8,900	Multiplan Empreendimentos Imobiliarios SA		245,741
	26,400	Multiplus SA		611,569
	13,700	OdontoPrev SA		69,244
	30,030	Petroleo Brasileiro SA (Petrobras) ADR		539,639
	14,300	Qualicorp SA ^*		138,864
	9,500	Ultrapar Participacoes SA		195,620
	9,900	Ultrapar Participacoes SA Sponsored ADR		203,544
	15,900	Vale SA		279,783
	90,900	Vale SA Sponsored ADR		1,584,387

		Total Brazil		11,001,930


		Chile — 0.3%
	926	Cia Cervecerias Unidas SA		13,420
	900	Compania Cervecerias Unidas ADR		66,060
	15,077	Empresa National de Telecomunicaciones SA		310,349
	9,764	Empresas COPEC SA		135,005

		Total Chile		524,834


		China — 16.2%
	68,000	Agile Property Holdings Ltd		91,568
	329,000	Agricultural Bank of China Ltd-Class H		144,693
	172,000	Air China Ltd-Class H		115,138
	13,500	Anhui Conch Cement Co Ltd-Class H		44,917


Shares		Description	Value ($)
		China — (continued)
	5,300	Baidu Inc Sponsored ADR ^*		510,443
	2,499,000	Bank of China Ltd-Class H		1,054,024
	473,100	Bank of Communications Co Ltd-Class H		344,607
	139,000	BBMG Corp-Class H		118,316
	19,000	Beijing Enterprises Holdings Ltd		122,444
	441,000	China CITIC Bank Corp-Class H		226,303
	295,900	China Coal Energy Co Ltd-Class H		298,023
	593,160	China Communication Services Corp Ltd-Class H		335,971
	1,079,840	China Communications Construction Co Ltd-Class H		983,064
	1,354,000	China Construction Bank-Class H		1,037,477
	700	China Life Insurance Co Ltd ADR		30,898
	330,000	China Life Insurance Co Ltd-Class H		967,092
	35,000	China Merchants Bank Co Ltd-Class H		66,870
	14,000	China Merchants Holdings International Co Ltd		42,424
	144,000	China Minsheng Banking Corp Ltd		141,511
	501,964	China Mobile Ltd		5,717,524
	8,582	China Mobile Ltd Sponsored ADR		488,488
	206,000	China National Building Material Co Ltd-Class H		268,341
	30,000	China Oilfield Services Ltd-Class H		59,740
	190,000	China Overseas Land & Investment Ltd		563,646
	84,400	China Pacific Insurance Group Co Ltd		276,470
	1,243,083	China Petroleum & Chemical Corp-Class H		1,315,025
	50,000	China Resources Land Ltd		134,135
	64,000	China Shenhua Energy Co Ltd-Class H		262,052
	300	China Telecom Corp Ltd ADR		16,299
	2,205,900	China Telecom Corp Ltd-Class H		1,199,723
	34,000	China Unicom Hong Kong Ltd		52,905
	1,900	China Unicom Hong Kong Ltd ADR		29,507
	135,000	China Yurun Food Group Ltd ^*		84,126
	335,200	Citic Pacific Ltd		425,952
	679,000	CNOOC Ltd		1,443,131
	1,649	CNOOC Ltd ADR		351,501
	170,991	Cosco Pacific Ltd		240,105
	109,000	Dongfeng Motor Group Co Ltd-Class H		153,133
	412,000	Evergrande Real Estate Group Ltd		205,617
	77,000	Great Wall Motor Co Ltd-Class H		253,789
	101,200	Guangzhou R&F Properties Co Ltd-Class H		172,562
	318,000	Hopson Development Holdings Ltd ^*		493,828
	2,616,000	Industrial and Commercial Bank of China Ltd-Class H		1,764,419
	16,100	Inner Mongolia Yitai Coal Co-Class B		89,406
	53,000	Jiangxi Copper Co Ltd-Class H		135,789
	176,000	Kunlun Energy Company Ltd		358,233
	50,000	Lenovo Group Ltd		47,083
	23,500	Longfor Properties		45,161
	5,800	Netease.Com Inc ADR ^*		254,388
	1,100	PetroChina Co Ltd ADR		146,465
	420,653	PetroChina Co Ltd-Class H		559,073
	310,600	PICC Property & Casualty Co Ltd-Class H		400,234


Shares		Description	Value ($)
		China — (continued)
	67,500	Ping An Insurance (Group) Co of China Ltd-Class H		509,304
	82,000	Shanghai Industrial Holdings Ltd		268,725
	139,500	Shimao Property Holdings Ltd		282,450
	120,251	Sino-Ocean Land Holdings Ltd		89,954
	108,500	Sun Art Retail Group Ltd		166,314
	5,500	Tencent Holdings Ltd		178,995
	719,000	Yangzijiang Shipbuilding Holdings Ltd		549,827
	700	Yanzhou Coal Mining Co Ltd Sponsored ADR		10,759
	180,000	Yanzhou Coal Mining Co Ltd-Class H		276,130
	272,000	Zijin Mining Group Co Ltd-Class H		109,602

		Total China		27,125,693


		Czech Republic — 1.7%
	45,790	CEZ AS		1,520,894
	4,333	Komercni Banka AS		864,912
	3,575	Pegas Nonwovens SA		85,677
	356	Philip Morris CR AS		196,391
	9,815	Telefonica 02 Czech Republic AS		174,946

		Total Czech Republic		2,842,820


		Egypt — 1.5%
	14,835	Alexandria Mineral Oils Co		170,238
	96,593	Commercial International Bank		507,818
	65,547	Egyptian Kuwaiti Holding Co SAE		68,293
	36,806	ElSwedy Electric Co		128,549
	8,570	Orascom Construction Industries ^*		307,021
	41,131	Orascom Telecom Holding SAE ^*		23,044
	180,125	Orascom Telecom Holding SAE GDR (Registered Shares) ^*		517,230
	817,245	Orascom Telecom Media and Technology Holding SAE		68,242
	99,418	Orascom Telecom Media and Technology Holding SAE GDR		43,545
	19,791	Oriental Weavers Co		70,389
	40,877	Sidi Kerir Petrochemicals Co		82,000
	131,908	South Valley Cement ^*		85,138
	261,591	Talaat Moustafa Group ^*		168,104
	155,782	Telecom Egypt		319,190

		Total Egypt		2,558,801


		Hungary — 0.2%
	451	Egis Gyogyszergyar Nyrt		35,061
	64,312	Magyar Telekom Nyrt		116,903
	990	MOL Hungarian Oil and Gas PLC		84,017
	6,770	OTP Bank Nyrt		127,602

		Total Hungary		363,583


		India — 7.2%
	26,696	Adani Enterprises Ltd		118,594
	26,300	Ambuja Cements Ltd		100,770
	38,364	Aurobindo Pharma Ltd		132,435


Shares		Description	Value ($)
		India — (continued)
	17,957	Bank of Baroda		251,791
	19,609	Bank of India		101,270
	75,621	Bharat Heavy Electricals Ltd		325,216
	4,280	Cadila Healthcare Ltd		65,871
	83,786	Cairn India Ltd		507,974
	31,407	Canara Bank Ltd		269,415
	29,929	Cipla Ltd		228,162
	11,822	Coal India Ltd		79,671
	2,497	Colgate-Palmolive India Ltd		66,229
	11,661	Dewan Housing Finance Corp Ltd		43,070
	45,494	GAIL India Ltd		294,248
	941	Glaxo SmithKline Consumer Healthcare Ltd		63,774
	4,623	Grasim Industries Ltd^(a)		299,996
	22,019	HCL Technologies Ltd		262,318
	4,635	HDFC Bank Ltd		59,788
	6,600	HDFC Bank Ltd ADR		277,992
	1,262	Hero Honda Motors Ltd		42,475
	154,181	Hindalco Industries Ltd		329,578
	8,663	Hindustan Petroleum Corp Ltd		45,580
	13,652	ICICI Bank Ltd		274,195
	2,500	ICICI Bank Ltd Sponsored ADR		102,475
	16,855	Indian Oil Corp Ltd		82,030
	7,052	Infosys Technologies Ltd		315,390
	9,760	Infosys Technologies Ltd Sponsored ADR		433,832
	14,745	Infrastructure Development Finance Co Ltd		46,816
	57,371	Jaiprakash Associates Ltd		101,629
	1,152	JSW Steel Ltd		15,715
	17,277	Kotak Mahindra Bank Ltd		212,454
	298,231	Lanco Infratech Ltd ^*		76,289
	10,756	Larsen & Toubro Ltd		328,831
	32,011	LIC Housing Finance Ltd		156,489
	6,389	Lupin Ltd		69,397
	9,170	Mahindra & Mahindra Ltd		160,031
	3,699	Maruti Suzuki India Ltd		99,981
	25,799	Mphasis Ltd		183,732
	51,544	NTPC Ltd		153,533
	118,645	Oil & Natural Gas Corp Ltd		577,768
	20,086	Power Finance Corp		71,240
	69,811	Power Grid Corp of India Ltd		151,841
	18,017	Punjab National Bank Ltd^(a)		268,127
	3,086	Reliance Industries Ltd		44,958
	80,718	Rural Electrification Corp Ltd		341,867
	120,640	Sesa Goa Ltd		403,733
	96,380	Shree Renuka Sugars Ltd ^*		55,250
	53	Shriram Transport Finance Co Ltd		653
	5,153	State Bank of India		205,602
	101,750	Steel Authority of India Ltd		151,251
	144,805	Sterlite Industries India Ltd		287,142
	3,100	Sterlite Industries India Ltd ADR		24,459
	20,655	Sun TV Network Ltd		154,398
	26,156	Tata Consultancy Services Ltd		634,143
	72,695	Tata Motors Ltd		366,574


Shares		Description	Value ($)
		India — (continued)
	5,800	Tata Motors Ltd Sponsored ADR		145,406
	48,967	Tata Motors Ltd-Class A		146,627
	70,891	Tata Power Co Ltd		140,835
	21,089	Tata Steel Ltd		149,785
	5,915	Ultratech Cement Ltd		219,580
	36,096	Union Bank of India		160,831
	7,905	United Spirits Ltd		289,885
	23,862	Wipro Ltd		171,991
	7,900	Wipro Ltd ADR		69,125

		Total India		12,012,107


		Indonesia — 5.4%
	4,420,500	Astra International Tbk PT		3,336,278
	44,000	Bank Central Asia Tbk PT		40,333
	212,316	Bank Danamon Indonesia Tbk PT		119,513
	1,197,172	Bank Mandiri Tbk PT		1,028,553
	1,034,500	Bank Rakyat Indonesia Persero Tbk PT		759,204
	233,500	Global Mediacom Tbk PT		58,381
	242,000	Indofood Sukses Makmur Tbk PT		147,557
	114,000	Indosat Tbk PT		65,880
	289,500	International Nickel Indonesia Tbk PT		62,553
	659,750	Kalbe Farma Tbk PT		70,815
	997,500	Media Nusantara Citra Tbk PT		277,506
	1,925,500	Perusahaan Gas Negara PT		907,810
	334,000	Semen Gresik Persero Tbk PT		514,747
	50,000	Tambang Batubara Bukit Asam Tbk PT		72,849
	971,500	Telekomunikasi Indonesia Tbk PT		916,155
	15,200	Telekomunikasi Indonesia Tbk PT Sponsored ADR		578,208
	69,875	United Tractors Tbk PT		123,955

		Total Indonesia		9,080,297


		Malaysia — 0.6%
	151,180	AMMB Holdings Berhad		317,161
	91,700	Genting Malaysia Berhad		103,109
	60,570	Hong Leong Bank Berhad		292,141
	99,034	Landmarks Berhad ^*		32,419
	68,200	Petronas Chemicals Group Berhad		133,460
	17,000	Public Bank Berhad		86,800
	44,600	Sime Darby Berhad		131,533

		Total Malaysia		1,096,623


		Mexico — 2.5%
	232,800	America Movil SAB de CV-Class L		274,857
	99,840	America Movil SAB de CV-Class L ADR		2,355,226
	97,700	Corporaction GEO SAB de CV-Series B ^*		113,462
	12,600	Fomento Economico Mexicano SA de CV		123,151
	2,100	Fomento Economico Mexicano Sponsored ADR		205,968
	39,400	Grupo Financiero Banorte SAB de CV-Class O		224,852
	38,500	Grupo Televisa SAB Series CPO		182,208
	10,100	Grupo Televisa SAB Sponsored ADR		239,067


Shares		Description	Value ($)
		Mexico — (continued)
	56,100	Kimberly-Clark de Mexico SAB de CV-Series A		137,068
	131,700	Wal-Mart de Mexico SAB de CV-Class V		413,324

		Total Mexico		4,269,183


		Morocco — 0.2%
	25,306	Maroc Telecom		331,811


		Philippines — 2.5%
	446,200	Alliance Global Group Inc		177,894
	42,310	Bank of the Philippine Islands		92,436
	336,520	BDO Unibank Inc ^*		588,913
	219,900	First Gen Corp ^*		123,687
	7,595	Globe Telecom Inc		209,821
	9,480	GT Capital Holdings Inc		138,352
	2,118,500	Lopez Holding Corp		324,806
	225,277	Metropolitan Bank & Trust Co		550,511
	16,260	Philippine Long Distance Telephone Co		1,028,035
	8,672	Philippine Long Distance Telephone Co Sponsored ADR		539,572
	131,700	Puregold Price Club Inc		103,605
	26,600	San Miguel Corp		70,945
	69,800	Universal Robina Corp		131,755
	315,000	Vista Land & Lifescapes Inc		38,558

		Total Philippines		4,118,890


		Poland — 3.0%
	4,932	Asseco Poland SA		68,045
	1,447	Bank Handlowy W Warszawie SA		45,034
	2,506	Bank Pekao SA		125,517
	624	BRE Bank ^*		62,627
	3,315	Jastrzebska Spolka Weglowa SA		92,019
	61,791	KGHM Polska Miedz SA		3,506,171
	25,581	Powszechna Kasa Oszczednosci Bank Polski SA		282,669
	3,118	Powszechny Zaklad Ubezpieczen SA		390,894
	117,046	Tauron Polska Energia SA		160,834
	64,478	Telekomunikacja Polska SA		241,868

		Total Poland		4,975,678


		Russia — 11.8%
	10,758	Cherepovets MK Severstal GDR (Registered Shares)		122,447
	5,301	Eurasia Drilling Co Ltd GDR		172,915
	6,614	Gazprom Neft JSC Sponsored ADR		151,691
	51,500	Gazprom Neft-Class S ^*		234,451
	554,274	Gazprom OAO Sponsored ADR		4,934,004
	46,022	KamAZ ^*		52,924
	64,890	Lukoil OAO Sponsored ADR		4,089,314
	2,524	Magnit OJSC		367,001
	45,090	Mechel Sponsored ADR		275,049
	38,793	MMC Norilsk Nickel JSC ADR		615,389
	15,100	Mobile Telesystems OJSC		113,190
	6,400	NovaTek OAO		68,727


Shares		Description	Value ($)
		Russia — (continued)
	6,630	Novolipetsk Steel GDR (Registered Shares)		131,702
	169,454	Rosneft OJSC GDR (Registered Shares)		1,324,202
	62,342	Rostelecom		219,693
	284,208	Sberbank Sponsored ADR		3,369,216
	130,227	Sistema JSFC		104,009
	396	Sistema JSFC Sponsored GDR (Registered Shares)		7,510
	146,719	Surgutneftegas Sponsored ADR		1,238,170
	35,641	Tatneft Sponsored ADR		1,413,058
	7,686	Uralkali Sponsored GDR (Registered Shares)		285,143
	6,400	VimpelCom Ltd Sponsored ADR		67,712
	148,926	VTB Bank OJSC GDR (Registered Shares)		497,043

		Total Russia		19,854,560


		South Africa — 3.5%
	15,237	Absa Group Ltd		243,272
	31,048	African Bank Investments Ltd		110,741
	2,417	African Rainbow Minerals Ltd		48,435
	12,393	Aspen Pharmacare Holdings Ltd		218,034
	20,464	Aveng Ltd		61,890
	10,506	Exxaro Resources Ltd		182,486
	107,046	FirstRand Ltd		349,485
	89,144	Growthpoint Properties Ltd		245,967
	11,600	Imperial Holdings Ltd		245,875
	6,914	JSE Ltd		55,546
	1,418	Kumba Iron Ore Ltd		86,563
	4,193	Mr Price Group Ltd		62,679
	47,766	MTN Group Ltd		879,613
	5,010	Naspers Ltd-N Shares		309,314
	3,169	Nedbank Group Ltd		63,975
	21,233	Netcare Ltd		42,246
	18,512	Remgro Ltd		311,454
	97,616	RMB Holdings Ltd		430,036
	10,026	Sasol Ltd		422,522
	1,300	Sasol Ltd Sponsored ADR		55,055
	10,337	Shoprite Holdings Ltd		222,678
	225,408	Steinhoff International Holdings Ltd ^*		694,086
	74,878	Telkom South Africa Ltd ^*		130,516
	3,354	Tiger Brands Ltd		112,887
	5,143	Vodacom Group Ltd		68,826
	4,857	Wilson Bayly Holmes-Ovcon Ltd		78,162
	26,958	Woolworths Holdings Ltd		214,797

		Total South Africa		5,947,140


		South Korea — 9.9%
	5,555	Celltrion Inc		133,368
	1,784	Cheil Industries Inc		157,760
	10,900	Daewoo Securities Co Ltd		107,744
	11,652	DGB Financial Group Inc		145,531
	6,418	GS Holdings Corp		423,359
	22,902	Hana Financial Group Inc		712,343
	14,537	Hanwha Corp		427,973


Shares		Description	Value ($)
		South Korea — (continued)
	1,350	Hyosung Corp		84,738
	1,328	Hyundai Heavy Industries Co Ltd		259,367
	1,387	Hyundai Mobis		366,170
	2,484	Hyundai Motor Co		517,605
	5,105	Hyundai Steel Co		379,137
	928	Hyundai Wia Corp		156,154
	49,915	Industrial Bank of Korea		530,608
	8,987	INTOPS Co Ltd		229,628
	27,880	KB Financial Group Inc		919,313
	1,900	KB Financial Group Inc ADR		62,453
	11,818	Kia Motors Corp		675,308
	96,550	Korea Exchange Bank ^*		650,673
	550	Korea Zinc Co Ltd		221,696
	17,780	KT Corp		616,577
	28,000	KT Corp Sponsored ADR		481,880
	1,816	KT&G Corp		143,583
	987	LG Chem Ltd		284,711
	20,828	LG Uplus Corp		143,694
	770	OCI Company Ltd		107,412
	5,103	POSCO		1,523,681
	777	POSCO ADR		57,801
	47,580	Samho International Co Ltd ^*		68,046
	778	Samsung Fire & Marine Insurance Co Ltd		157,158
	4,520	Samsung Heavy Industries Co Ltd		152,468
	2,734	Samsung Life Insurance Co Ltd		234,818
	2,018	Samsung Techwin Co Ltd		108,239
	1,113	Samsung Electronics Co Ltd		1,446,758
	18,447	Shinhan Financial Group Co Ltd		591,425
	8,346	SK Innovation Co Ltd		1,278,796
	983	SK Telecom Co Ltd		136,114
	66,239	SK Telecom Co Ltd ADR		1,011,470
	1,215	SK Holdings Co Ltd		201,651
	81,136	Woori Finance Holdings Co Ltd		762,190

		Total South Korea		16,669,400


		Sri Lanka — 0.1%
	133,921	Hatton National Bank Plc		147,337


		Taiwan — 6.0%
	113,599	Asia Cement Corp		146,122
	46,871	Asustek Computer Inc		517,458
	542,000	AU Optronics Corp ^*		229,071
	2,400	AU Optronics Corp Sponsored ADR ^*		9,888
	28,000	Cheng Shin Rubber Industry Co Ltd		71,374
	155,928	Chinatrust Financial Holding Co Ltd		90,444
	182,884	Chunghwa Telecom Co Ltd		591,461
	1,169,577	Compal Electronics Inc		791,834
	133,000	Delta Electronics Inc		476,635
	131,760	Far Eastern Textile Co Ltd		156,762
	342,314	Far Eastone Telecommunications Co Ltd		857,472
	139,000	First Financial Holding Co Ltd		84,958
	157,000	Fubon Financial Holding Co Ltd		178,401


Shares		Description	Value ($)
		Taiwan — (continued)
	140,600	Hon Hai Precision Industry Co Ltd		451,455
	13,000	Hotai Motor Company Ltd		96,336
	6,000	HTC Corp		54,952
	478,409	Innolux Display Corp ^*		214,319
	238,669	Lite-On Technology Corp		326,345
	20,000	MediaTek Inc		227,698
	132,720	Mega Financial Holding Co Ltd		103,967
	5,000	Mstar Semiconductor Inc		42,885
	17,793	Novatek Microelectronics Corp Ltd		71,662
	47,000	Pou Chen Corp		48,552
	128,100	Powertech Technology Inc		189,994
	830,200	ProMOS Technologies Inc^{(a) *}		—
	306,715	Quanta Computer Inc		771,591
	292,000	Sinopac Holdings Co		122,660
	774,898	Taishin Financial Holding Co Ltd		294,896
	270,928	Taiwan Mobile Co Ltd		974,862
	214,660	Taiwan Semiconductor Manufacturing Co Ltd		729,385
	11,000	TPK Holding Co Ltd		175,776
	429,000	United Microelectronics Corp		165,745
	20,400	United Microelectronics Corp Sponsored ADR		38,964
	697,664	Wistron Corp		766,151

		Total Taiwan		10,070,075


		Thailand — 5.0%
	152,190	Advanced Info Service Pcl (Foreign Registered)		1,090,926
	78,600	Airports of Thailand Pcl (Foreign Registered)		240,636
	453,488	Asian Property Development Pcl (Foreign Registered)		130,729
	13,000	Bangkok Bank Pcl (Foreign Registered)^(a)		81,730
	12,450	Bangkok Bank Pcl NVDR		74,217
	192,700	Bangkok Dusit Medical Service Pcl (Foreign Registered)		703,290
	421,900	Bank of Ayudhya Pcl (Foreign Registered)^(a)		449,920
	41,200	Bank of Ayudhya Pcl NVDR		41,589
	36,700	Banpu Pcl (Foreign Registered)		471,943
	1,350	Banpu Pcl NVDR		17,360
	82,300	BEC World Pcl (Foreign Registered)		156,277
	352,400	Charoen Pokphand Foods Pcl (Foreign Registered)		375,918
	47,900	CP ALL Pcl (Foreign Registered)		61,619
	104,300	Electricity Generating Pcl (Foreign Registered)		427,988
	956,500	Hemaraj Land and Development Pcl (Foreign Registered)^(a)		99,088
	285,720	Home Product Center Pcl (Foreign Registered)		106,505
	360,500	Jasmine International Pcl		59,907
	47,110	Kasikornbank Pcl (Foreign Registered)^(a)		286,988
	76,100	Kasikornbank Pcl NVDR		463,590
	428,525	Krung Thai Bank Pcl (Foreign Registered)		256,857
	11,800	PTT Exploration & Production Pcl (Foreign Registered)		61,112
	129,622	PTT Pcl (Foreign Registered)		1,350,992
	36,100	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)^(a)		63,519


Shares		Description	Value ($)
		Thailand — (continued)
	37,200	Ratchaburi Electricity Generating Holding Pcl NVDR		65,484
	19,900	Robinson Department Store Pcl (Foreign Registered)		39,226
	62,100	Shin Corp Pcl (Foreign Registered)		130,521
	5,739	Siam Cement Pcl (Foreign Registered) ^(a)		75,899
	19,500	Siam Cement Pcl NVDR		250,904
	9,300	Siam Makro Pcl (Foreign Registered)		146,550
	99,500	Thai Oil Pcl (Foreign Registered)		213,834
	5,100	Thai Oil Pcl NVDR		10,960
	210,300	Thai Tap Water Supply Pcl (Foreign Registered)		55,535
	44,050	Total Access Communication Pcl (Foreign Registered) ^(a)		126,210
	61,100	Total Access Communication Pcl NVDR		174,552

		Total Thailand		8,362,375


		Turkey — 4.2%
	5,546	Anadolu Efes Biracilik ve Malt Sanayii AS		80,599
	126,424	Arcelik AS		767,332
	2,444	BIM Birlesik Magazalar AS		111,078
	5,423	Bizim Toptan Satis Magazalari AS		78,890
	45,482	Dogus Otomotiv Servis ve Ticaret AS		185,873
	59,087	Enka Insaat ve Sanayi AS		157,371
	421,586	Eregli Demir ve Celik Fabrikalari TAS		530,549
	24,288	Haci Omer Sabanci Holding AS		125,366
	167,149	Koc Holding AS		765,282
	5,236	Koza Altin Isletmeleri AS		130,574
	20,301	Tupras-Turkiye Petrol Rafineriler AS		541,727
	88,484	Turk Telekomunikasyon AS		330,829
	2,690	Turk Traktor ve Ziraat Makineleri AS		67,288
	87,128	Turkcell Iletisim Hizmet AS ^*		526,521
	900	Turkcell Iletisim Hizmetleri AS ADR ^*		13,635
	169,535	Turkiye Garanti Bankasi		804,486
	210,539	Turkiye IS Bankasi-Class C		678,675
	115,053	Turkiye Sise ve Cam Fabrikalari AS		169,346
	151,773	Turkiye Vakiflar Bankasi TAO-Class D		367,791
	32,783	Turkiye Halk Bankasi AS		317,499
	96,698	Yapi ve Kredi Bankasi AS ^*		254,871

		Total Turkey		7,005,582


		United Kingdom — 0.5%
	3,714	British American Tobacco Plc		195,100
	500	British American Tobacco Plc Sponsored ADR		52,715
	4,697	Globaltrans Investment Plc Sponsored GDR		72,057
	14,773	Unilever Plc		566,843

		Total United Kingdom		886,715


		United States — 0.6%
	4,800	Colgate–Palmolive Co.		520,800
	1,000	Mead Johnson Nutrition Co.		68,190


Shares		Description	Value ($)
		United States — (continued)
	5,100	Yum! Brands, Inc.		342,108

		Total United States		931,098


		TOTAL COMMON STOCKS (COST $151,247,017)		150,176,532


		PREFERRED STOCKS — 8.7%

		Brazil — 6.1%
	64,349	Banco Bradesco SA 0.60%		1,068,769
	8,000	Banco Bradesco SA ADR 0.63%		134,720
	21,300	Banco do Estado do Rio Grande do Sul SA - Class B 2.23%		151,118
	47,400	Bradespar SA 5.02%		632,207
	2,900	Braskem SA Sponsored ADR 4.63%		37,758
	1,000	Centrais Eletricas Brasileiras SA ADR 17.61%		4,760
	42,000	Centrais Eletricas Brasileiras SA-Class B 17.87%		189,676
	1,200	Companhia de Bebidas das Americas 1.57%		49,700
	8,200	Companhia de Bebidas das Americas ADR 1.68%		341,202
	10,600	Eletropaulo Metropolitana SA 49.99%		67,416
	81,600	Gerdau SA Sponsored ADR 2.13%		692,784
	7,600	Itau Unibanco Holding SA 0.55%		114,313
	99,610	Itau Unibanco Holding SA ADR 0.58%		1,509,091
	151,137	Itausa-Investimentos Itau SA 0.62%		681,135
	67,400	Klabin SA 2.19%		379,772
	58,700	Metalurgica Gerdau SA 0.87%		616,724
	55,990	Petroleo Brasileiro SA Sponsored ADR 0.67%		982,624
	2,500	Telefonica Brasil SA 4.56%		54,287
	9,560	Telefonica Brasil SA ADR 4.81%		209,746
	7,500	Vale SA 1.83%		128,814
	126,030	Vale SA Sponsored ADR 1.93%		2,153,853

		Total Brazil		10,200,469


		Chile — 0.0%
	560	Embotelladora Andina SA ADR-Class B 1.95%		21,263
	8,066	Embotelladora Andina SA B Shares 2.00%		51,655

		Total Chile		72,918


		Russia — 1.9%
	2,161,373	Surgutneftegaz OJSC 10.49%		1,354,316
	839	Transneft 1.22%		1,777,672

		Total Russia		3,131,988


		South Korea — 0.7%
	2,473	Hyundai Motor Co 2.32%		178,243
	1,245	Samsung Electronics Co Ltd (Non-Voting) 0.66%		949,004

		Total South Korea		1,127,247


		TOTAL PREFERRED STOCKS (COST $15,726,405)		14,532,622


Shares / Par Value		Description	Value ($)
		INVESTMENT FUNDS — 0.6%

		United States — 0.6%
	24,985	Vanguard Emerging Markets ETF ^(b)		1,050,369


		TOTAL INVESTMENT FUNDS (COST $1,047,461)		1,050,369


		RIGHTS/WARRANTS — 0.0%

		Thailand — 0.0%
	1,527	PTT Exploration Rights, Expires 12/06/12 ^*		846


		TOTAL RIGHTS/WARRANTS (COST $1,046)		846


		MUTUAL FUNDS — 0.8%

		United States — 0.8%
		Affiliated Issuers — 0.8%
	50,203	GMO U.S. Treasury Fund		1,255,084


		TOTAL MUTUAL FUNDS (COST $1,255,084)		1,255,084


		SHORT-TERM INVESTMENTS — 0.2%

		Time Deposits — 0.2%
EUR	3,734	Brown Brothers Harriman (Grand Cayman) Time Deposit, (0.03)%, due 12/03/12		4,856
HKD	7,799	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.01%, due 12/03/12		1,006
ZAR	40,120	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 12/03/12		4,513
USD	200,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		200,000
USD	197,950	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		197,950

		Total Time Deposits		408,325


		TOTAL SHORT-TERM INVESTMENTS (COST $408,325)		408,325


		TOTAL INVESTMENTS — 99.8% (Cost $169,685,338)		167,423,778
		Other Assets and Liabilities (net) — 0.2%		340,240


		TOTAL NET ASSETS — 100.0%		$167,764,018

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.

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

*	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.

(b)	Represents an investment to equitize cash. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 92.8%

		Belgium — 2.8%
	418,996	Anheuser-Busch InBev NV		36,793,037


		Brazil — 3.7%
	1,951,700	Brasil Brokers Participacoes SA		5,873,002
	816,700	Localiza Rent a Car SA		13,587,460
	721,600	Multiplus SA		16,716,211
	1,134,600	Qualicorp SA ^*		11,017,854

		Total Brazil		47,194,527


		China — 7.7%
	129,300	Baidu Inc Sponsored ADR ^*		12,452,883
	2,057,700	China Mobile Ltd		23,437,835
	78,100	China Mobile Ltd Sponsored ADR		4,445,452
	8,429,600	Chow Tai Fook Jewellery Group Ltd		12,295,487
	3,566,000	Dongfeng Motor Group Co Ltd - Class H		5,009,849
	5,400,500	Great Wall Motor Co Ltd - Class H		17,799,837
	7,340,000	Kunlun Energy Company Ltd		14,939,961
	6,327,400	Sun Art Retail Group Ltd		9,698,953

		Total China		100,080,257


		France — 1.3%
	127,511	L’Oreal SA		17,315,777


		India — 9.7%
	471,100	Apollo Hospitals Enterprise Ltd		7,070,884
	370,670	Cadila Healthcare Ltd		5,704,745
	228,792	Colgate-Palmolive India Ltd		6,068,308
	700,746	Dewan Housing Finance Corp Ltd		2,588,226
	215,988	Federal Bank Ltd		1,924,167
	96,762	Glaxo SmithKline Consumer Healthcare Ltd		6,557,826
	366,224	HDFC Bank Ltd		4,724,021
	31,200	HDFC Bank Ltd ADR		1,314,144
	650,000	IndusInd Bank Ltd		4,977,020
	284,852	Jyothy Laboratories Ltd		968,736
	1,468,685	Kajaria Ceramics Ltd		6,887,273
	11,728,911	Lanco Infratech Ltd ^*		3,000,302
	3,038,873	LIC Housing Finance Ltd		14,855,851
	605,982	Lupin Ltd		6,582,126
	428,611	Maruti Suzuki India Ltd		11,584,962
	100,624	Shree Cement Ltd		8,106,317
	1,779,358	Sun TV Network Ltd		13,300,884
	1,173,087	Tata Motors Ltd-Class A		3,512,696
	440,224	United Spirits Ltd		16,143,501

		Total India		125,871,989


		Indonesia — 5.1%
	214,026,140	ACE Hardware Indonesia Tbk PT		16,728,907
	15,361,350	Bank Mandiri Tbk PT		13,197,741
	17,000,000	Global Mediacom Tbk PT		4,250,470


Shares		Description	Value ($)
		Indonesia — (continued)
	16,681,500	Media Nusantara Citra Tbk PT		4,640,816
	10,284,300	Modern Internasional Tbk PT ^*		835,873
	15,196,700	Semen Gresik Persero Tbk PT		23,420,506
	4,904,000	Sumber Alfaria Trijaya Tbk PT		2,705,620

		Total Indonesia		65,779,933


		Malaysia — 1.5%
	4,421,400	AMMB Holdings Berhad		9,275,660
	2,098,035	Hong Leong Bank Berhad		10,119,242

		Total Malaysia		19,394,902


		Mexico — 6.2%
	157,470	First Cash Financial Services, Inc.		7,607,376
	1,245,400	Grupo Financiero Banorte SAB de CV-Class O		7,107,382
	2,419,000	Grupo Financiero Santander Mexico SAB de CV ^*		35,341,590
	1,243,000	Grupo Televisa SAB Series CPO		5,882,733
	533,100	Grupo Televisa SAB Sponsored ADR		12,618,477
	3,928,300	Wal-Mart de Mexico SAB de CV-Class V		12,328,474

		Total Mexico		80,886,032


		Nigeria — 0.6%
	1,892,697	Nestle Nigeria Plc		7,810,651


		Panama — 2.1%
	291,800	Copa Holdings SA-Class A		27,674,312


		Philippines — 7.7%
	10,184,764	BDO Unibank Inc ^*		17,823,418
	17,901,950	First Gen Corp ^*		10,069,305
	2,592,370	GT Capital Holdings Inc		37,833,235
	4,126,250	Metropolitan Bank & Trust Co		10,083,354
	105,924	Philippine Long Distance Telephone Co		6,697,021
	33,350	Philippine Long Distance Telephone Co Sponsored ADR		2,075,037
	16,480,000	Philweb Corp		5,612,107
	12,720,345	Puregold Price Club Inc		10,006,725

		Total Philippines		100,200,202


		Russia — 2.7%
	38,100	Magnit OJSC Sponsored GDR		5,539,913
	660,697	Sberbank-Class S		1,947,552
	2,324,247	Sberbank Sponsored ADR		27,553,379

		Total Russia		35,040,844


		South Africa — 3.5%
	360,808	Aspen Pharmacare Holdings Ltd ^*		6,347,821
	2,711,238	Cipla Medpro South Africa Ltd		2,663,674
	3,506,277	Growthpoint Properties Ltd		9,674,558
	654,138	JSE Ltd		5,255,271
	352,707	Mr Price Group Ltd		5,272,406


Shares		Description	Value ($)
		South Africa — (continued)
	72,887	Naspers Ltd-N Shares		4,499,989
	180,450	Shoprite Holdings Ltd		3,887,224
	932,598	Woolworths Holdings Ltd		7,430,807

		Total South Africa		45,031,750


		Taiwan — 2.1%
	7,634,780	Taiwan Mobile Co Ltd		27,471,718


		Thailand — 13.0%
	4,841,400	Advanced Info Service Pcl (Foreign Registered)		34,704,040
	2,338,500	Airports of Thailand Pcl (Foreign Registered)		7,159,376
	1,571,975	Bangkok Dusit Medical Service Pcl (Foreign Registered)		5,737,179
	6,244,600	Bank of Ayudhya Pcl (Foreign Registered) ^(a)		6,659,322
	4,191,900	Charoen Pokphand Foods Pcl (Foreign Registered)		4,471,659
	3,125,900	CP ALL Pcl (Foreign Registered)		4,021,196
	791,500	Electricity Generating Pcl (Foreign Registered)		3,247,867
	90,542,800	Hemaraj Land and Development Pcl (Foreign Registered) ^(a)		9,379,718
	24,947,143	Home Product Center Pcl (Foreign Registered)		9,299,316
	30,440,100	Jasmine International Pcl (Foreign Registered)		5,058,472
	2,668,105	Kasikornbank Pcl NVDR		16,253,718
	3,076,300	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) ^(a)		5,412,844
	1,732,800	Ratchaburi Electricity Generating Holding Pcl NVDR		3,050,400
	1,728,000	Robinson Department Store Pcl (Foreign Registered)		3,406,165
	5,572,500	Shin Corp Pcl (Foreign Registered)		11,712,228
	520,600	Siam Cement Pcl NVDR		6,698,500
	344,900	Siam Makro Pcl (Foreign Registered)		5,434,947
	6,198,100	Total Access Communication Pcl NVDR		17,706,888
	9,086,800	TPI Polene Pcl (Foreign Registered)		4,439,292
	1,566,900	VGI Global Media Pcl (Foreign Registered) ^*		4,492,903

		Total Thailand		168,346,030


		Turkey — 3.9%
	1,438,735	Anadolu Hayat Emeklilik AS		3,360,009
	109,813	BIM Birlesik Magazalar AS		4,990,932
	631,559	Bizim Toptan Satis Magazalari AS		9,187,459
	4,357,402	Dogus Otomotiv Servis ve Ticaret AS		17,807,558
	71,416	Turk Traktor ve Ziraat Makineleri AS		1,786,392
	2,863,986	Turkiye Garanti Bankasi		13,590,335

		Total Turkey		50,722,685


Shares / Par Value		Description	Value ($)
		United Kingdom — 11.6%
	479,829	British American Tobacco Plc		25,205,882
	1,967,101	Diageo Plc		58,673,150
	1,741,591	Unilever Plc		66,825,218

		Total United Kingdom		150,704,250


		United States — 7.6%
	405,600	Colgate–Palmolive Co.		44,007,600
	50,300	Cummins, Inc.		4,937,448
	134,400	Mead Johnson Nutrition Co.		9,164,736
	595,900	Yum! Brands Inc.		39,972,971

		Total United States		98,082,755


		TOTAL COMMON STOCKS (COST $1,089,174,165)		1,204,401,651


		INVESTMENT FUNDS — 2.8%

		Thailand — 0.3%
	8,695,800	CPN Commercial Growth Leasehold Property Fund ^*		3,598,458


		United States — 2.5%
	772,361	Vanguard Emerging Markets ETF ^(b)		32,470,056

		TOTAL INVESTMENT FUNDS (COST $35,165,251)		36,068,514


		DEBT OBLIGATIONS — 0.5%

		India — 0.5%
	4,750,000	Jaiprakash Associates Ltd, 5.75%, due 09/08/17		6,087,309


		TOTAL DEBT OBLIGATIONS (COST $5,390,132)		6,087,309


		MUTUAL FUNDS — 2.7%

		United States — 2.7%
		Affiliated Issuers — 2.7%
	1,412,130	GMO U.S. Treasury Fund		35,303,239


		TOTAL MUTUAL FUNDS (COST $35,303,239)		35,303,239


		SHORT-TERM INVESTMENTS — 0.9%

		Time Deposits — 0.9%
USD	1,800,000	Bank of New York Mellon (New York) Time Deposit, 0.07%, due 12/03/12		1,800,000
USD	1,800,000	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.07%, due 12/03/12		1,800,000
USD	1,800,000	Barclays (London) Time Deposit, 0.07%, due 12/03/12		1,800,000


Par Value		Description	Value ($)
		Time Deposits — continued
GBP	12	Brown Brothers Harriman (Grand Cayman) Time Deposit, 0.07%, due 12/03/12		19
ZAR	820,752	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 12/03/12		92,319
USD	1,800,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		1,800,000
USD	1,800,000	Deustche Bank (Frankfurt) Time Deposit, 0.07%, due 12/03/12		1,800,000
USD	1,025,252	DnB Nor Bank (Oslo) Time Deposit, 0.07%, due 12/03/12		1,025,252
USD	1,800,000	Royal Bank of Canada (Toronto) Time Deposit, 0.07%, due 12/03/12		1,800,000

		Total Time Deposits		11,917,590


		TOTAL SHORT-TERM INVESTMENTS (COST $11,917,590)		11,917,590


		TOTAL INVESTMENTS — 99.7% (Cost $1,176,950,377)		1,293,778,303
		Other Assets and Liabilities (net) — 0.3%		3,356,982

		TOTAL NET ASSETS — 100.0%		$1,297,135,285

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.

ETF - Exchange-Traded Fund

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

*	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.

(b)	Represents an investment to equitize cash. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

Currency Abbreviations:

GBP - British Pound

USD - United States Dollar

ZAR - South African Rand

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 89.5%

		Brazil — 6.5%
	642,200	Anhanguera Educacional Participacoes SA		9,698,518
	12,676,500	Banco do Brasil SA		129,980,398
	778,100	Banco Santander Brasil SA		5,280,068
	5,316,100	Banco Santander Brasil SA ADR		35,564,709
	3,731,400	BM&FBOVESPA SA		22,421,928
	1,204,400	BR Malls Participacoes SA		15,472,099
	558,900	BR Properties SA		6,591,295
	951,000	Brasil Brokers Participacoes SA		2,861,723
	370,158	Brookfield Incorporacoes SA ^*		571,659
	2,065,500	Brookfield Incorporacoes SA		3,189,887
	1,680,070	Centrais Eletricas Brasileiras SA Sponsored ADR		6,149,056
	6,200	Cia de Bebidas das Americas ADR		225,494
	304,502	Cia de Saneamento Basico do Estado de Sao Paulo		12,326,574
	37,800	Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,075,786
	2,671,660	Cielo SA		69,579,689
	242,060	Companhia de Bebidas das Americas		8,801,976
	356,900	Companhia de Saneamento de Minas Gerais-Copasa MG		7,516,146
	305,000	Cosan SA Industria e Comercio		5,608,129
	1,094,900	Cyrela Brazil Realty SA		9,130,999
	599,000	Duratex SA		4,134,804
	1,996,992	Electrobras (Centro)		7,149,471
	804,200	Fleury SA		8,656,215
	3,422,665	Gerdau SA		23,722,234
	396,200	Localiza Rent a Car SA		6,591,590
	2,494,500	MRV Engenharia e Participacoes SA		13,203,292
	544,200	Multiplan Empreendimentos Imobiliarios SA		15,026,114
	1,384,200	Multiplus SA		32,065,659
	9,308,000	PDG Realty SA Empreendimentos e Participacoes		13,111,700
	1,937,790	Petroleo Brasileiro SA (Petrobras) ADR		34,822,086
	1,959,100	Qualicorp SA ^*		19,024,394
	2,551,300	Rossi Residencial SA		4,871,445
	1,081,800	Ultrapar Participacoes SA		22,275,927
	130,600	Ultrapar Participacoes SA Sponsored ADR		2,685,136
	1,723,800	Vale SA		30,332,684
	5,119,400	Vale SA Sponsored ADR		89,231,142

		Total Brazil		680,950,026


		Chile — 0.4%
	936,481	Empresa National de Telecomunicaciones SA		19,276,769
	2,567,849	Empresas CMPC SA		9,364,814
	691,995	Empresas COPEC SA		9,568,077
	55,632,106	Madeco SA		2,082,083

		Total Chile		40,291,743


		China — 16.1%
	3,868,000	Agile Property Holdings Ltd		5,208,589
	20,991,000	Agricultural Bank of China Ltd - Class H		9,231,758


Shares		Description	Value ($)
		China — (continued)
	374,681	Baidu Inc Sponsored ADR ^*		36,085,527
	134,785,640	Bank of China Ltd - Class H		56,849,672
	21,517,203	Bank of Communications Co Ltd - Class A		14,626,380
	10,597,480	Bank of Communications Co Ltd - Class H		7,719,229
	91,000	Changsha Zoomlion Heavy Industry Science and Technology Development Co Ltd - Class H		116,982
	24,513,000	China CITIC Bank Corp - Class H		12,579,045
	19,217,700	China Coal Energy Co Ltd - Class H		19,355,563
	34,659,700	China Communication Services Corp Ltd - Class H		19,631,566
	36,842,150	China Communications Construction Co Ltd - Class H		33,540,328
	17,969,856	China Construction Bank - Class A		11,996,396
	68,304,000	China Construction Bank - Class H		52,336,664
	12,454,000	China Eastern Airlines Corp Ltd - Class H ^*		4,255,517
	10,440,000	China Everbright Ltd		15,132,356
	2,324,988	China Life Insurance Co Ltd - Class A		6,563,717
	17,354,000	China Life Insurance Co Ltd - Class H		50,857,305
	124,600	China Life Insurance Co Ltd ADR		5,499,844
	2,338,000	China Merchants Bank Co Ltd - Class H		4,466,944
	8,887,000	China Minsheng Banking Corp Ltd		8,733,403
	29,651,737	China Mobile Ltd		337,742,394
	726,600	China Mobile Ltd Sponsored ADR		41,358,072
	2,091,290	China Ocean Resources Co Ltd		5,974,904
	4,218,000	China Oilfield Services Ltd - Class H		8,399,434
	8,658,400	China Overseas Land & Investment Ltd		25,685,639
	3,560,800	China Pacific Insurance Group Co Ltd		11,664,166
	3,288,927	China Pacific Insurance Group Co Ltd - Class A		8,888,950
	78,723,351	China Petroleum & Chemical Corp - Class H		83,279,385
	1,063,000	China Railway Construction Corp Ltd - Class A		919,629
	28,151,000	China Railway Construction Corp Ltd - Class H		31,405,437
	72,950,000	China Railway Group Ltd - Class H		42,336,376
	1,390,000	China Resources Land Ltd		3,728,946
	5,558,942	China Shenhua Energy Co Ltd - Class A		19,414,706
	4,098,000	China Shenhua Energy Co Ltd - Class H		16,779,536
	14,930,000	China Southern Airlines Co Ltd - Class H		6,644,567
	132,090,800	China Telecom Corp Ltd - Class H		71,840,236
	25,500	China Telecom Corp Ltd ADR		1,385,415
	922,000	China Unicom Hong Kong Ltd		1,434,647
	467,600	China Unicom Hong Kong Ltd ADR		7,261,828
	9,872,000	China Yurun Food Group Ltd ^*		6,151,803
	4,186,600	Chow Tai Fook Jewellery Group Ltd		6,106,611
	16,486,500	Citic Pacific Ltd		20,950,038
	610,994	CITIC Securities Co Ltd - Class A		982,080
	43,811,000	CNOOC Ltd		93,114,904
	33,420	CNOOC Ltd ADR		7,123,807
	9,186,000	Datang International Power Generation Co Ltd		3,205,797
	7,642,000	Dongfeng Motor Group Co Ltd - Class H		10,736,193


Shares		Description	Value ($)
		China — (continued)
	25,263,000	Evergrande Real Estate Group Ltd		12,608,037
	992,000	Galaxy Entertainment Group Ltd ^*		3,774,237
	5,760,000	Great Wall Motor Co Ltd - Class H		18,984,735
	13,802,440	Hopson Development Holdings Ltd ^*		21,434,059
	22,620,981	Industrial and Commercial Bank of China Ltd - Class A		14,101,626
	159,995,350	Industrial and Commercial Bank of China Ltd - Class H		107,912,365
	8,312,000	Kunlun Energy Company Ltd		16,918,386
	245,400	Netease.Com Inc ADR ^*		10,763,244
	14,881,200	Nine Dragons Paper Holdings Ltd		10,944,510
	6,356,172	Peace Mark Holdings Ltd ^{* (a) (b)}		—
	27,345,121	PetroChina Co Ltd - Class H		36,343,314
	39,000	PetroChina Co Ltd ADR		5,192,850
	18,756,800	PICC Property & Casualty Co Ltd - Class H		24,169,715
	1,014,855	Ping An Insurance (Group) Co of China Ltd - Class A		5,944,753
	4,116,540	Ping An Insurance (Group) Co of China Ltd - Class H		31,060,320
	8,352,000	Poly Property Group Co Ltd ^*		5,773,575
	9,239,000	Shimao Property Holdings Ltd		18,706,476
	153,300	Sohu.com, Inc. ^*		6,105,939
	19,524,500	Sun Art Retail Group Ltd		29,928,125
	362,700	Tencent Holdings Ltd		11,803,880
	676,784	Weichai Power Co Ltd - Class A		2,402,270
	4,014,320	Weichai Power Co Ltd - Class H		15,100,033
	25,600,000	Yangzijiang Shipbuilding Holdings Ltd		19,576,575
	754,264	Yantai Changyu Pioneer Wine Co Ltd		3,798,343
	12,130,000	Yanzhou Coal Mining Co Ltd - Class H		18,608,090
	38,800	Yanzhou Coal Mining Co Ltd Sponsored ADR		596,356

		Total China		1,701,854,098


		Czech Republic — 1.7%
	2,904,134	CEZ AS		96,459,485
	277,830	Komercni Banka AS		55,457,800
	250,964	Pegas Nonwovens SA		6,014,469
	10,204	Philip Morris CR AS		5,629,154
	638,981	Telefonica 02 Czech Republic AS		11,389,404

		Total Czech Republic		174,950,312


		Egypt — 1.6%
	1,385,143	Alexandria Mineral Oils Co		15,895,076
	8,813,469	Arab Cotton Ginning		4,551,409
	5,969,285	Commercial International Bank		31,382,316
	2,074,504	ElSwedy Electric Co		7,245,429
	476,186	Orascom Construction Industries ^*		17,059,391
	42,104	Orascom Construction Industries GDR ^*		1,573,748
	10,191,993	Orascom Telecom Holding SAE ^*		5,710,206
	9,701,501	Orascom Telecom Holding SAE GDR (Registered Shares) ^*		27,857,909
	52,040,141	Orascom Telecom Media And Technology Holding SAE		4,345,509


Shares		Description	Value ($)
		Egypt — (continued)
	4,510,093	Orascom Telecom Media and Technology Holding SAE GDR		1,975,421
	13,749,229	Palm Hills Developments SAE ^*		4,394,124
	7,232,278	Sidi Kerir Petrochemicals Co		14,508,095
	10,758,577	South Valley Cement ^*		6,943,921
	15,699,258	Talaat Moustafa Group ^*		10,088,681
	9,825,490	Telecom Egypt		20,131,955

		Total Egypt		173,663,190


		Hungary — 0.2%
	4,460,169	Magyar Telekom Nyrt		8,107,474
	78,339	MOL Hungarian Oil and Gas PLC		6,648,264
	414,376	OTP Bank Nyrt		7,810,187

		Total Hungary		22,565,925


		India — 7.3%
	1,527,996	Aban Offshore Ltd		10,721,368
	1,604,887	Adani Enterprises Ltd		7,129,504
	49,570	Asian Paints Ltd		3,945,172
	2,615,477	Aurobindo Pharma Ltd		9,028,794
	198,266	Bajaj Holdings and Investment Ltd		3,150,342
	161,019	Bayer Cropscience Ltd		3,827,495
	4,716,590	Bharat Heavy Electricals Ltd		20,284,215
	196,706	Cadila Healthcare Ltd		3,027,376
	5,403,669	Cairn India Ltd		32,761,136
	2,573,479	Canara Bank Ltd		22,075,797
	1,412,389	Cipla Ltd		10,767,283
	306,771	Colgate-Palmolive India Ltd		8,136,565
	8,219,475	Dena Bank		16,780,691
	516,405	Dewan Housing Finance Corp Ltd		1,907,357
	1,376,168	Exide Industries Ltd		3,602,148
	123,157	Federal Bank Ltd		1,097,166
	3,255,242	GAIL India Ltd		21,054,372
	1,069,719	Gitanjali Gems Ltd		9,753,163
	52,761	Glaxo SmithKline Consumer Healthcare Ltd		3,575,758
	358,482	Grasim Industries Ltd ^(b)		23,262,603
	786,564	HCL Technologies Ltd		9,370,544
	244,370	HDFC Bank Ltd		3,152,194
	292,200	HDFC Bank Ltd ADR		12,307,464
	5,460,054	Hexaware Technologies Ltd		10,981,184
	9,471,865	Hindalco Industries Ltd		20,247,073
	4,889,072	Housing Development & Infrastructure Ltd ^*		10,137,744
	367,363	HSIL Ltd		888,113
	583,006	ICICI Bank Ltd		11,709,448
	129,900	ICICI Bank Ltd Sponsored ADR		5,324,601
	139,423	Infosys Technologies Ltd		6,235,478
	770,290	Infosys Technologies Ltd Sponsored ADR		34,239,390
	312,855	JSW Steel Ltd		4,267,948
	607,556	Jyothy Laboratories Ltd		2,066,200
	641,276	Kajaria Ceramics Ltd		3,007,209
	1,080,325	Kiri Industries Ltd ^{* (c)}		229,146


Shares		Description	Value ($)
		India — (continued)
	840,637	Kotak Mahindra Bank Ltd		10,337,274
	15,595,425	Lanco Infratech Ltd ^*		3,989,372
	723,932	Larsen & Toubro Ltd		22,131,928
	1,841,879	LIC Housing Finance Ltd		9,004,220
	347,339	Lupin Ltd		3,772,767
	563,831	Mahindra & Mahindra Ltd		9,839,717
	203,028	Maruti Suzuki India Ltd		5,487,660
	1,562,101	Mphasis Ltd		11,124,760
	2,996,840	NTPC Ltd		8,926,627
	7,171,255	Oil & Natural Gas Corp Ltd		34,922,020
	3,837,296	Power Grid Corp of India Ltd		8,346,255
	1,072,303	Punjab National Bank Ltd ^(b)		15,957,923
	244,313	Reliance Industries Ltd		3,559,256
	3,951,629	Rural Electrification Corp Ltd		16,736,415
	21,104,554	Satyam Computer Services Ltd ^*		39,388,383
	7,858,080	Sesa Goa Ltd		26,297,787
	45,462	Shree Cement Ltd		3,662,440
	16,956,490	Shree Renuka Sugars Ltd ^*		9,720,312
	2,855	Shriram Transport Finance Co Ltd		35,201
	5,784,956	Sintex Industries Ltd		6,759,692
	354,061	State Bank of India		14,126,833
	8,637,152	Sterlite Industries India Ltd		17,127,102
	562,700	Sterlite Industries India Ltd ADR		4,439,703
	1,193,880	Sun TV Network Ltd		8,924,376
	1,255,716	Tata Consultancy Services Ltd		30,444,399
	3,954,295	Tata Motors Ltd		19,940,048
	3,123,853	Tata Motors Ltd - Class A		9,354,078
	235,400	Tata Motors Ltd Sponsored ADR		5,901,478
	4,644,400	Tata Power Co Ltd		9,226,765
	1,499,995	Tata Steel Ltd		10,653,712
	133,348	Torrent Pharmaceuticals Ltd		1,649,529
	2,536,505	Union Bank of India		11,301,749
	448,696	United Spirits Ltd		16,454,179
	3,625,182	Welspun Corp Ltd		7,058,666
	669,525	Wipro Ltd		4,825,752

		Total India		771,480,419


		Indonesia — 5.5%
	135,511,000	ACE Hardware Indonesia Tbk PT		10,591,935
	221,804,500	Astra International Tbk PT		167,402,198
	93,341,275	Bakrie Telecom Tbk PT ^*		485,706
	9,646,168	Bank Danamon Indonesia Tbk PT		5,429,825
	64,226,202	Bank Mandiri Tbk PT		55,180,097
	61,951,000	Bank Rakyat Indonesia Persero Tbk PT		45,464,894
	58,603,000	Gajah Tunggal Tbk PT		13,423,907
	79,683,500	Global Mediacom Tbk PT		19,923,079
	7,988,500	Harum Energy Tbk PT		4,157,903
	17,635,550	Indofood Sukses Makmur Tbk PT		10,753,090
	178,901,500	Kalbe Farma Tbk PT		19,202,603
	11,661,500	Matahari Putra Prima Tbk PT		1,616,698
	76,505,525	Media Nusantara Citra Tbk PT		21,283,940
	122,555,000	Perusahaan Gas Negara PT		57,780,642
	22,095,500	Semen Gresik Persero Tbk PT		34,052,643


Shares		Description	Value ($)
		Indonesia — (continued)
	2,536,500	Sumber Alfaria Trijaya Tbk PT		1,399,430
	2,258,150	Tambang Batubara Bukit Asam Tbk PT		3,290,103
	68,330,000	Telekomunikasi Indonesia Tbk PT		64,437,330
	834,200	Telekomunikasi Indonesia Tbk PT Sponsored ADR		31,732,968
	5,082,612	United Tractors Tbk PT		9,016,322

		Total Indonesia		576,625,313


		Kazakhstan — 0.2%
	916,090	KazMunaiGas Exploration Production GDR (Registered Shares)		17,150,245


		Malaysia — 0.4%
	10,715,030	AMMB Holdings Berhad		22,479,074
	3,490,236	Hong Leong Bank Berhad		16,834,106
	24,581,583	Lion Industries Corp Berhad		7,398,727

		Total Malaysia		46,711,907


		Mexico — 3.1%
	39,517,700	America Movil SAB de CV - Class L		46,656,946
	5,004,600	America Movil SAB de CV - Class L ADR		118,058,514
	7,105,946	Corporaction GEO SAB de CV - Series B ^*		8,252,346
	83,500	First Cash Financial Services, Inc.		4,033,885
	621,400	Fomento Economico Mexicano SA de CV		6,073,489
	96,600	Fomento Economico Mexicano Sponsored ADR		9,474,528
	3,733,300	Gruma SAB de CV - Series B ^*		10,564,759
	2,635,300	Grupo Financiero Banorte SAB de CV - Class O		15,039,413
	4,253,400	Grupo Financiero Santander Mexico SAB de CV ^*		62,142,174
	1,425,200	Grupo Televisa SAB Series CPO		6,745,029
	676,300	Grupo Televisa SAB Sponsored ADR		16,008,021
	6,682,200	Wal-Mart de Mexico SAB de CV - Class V		20,971,241

		Total Mexico		324,020,345


		Morocco — 0.1%
	775,677	Maroc Telecom		10,170,627


		Nigeria — 0.0%
	1,024,096	Nestle Nigeria Plc		4,226,169


		Panama — 0.1%
	147,400	Copa Holdings SA - Class A		13,979,416


		Philippines — 2.6%
	16,714,300	Alliance Global Group Inc		6,663,786
	2,117,180	Bank of the Philippine Islands		4,625,480
	17,114,615	BDO Unibank Inc ^*		29,950,712
	24,661,000	First Gen Corp ^*		13,871,067
	1,315,980	GT Capital Holdings Inc		19,205,507
	97,124,900	Lopez Holding Corp		14,891,090
	13,302,732	Metropolitan Bank & Trust Co		32,508,003
	1,073,470	Philippine Long Distance Telephone Co		67,869,903


Shares		Description	Value ($)
		Philippines — (continued)
	617,700	Philippine Long Distance Telephone Co Sponsored ADR		38,433,294
	33,866,660	Puregold Price Club Inc		26,641,915
	1,620,041	San Miguel Corp		4,320,817
	8,674,280	Universal Robina Corp		16,373,570

		Total Philippines		275,355,144


		Poland — 2.9%
	716,719	Asseco Poland SA		9,888,345
	187,236	Bank Pekao SA		9,378,031
	33,923,131	Boryszew SA ^*		5,497,561
	3,717,821	KGHM Polska Miedz SA		210,958,151
	1,679,796	Powszechna Kasa Oszczednosci Bank Polski SA		18,561,652
	238,614	Powszechny Zaklad Ubezpieczen SA		29,914,274
	3,384,772	Synthos SA		6,131,637
	8,228,446	Tauron Polska Energia SA		11,306,800
	1,570,210	Telekomunikacja Polska SA		5,890,136

		Total Poland		307,526,587


		Russia — 11.7%
	10,732,160	Aeroflot - Russian Airlines		14,889,337
	173,805	Bashneft OAO - Class S		9,759,194
	614,763	Cherepovets MK Severstal GDR (Registered Shares)		6,997,181
	1,887,430	Gazprom Neft - Class S		8,592,421
	529,009	Gazprom Neft JSC Sponsored ADR		12,132,775
	36,998,082	Gazprom OAO Sponsored ADR		329,347,343
	4,358,419	Lukoil OAO Sponsored ADR		274,663,974
	148,553	Magnit OJSC		21,600,283
	2,798,870	Mechel Sponsored ADR		17,073,107
	2,368,053	MMC Norilsk Nickel JSC ADR		37,565,398
	1,063,000	Mobile Telesystems OJSC		7,968,266
	437,000	NovaTek OAO		4,692,763
	396,539	Novolipetsk Steel GDR (Registered Shares)		7,877,044
	10,150,745	Rosneft OJSC GDR (Registered)		79,323,200
	4,318,383	Rostelecom		15,217,973
	135,000	RUSIA Petroleum - Class S ^{* (b)}		1,350
	13,450,342	Sberbank Sponsored ADR		159,450,509
	8,223,275	Sistema JSFC		6,567,716
	18,272	Sistema JSFC Sponsored GDR (Registered Shares)		346,546
	8,836,419	Surgutneftegas Sponsored ADR		74,571,044
	2,056,733	Tatneft Sponsored ADR		81,543,238
	8,028,240	TNK-BP Holding - Class S		15,735,101
	463,445	Uralkali Sponsored GDR (Registered Shares)		17,193,354
	455,900	VimpelCom Ltd Sponsored ADR		4,823,422
	1,081,484	Volga Gas Plc ^*		1,473,015
	6,234,787	VTB Bank OJSC GDR (Registered Shares)		20,808,689

		Total Russia		1,230,214,243


Shares		Description	Value ($)
		South Africa — 3.5%
	970,342	Absa Group Ltd		15,492,361
	864,238	Aspen Pharmacare Holdings Ltd		15,204,842
	1,485,949	Blue Label Telecoms Ltd		1,248,895
	171,950	Cipla Medpro South Africa Ltd		168,933
	636,714	Exxaro Resources Ltd		11,059,549
	8,313,716	FirstRand Ltd		27,142,755
	4,492,966	Growthpoint Properties Ltd		12,397,041
	832,688	Imperial Holdings Ltd		17,649,752
	3,763,507	Investec Ltd		23,137,438
	380,274	JSE Ltd		3,055,078
	201,717	Mr Price Group Ltd		3,015,347
	2,890,495	MTN Group Ltd		53,228,580
	267,507	Naspers Ltd - N Shares		16,515,682
	1,024,488	Remgro Ltd		17,236,443
	3,403,749	RMB Holdings Ltd		14,994,812
	633,817	Sasol Ltd		26,710,731
	83,900	Sasol Ltd Sponsored ADR		3,553,165
	552,389	Shoprite Holdings Ltd		11,899,474
	13,988,325	Steinhoff International Holdings Ltd ^*		43,073,439
	4,898,310	Telkom South Africa Ltd ^*		8,538,004
	244,416	Tiger Brands Ltd		8,226,386
	333,369	Vodacom Group Ltd		4,461,294
	1,011,996	Wilson Bayly Holmes-Ovcon Ltd		16,285,634
	1,362,902	Woolworths Holdings Ltd		10,859,407

		Total South Africa		365,155,042


		South Korea — 9.8%
	111,537	Cheil Industries Inc		9,863,255
	558,160	DGB Financial Group Inc		6,971,320
	111,765	Dong-A Pharmaceutical Co Ltd		11,095,188
	289,126	Edu Ark Co Ltd ^{* (b)}		—
	412,037	GS Holdings Corp		27,179,771
	1,513,229	Hana Financial Group Inc		47,067,404
	441,810	Hanjin Shipping Co Ltd ^*		4,311,074
	229,470	Hankook Tire Co Ltd		3,159,399
	875,995	Hanwha Corp		25,789,523
	66,611	Hyosung Corp		4,181,074
	105,355	Hyundai Heavy Industries Co Ltd		20,576,479
	91,966	Hyundai Mobis		24,279,148
	188,842	Hyundai Motor Co		39,350,049
	295,396	Hyundai Steel Co		21,938,423
	2,924,254	Industrial Bank of Korea		31,085,486
	1,620,400	KB Financial Group Inc		53,430,973
	137,000	KB Financial Group Inc ADR		4,503,190
	704,767	Kia Motors Corp		40,272,048
	952,884	KleanNara Co Ltd ^*		3,802,974
	241,320	Kolon Corp		3,712,027
	97,494	Kolon Industries Inc		5,317,693
	5,446,303	Korea Exchange Bank ^*		36,703,895
	33,181	Korea Zinc Co Ltd		13,374,741
	1,446,416	KT Corp		50,159,022
	1,190,900	KT Corp Sponsored ADR		20,495,389


Shares		Description	Value ($)
		South Korea — (continued)
	55,410	LG Chem Ltd		15,983,608
	1,341,518	LG Uplus Corp		9,255,250
	39,036	OCI Company Ltd		5,445,361
	142,030	Poongsan Corp		4,446,557
	299,033	POSCO		89,286,899
	59,500	POSCO ADR		4,426,205
	22,522	Samsung Fire & Marine Insurance Co Ltd		4,549,503
	170,958	Samsung Life Insurance Co Ltd		14,683,260
	125,164	Samsung Techwin Co Ltd		6,713,364
	224,840	Samsung Card Co		7,549,124
	76,720	Samsung Electronics Co Ltd		99,726,212
	1,025,037	Shinhan Financial Group Co Ltd		32,863,487
	529,530	SK Innovation Co Ltd		81,135,988
	312,916	SK Telecom Co Ltd		43,328,967
	1,890,300	SK Telecom Co Ltd ADR		28,864,881
	125,098	SK Holdings Co Ltd		20,762,261
	1,978,741	Tong Yang Securities Inc		7,046,703
	5,072,790	Woori Finance Holdings Co Ltd		47,653,711

		Total South Korea		1,032,340,886


		Sri Lanka — 0.1%
	27,986,667	Anilana Hotel & Properties ^{(b) (d)}		1,612,755
	5,606,231	Hatton National Bank Plc		6,167,875

		Total Sri Lanka		7,780,630


		Taiwan — 5.5%
	2,996,600	Advantech Co Ltd		11,195,335
	1,024,070	Asustek Computer Inc		11,305,777
	35,896,000	AU Optronics Corp ^*		15,171,084
	17,993,952	Chinatrust Financial Holding Co Ltd		10,437,152
	12,306,449	Chunghwa Telecom Co Ltd		39,800,024
	58,632,311	Compal Electronics Inc		39,695,592
	7,745,000	Delta Electronics Inc		27,755,922
	4,307,000	Elan Microelectronics Corp		6,697,059
	18,145,994	Far Eastone Telecommunications Co Ltd		45,454,397
	14,022,000	Fubon Financial Holding Co Ltd		15,933,357
	12,836,743	Hon Hai Precision Industry Co Ltd		41,217,758
	1,027,000	Hotai Motor Company Ltd		7,610,508
	19,589,480	Innolux Display Corp ^*		8,775,761
	11,733,740	Lite-On Technology Corp		16,044,184
	2,049,658	Novatek Microelectronics Corp Ltd		8,255,095
	8,863,749	Powertech Technology Inc		13,146,464
	18,262,290	Quanta Computer Inc		45,941,745
	3,536,000	Ruentex Development Co Ltd		6,740,851
	60,934,530	Taishin Financial Holding Co Ltd		23,189,263
	13,915,676	Taiwan Mobile Co Ltd		50,071,846
	15,474,044	Taiwan Semiconductor Manufacturing Co Ltd		52,578,632
	738,000	TPK Holding Co Ltd		11,792,954
	24,764,000	United Microelectronics Corp		9,567,641
	1,119,400	United Microelectronics Corp Sponsored ADR		2,138,054
	41,225,272	Wistron Corp		45,272,174


Shares		Description	Value ($)
		Taiwan — (continued)
	5,870,170	Yungtay Engineering Co Ltd		11,027,974

		Total Taiwan		576,816,603


		Thailand — 4.8%
	7,909,990	Advanced Info Service Pcl (Foreign Registered)		56,700,254
	5,302,305	Airports of Thailand Pcl (Foreign Registered)		16,233,139
	753,800	Bangchak Petroleum Pcl		699,647
	18,621,365	Bangchak Petroleum Pcl		17,283,607
	10,401,986	Bangkok Dusit Medical Service Pcl (Foreign Registered)		37,963,746
	21,482,200	Bank of Ayudhya Pcl (Foreign Registered) ^(b)		22,908,895
	2,083,450	Banpu Pcl (Foreign Registered)		26,792,066
	71,050	Banpu Pcl NVDR		913,665
	12,951,800	Charoen Pokphand Foods Pcl (Foreign Registered)		13,816,176
	2,765,500	CP ALL Pcl (Foreign Registered)		3,557,573
	8,902,250	Electricity Generating Pcl (Foreign Registered)		36,529,781
	53,800	Electricity Generating Pcl NVDR		220,765
	8,585,085	Glow Energy Pcl (Foreign Registered)		20,278,574
	51,981,800	Hemaraj Land and Development Pcl (Foreign Registered) ^(b)		5,385,018
	14,424,871	Home Product Center Pcl (Foreign Registered)		5,377,026
	20,937,100	Jasmine International Pcl		3,479,283
	2,410,920	Kasikornbank Pcl (Foreign Registered) ^(b)		14,686,984
	3,205,200	Kasikornbank Pcl NVDR		19,525,625
	15	Krung Thai Bank Pcl (Foreign Registered)		9
	7,286,870	PTT Pcl (Foreign Registered)		75,947,768
	2,282,462	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) ^(b)		4,016,062
	2,127,938	Ratchaburi Electricity Generating Holding Pcl NVDR		3,745,831
	3,247,038	Robinson Department Store Pcl (Foreign Registered)		6,400,432
	11,889,300	Saha Pathana Inter-Holding Pcl (Foreign Registered)		10,848,499
	60,696,585	Sansiri PCL		7,040,725
	3,599,300	Shin Corp Pcl (Foreign Registered)		7,564,975
	28	Siam Cement Pcl (Foreign Registered) ^(b)		370
	876,200	Siam Cement Pcl NVDR		11,273,964
	465,900	Siam Makro Pcl (Foreign Registered)		7,341,669
	3,108,050	Star Block Co Ltd (Foreign Registered) ^{* (a) (b) (c)}		—
	4,579,019	Thai Oil Pcl (Foreign Registered)		9,840,721
	450,800	Thai Oil Pcl NVDR		968,809
	51,805,702	Thai Tap Water Supply Pcl (Foreign Registered)		13,680,503
	6,991,600	Thanachart Capital Pcl		8,144,337
	3,395,200	Total Access Communication Pcl (Foreign Registered) ^(b)		9,727,771
	3,124,210	Total Access Communication Pcl NVDR		8,925,322


Shares		Description	Value ($)
		Thailand — (continued)
	24,774,476	TPI Polene Pcl (Foreign Registered)		12,103,395
	1,201,200	VGI Global Media Pcl (Foreign Registered) ^*		3,444,301

		Total Thailand		503,367,287


		Turkey — 4.6%
	2,966,761	Aksa Akrilik Kimya Sanayii		7,953,915
	875,196	Anadolu Hayat Emeklilik AS		2,043,925
	2,664,360	Arcelik AS		16,171,370
	10,773,127	Asya Katilim Bankasi AS ^*		11,816,743
	3,526,340	Aygaz AS		17,194,936
	277,716	BIM Birlesik Magazalar AS		12,622,017
	329,316	Bizim Toptan Satis Magazalari AS		4,790,649
	9,346,753	Dogus Otomotiv Servis ve Ticaret AS		38,197,726
	10,460,616	Eregli Demir ve Celik Fabrikalari TAS		13,164,248
	1,328,306	Ford Otomotiv Sanayi AS		13,604,880
	1,360,979	Haci Omer Sabanci Holding AS		7,024,904
	7,390,502	Ihlas Holding AS ^*		5,336,208
	5,608,661	Ipek Dogal Enerji Kaynaklari Ve Uretim AS ^*		18,640,721
	5,879,192	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS - Class A		4,406,115
	17,909,451	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS - Class D		11,926,972
	6,730,509	Koc Holding AS		30,815,233
	4,433,180	Koza Anadolu Metal Madencilik Isletmeleri AS ^*		13,645,243
	42,150	Medya Holding AS ^{(a) (b)}		—
	2,005,765	Tofas Turk Otomobil Fabrikasi AS		12,237,418
	1,223,044	Tupras-Turkiye Petrol Rafineriler AS		32,636,633
	3,608,735	Turk Hava Yollari Anonim Ortakligi ^*		10,623,259
	5,458,290	Turk Telekomunikasyon AS		20,407,776
	110,371	Turk Traktor ve Ziraat Makineleri AS		2,760,808
	5,692,916	Turkcell Iletisim Hizmet AS ^*		34,402,723
	59,300	Turkcell Iletisim Hizmetleri AS ADR ^*		898,395
	8,337,644	Turkiye Garanti Bankasi		39,564,219
	12,841,432	Turkiye IS Bankasi - Class C		41,394,522
	7,198,538	Turkiye Sise ve Cam Fabrikalari AS		10,595,506
	9,267,892	Turkiye Vakiflar Bankasi TAO - Class D		22,458,828
	1,904,445	Turkiye Halk Bankasi AS		18,444,298
	5,438,883	Yapi ve Kredi Bankasi AS ^*		14,335,509

		Total Turkey		490,115,699


		United Kingdom — 0.4%
	211,219	British American Tobacco Plc		11,095,538
	26,900	British American Tobacco Plc Sponsored ADR		2,836,067
	836,383	Unilever Plc		32,092,194

		Total United Kingdom		46,023,799


		United States — 0.4%
	269,200	Colgate–Palmolive Co.		29,208,200


Shares		Description	Value ($)
		United States — (continued)
	287,800	Yum! Brands, Inc.		19,305,624

		Total United States		48,513,824


		TOTAL COMMON STOCKS (COST $9,325,088,732)		9,441,849,479


		PREFERRED STOCKS — 9.0%

		Brazil — 6.2%
	3,856,071	Banco Bradesco SA 0.60%		64,045,283
	645,710	Banco Bradesco SA ADR 0.63%		10,873,756
	1,228,200	Banco do Estado do Rio Grande do Sul SA - Class B 2.23%		8,713,736
	2,729,100	Bradespar SA 5.02%		36,399,920
	2,298,600	Centrais Eletricas Brasileiras SA - Class B 17.87%		10,380,705
	428,780	Centrais Eletricas Brasileiras SA ADR 17.61%		2,040,993
	479,500	Companhia de Bebidas das Americas ADR 1.68%		19,951,995
	801,600	Eletropaulo Metropolitana SA 49.99%		5,098,158
	40,700	Gerdau SA 2.04%		337,516
	4,960,000	Gerdau SA Sponsored ADR 2.13%		42,110,400
	690,500	Itau Unibanco Holding SA 0.55%		10,385,937
	6,110,150	Itau Unibanco Holding SA ADR 0.58%		92,568,773
	9,495,785	Itausa-Investimentos Itau SA 0.62%		42,795,025
	4,074,600	Klabin SA 2.19%		22,958,716
	3,579,800	Metalurgica Gerdau SA 0.87%		37,610,684
	3,432,660	Petroleo Brasileiro SA Sponsored ADR 0.67%		60,243,183
	1,501,400	Randon Participacoes SA 1.35%		8,010,090
	4,676,000	Suzano Papel e Celulose SA 3.57%		13,895,826
	129,700	Telefonica Brasil SA 4.56%		2,816,398
	600,860	Telefonica Brasil SA ADR 4.81%		13,182,868
	1,215,500	Usinas Siderrurgicas de Minas Gerais SA - Class A 0.67%		7,110,516
	507,800	Vale SA 1.83%		8,721,574
	7,736,710	Vale SA Sponsored ADR 1.93%		132,220,374

		Total Brazil		652,472,426


		Russia — 2.2%
	23,071,318	Sberbank 3.65%		49,256,618
	118,778,760	Surgutneftegaz OJSC 10.49%		74,426,771
	12,100	Surgutneftegaz Sponsored ADR 10.56%		75,625
	2,305,967	TNK BP Holding 44.59%		3,506,645
	47,874	Transneft 1.22%		101,435,348

		Total Russia		228,701,007


		South Korea — 0.6%
	162,343	Hyundai Motor Co 2.32%		11,700,962


Shares		Description	Value ($)
		South Korea — (continued)
	73,303	Samsung Electronics Co Ltd (Non-Voting) 0.66%		55,875,365

		Total South Korea		67,576,327


		TOTAL PREFERRED STOCKS (COST $1,011,588,437)		948,749,760


		INVESTMENT FUNDS — 0.5%

		China — 0.0%
	1,828	China A Share Fund Ltd (The) - Class S1 ^{* (b) (d)}		115,168
	245,374	China A Share Fund Ltd (The) - Class S2 ^{* (b) (d)}		2,256,703

		Total China		2,371,871


		India — 0.1%
	11,178	Fire Capital Mauritius Private Fund ^{* (b) (d)}		10,815,643
	1,371,900	TDA India Technology Fund II LP ^{* (b) (d)}		541,172

		Total India		11,356,815


		Poland — 0.0%
	1,749,150	Templeton EE FD ^{* (b) (d)}		218,789


		Russia — 0.1%
	7,853,357	NCH Eagle Fund LP ^{* (b) (d)}		6,544,838
	2,769	Steep Rock Russia Fund LP ^{* (b) (d)}		1,081,951

		Total Russia		7,626,789


		Thailand — 0.0%
	7,015,705	CPN Commercial Growth Leasehold Property Fund ^*		2,903,208


		Ukraine — 0.0%
	16,667	Societe Generale Thalmann Ukraine Fund ^{* (b) (d) (e)}		4,000


Shares / Par Value		Description	Value ($)
		United States — 0.3%
	731,718	Vanguard Emerging Markets ETF ^(f)		30,761,425


		TOTAL INVESTMENT FUNDS (COST $57,776,849)		55,242,897


		MUTUAL FUNDS — 0.6%

		United States — 0.6%
		Affiliated Issuers
	8,064	GMO Special Purpose Holding Fund ^(g)		4,758
	2,752,218	GMO U.S. Treasury Fund		68,805,458


		TOTAL MUTUAL FUNDS (COST $68,805,458)		68,810,216


		SHORT-TERM INVESTMENTS — 0.2%

		Time Deposits — 0.2%
ZAR	2,093,528	Brown Brothers Harriman (Grand Cayman) Time Deposit, 4.15%, due 12/03/12		235,489
EUR	261,642	Citibank (New York) Time Deposit, (0.03)%, due 12/03/12		340,278
USD	12,500,000	DBS Bank Ltd (Singapore) Time Deposit, 0.07%, due 12/03/12		12,500,000
USD	8,196,249	Royal Bank of Scotland (London) Time Deposit, 0.07%, due 12/03/12		8,196,249

		Total Time Deposits		21,272,016


		TOTAL SHORT-TERM INVESTMENTS (COST $21,272,016)		21,272,016


		TOTAL INVESTMENTS — 99.8% (Cost $10,484,531,492)		10,535,924,368
		Other Assets and Liabilities (net) — 0.2%		18,841,658


		TOTAL NET ASSETS — 100.0%		$10,554,766,026

A summary of outstanding financial instruments at November 30, 2012 is as follows:

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.

ETF - Exchange-Trade Fund

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

*	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.

(c)	Affiliated company.

(d)	Private placement securities which are restricted as to resale.

(e)	The security is currently in full liquidation.

(f)	Represents an investment to equitize cash. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

(g)	Underlying investment represents interests in defaulted claims. See “Other matters” for additional information.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

An affiliated company is a company in which the Fund has or had ownership of at least 5% of the voting securities. A summary of the Fund’s transactions involving companies that are or were affiliates during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		COMMON STOCKS — 98.0%

		Taiwan — 98.0%
	5,000	Advantech Co Ltd		18,681
	254,122	Arima Communications Corp		129,640
	104,906	Asia Cement Corp		134,940
	226,323	Asustek Computer Inc		2,498,616
	3,577,000	AU Optronics Corp ^*		1,511,783
	26,448	Catcher Technology Co Ltd		135,626
	142,356	China Life Insurance Co Ltd ^*		123,541
	182,888	China Petrochemical Development Corp		107,297
	146,897	China Steel Corp		134,485
	3,377,793	Chinatrust Financial Holding Co Ltd		1,959,244
	1,254,132	Chunghwa Telecom Co Ltd		4,055,962
	114,000	Compal Communications Inc ^*		121,876
	4,454,486	Compal Electronics Inc		3,015,802
	7,952	Compeq Manufacturing Co Ltd		3,342
	793,000	Delta Electronics Inc		2,841,891
	13,000	Dynapack International Technology Corp		50,704
	101,000	E Ink Holdings Inc		74,658
	534,000	Elan Microelectronics Corp		830,330
	1,751,767	Far Eastone Telecommunications Co Ltd		4,388,049
	5,985	First Financial Holding Co Ltd		3,658
	31,449	Flexium Interconnect Inc		128,400
	53,000	Formosa Chemicals & Fibre Co		125,580
	10,605	Formosa Petrochemical Corp		32,243
	2,076,455	Fubon Financial Holding Co Ltd		2,359,499
	19,767	Genesis Photonics Inc ^*		13,451
	56,531	Gintech Energy Corp ^*		48,413
	245,000	Grand Pacific Petrochemical Corp		126,131
	61,600	Highwealth Construction Corp		114,339
	1,265,329	Hon Hai Precision Industry Co Ltd		4,062,871
	61,000	Hotai Motor Company Ltd		452,036
	13,228	HTC Corp		121,152
	2,332,377	Innolux Display Corp ^*		1,044,866
	2,000	Largan Precision Co Ltd		54,698
	1,364,711	Lite-On Technology Corp		1,866,044
	395,151	Macronix International Co Ltd		110,865
	5,000	MediaTek Inc		56,924
	169,597	Mega Financial Holding Co Ltd		132,855
	67,180	Nan Ya Plastics Corp		118,890
	130,000	Neo Solar Power Corp ^*		75,282
	235,995	Novatek Microelectronics Corp Ltd		950,481
	13,000	Phison Electronics Corp		91,781
	922,425	Powertech Technology Inc		1,368,115
	1,021,856	Quanta Computer Inc		2,570,644
	516,000	Ruentex Development Co Ltd		983,676
	34,000	Senao International Co Ltd		114,206
	6,552,923	Taishin Financial Holding Co Ltd		2,493,782
	109,000	Taiwan Cement Corp		142,810
	9,770	Taiwan Glass Industrial Corp		9,218
	1,151,158	Taiwan Mobile Co Ltd		4,142,135
	1,281,190	Taiwan Semiconductor Manufacturing Co Ltd		4,353,304


Shares / Par Value		Description	Value ($)
		Taiwan — continued
	81,358	TPK Holding Co Ltd		1,300,069
	32,340	TSRC Corp		69,920
	30,000	Ubright Optronics Corp		127,279
	3,126,000	United Microelectronics Corp		1,207,739
	58,500	United Microelectronics Corp Sponsored ADR		111,735
	2,469,963	Wistron Corp		2,712,428
	2,968,195	Ya Hsin Industrial Co Ltd ^{* (a) (b)}		—
	710,152	Yungtay Engineering Co Ltd		1,334,125
	226,000	Zhen Ding Technology Holding Ltd		618,768

		Total Taiwan		57,886,879


		TOTAL COMMON STOCKS (COST $57,688,790)		57,886,879


		INVESTMENT FUNDS — 1.4%

		United States — 1.4%
	59,137	iShares MSCI Taiwan Index Fund ^(c)		801,898


		TOTAL INVESTMENT FUNDS (COST $791,063)		801,898


		MUTUAL FUNDS — 1.5%

		United States — 1.5%
		Affiliated Issuers — 1.5%
	35,684	GMO U.S. Treasury Fund		892,093


		TOTAL MUTUAL FUNDS (COST $892,093)		892,093


		SHORT-TERM INVESTMENTS — 0.5%

		Time Deposits — 0.5%
USD	57,287	Bank of Tokyo-Mitsubishi (Tokyo) Time Deposit, 0.07%, due 12/03/12		57,287
USD	80,000	Barclays Bank (London) Time Deposit, 0.07%, due 12/03/12		80,000
USD	80,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		80,000
USD	80,000	Royal Bank of Canada (Toronto) Time Deposit, 0.07%, due 12/03/12		80,000

		Total Time Deposits		297,287


		TOTAL SHORT-TERM INVESTMENTS (COST $297,287)		297,287


		TOTAL INVESTMENTS — 101.4% (Cost $59,669,233)		59,878,157
		Other Assets and Liabilities (net) — (1.4%)		(821,304	)


		TOTAL NET ASSETS — 100.0%		$59,056,853

Notes to Schedule of Investments:

ADR - American Depositary Receipt

MSCI - Morgan Stanley Capital International

*	Non-income producing security.

(a)	Bankrupt issuer.

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

(c)

Represents an investment to equitize cash. The iShares^® MSCI Taiwan Index Fund prospectus states that the fund invests in the Taiwanese market and seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Taiwan Index. iShares^® is a registered trademark of BlackRock.

Currency Abbreviations:

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

The Fund makes investments in other GMO Trust funds ("underlying funds"). The Schedule of Investments of the underlying funds should be read in conjunction with the Fund's Schedule of Investments.

A summary of the Fund's transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are valued at the most recent quoted price. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost if the issuer is deemed to present minimal credit risk, which approximates market value. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (“the Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives, if any, that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as being valued using Level 2 inputs (levels defined below) in the table below.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a debt instrument is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using fair value inputs obtained from an independent pricing service. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on the Funds’ net assets) as of November 30, 2012 is as follows:

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any, (determined by each category of asset or liability as compared to a Fund’s total net assets separately identified in the Valuation Inputs table below). At November 30, 2012, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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.

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts; certain restricted securities; non-exchange traded equity securities; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; and certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

For all Funds for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

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

The net aggregate direct and/or indirect exposure to investments in securities using Level 3 inputs (based on the Funds’ net assets) as of November 30, 2012 were as follows:

Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted EMF’s locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF’s local custodial account located in India. The amount of restricted assets is small relative to the size of EMF, representing approximately 0.11% of the Fund’s total net assets as of November 30, 2012. The effect of this claim on the value of the restricted assets, and all matters relating to EMF’s response to these allegations, are subject to the supervision and control of the Trust’s Board of Trustees. The costs in respect of this matter are being borne by EMF.

GMO Special Purpose Holding Fund (“SPHF”), an investment of EMF, has litigation pending against various entities related to the 2002 fraud and related default of securities previously held by SPHF. The outcome of the lawsuits against the remaining defendants is not known and any potential recoveries are not reflected in the net asset value of SPHF. During the period ended November 30, 2012, EMF received no distributions from SPHF in connection with the defaulted securities or the related litigation.

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Funds. The Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying funds”), are exposed to the risk that the underlying funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying Funds with higher fees or expenses than the average fees and expenses of the underlying funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying funds. Funds that invest in shares of other GMO Funds also are likely to be subject to Large Shareholder Risk because underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

The following Funds are not diversified investment companies under the 1940 Act, as amended:

Temporary Defensive Positions. The Funds normally do not take temporary defensive positions. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

The Funds may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposure, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):

writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

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

The volume of derivative activity, based on absolute values (rights and/or warrants) or notional amounts (swap agreements) outstanding at each month-end, was as follows for the period ended November 30, 2012.


Shares		Description	Value ($)
		MUTUAL FUNDS — 92.4%

		United States — 92.4%

		Affiliated Issuers
	17,826,686	GMO International Growth Equity Fund, Class IV		429,979,671
	48,659,525	GMO International Intrinsic Value Fund, Class IV		997,033,662
	34,312,763	GMO U.S. Core Equity Fund, Class VI		471,457,362
	85,803,783	GMO U.S. Flexible Equities Fund, Class VI		876,056,624
	6,259,981	GMO U.S. Treasury Fund		156,499,523

		Total United States		2,931,026,842


		TOTAL MUTUAL FUNDS (COST $2,838,865,875)		2,931,026,842


		INVESTMENT FUNDS — 2.0%

		United States — 2.0%
	1,495,041	Vanguard Emerging Markets ETF^(a)		62,851,524


		TOTAL INVESTMENT FUNDS (COST $63,644,066)		62,851,524


Par Value		Description	Value ($)
		SHORT-TERM INVESTMENTS — 1.2%

		Time Deposits — 1.2%
USD	6,130,464	Bank of America (Charlotte) Time Deposit, 0.07%, due 12/03/12		6,130,464
USD	15,000,000	Citibank (New York) Time Deposit, 0.07%, due 12/03/12		15,000,000
USD	15,000,000	Skandinaviska Enskilda Banken AB (Stockholm) Time Deposit, 0.07%, due 12/03/12		15,000,002

		Total Time Deposits		36,130,466


		Total SHORT-TERM INVESTMENTS (COST $36,130,466)		36,130,466


		TOTAL INVESTMENTS — 95.6% (Cost $2,938,640,407)		3,030,008,832
		Other Assets and Liabilities (net) — 4.4%		140,965,330


		TOTAL NET ASSETS — 100.0%	$	3,170,974,162

A summary of outstanding financial instruments at November 30, 2012 is as follows:

(a)

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

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BNP - BNP Paribus

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

RBS - Royal Bank of Scotland PLC

SSB - State Street Bank and Trust Company

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

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($) / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 33.2%

		Money Market Funds — 6.5%
	4,836,881	State Street Institutional Liquid Reserves Fund, 0.18%^(a)(c)		4,836,881
	38,791,155	State Street Institutional Treasury Plus Money Market Fund-Institutional Class, 0.03%^(c)		38,791,155

		Total Money Market Funds		43,628,036


		U.S. Government — 26.7%
	8,400,000	U.S. Treasury Bill, 0.08%, due 03/07/13^(d)(e)		8,398,303
	159,500,000	U.S. Treasury Bill, 0.13%, due 05/30/13^(a)(d)(e)		159,397,601
	10,000,000	U.S. Treasury Bill, 0.14%, due 07/25/13^(a)(e)		9,991,070

		Total U.S. Government		177,786,974

		TOTAL SHORT-TERM INVESTMENTS (COST $221,389,703)		221,415,010


		TOTAL INVESTMENTS — 97.3% (Cost $649,699,207)		648,936,117
		Other Assets and Liabilities (net) — 2.7%		18,191,501


		TOTAL NET ASSETS — 100.0%		$667,127,618

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Consolidated Schedule of Investments:

RBOB - Reformulated Blendstock for Oxygenate Blending.

(a)	All or a portion of this security is owned by GMO Alternative Asset SPC Ltd., which is a 100% owned subsidiary of GMO Alternative Asset Opportunity Fund.

(b)	Indexed security in which price and/or coupon is linked to the prices of a specific instrument or financial statistic.

(c)	The rate disclosed is the 7 day net yield as of November 30, 2012.

(d)	All or a portion of this security has been pledged to cover margin requirements on futures contracts, collateral on swap agreements, forward currency contracts, and/or written options, if any.

(e)	The rate shown represents yield-to-maturity.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares / Par Value		Description	Value ($)
		MUTUAL FUNDS — 45.3%

		United States — 45.3%

		Affiliated Issuers — 45.3%
	26,286,177	GMO Alpha Only Fund, Class IV		640,068,399
	8,162,736	GMO Alternative Asset Opportunity Fund		243,576,035
	5,150,318	GMO Debt Opportunities Fund, Class VI		139,419,101
	6,836,905	GMO Emerging Country Debt Fund, Class IV		72,539,559
	5,441,192	GMO Flexible Equities Fund, Class VI		97,288,517

		TOTAL MUTUAL FUNDS (COST $1,192,584,700)		1,192,891,611

		INVESTMENT FUNDS^(a) — 0.3%

		Thailand — 0.0%
	192,895	CPN Commercial Growth Leasehold Property Fund		79,823


		United States — 0.3%
	165,200	Vanguard Emerging Markets ETF^(b)		6,945,008

		TOTAL INVESTMENT FUNDS (COST $6,891,043)		7,024,831

		DEBT OBLIGATIONS — 0.4%

		Asset-Backed Securities — 0.2%

		CMBS Collateralized Debt Obligations — 0.0%
USD	1,599,399	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.11%, due 11/23/52		3,999


		Insured Other — 0.0%
USD	2,500,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		187,500


		Residential Asset-Backed Securities (Canada)^(a) — 0.2%
CAD	2,559,600	Master Asset Vehicle II, Series 09-2, Class A1, 0.80%, due 07/15/56		2,158,016
CAD	1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.80%, due 07/15/56		1,561,101
CAD	352,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class B, due 07/15/56		271,083
CAD	150,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class C, due 07/15/56		93,622

		Total Residential Asset-Backed Securities (Canada)		4,083,822

		Total Asset-Backed Securities		4,275,321


Shares / Par Value		Description	Value ($)
		Bank Loans^(a) — 0.2%
USD	997,475	Chrysler Group LLC Term Loan B, 1.00% , due 05/24/17		1,018,671
USD	1,000,000	Del Monte Foods Co, Term Loan B, 1.00% , due 03/08/18		1,000,000
USD	400,000	Caesars Entertainment Corp. Term Loan B1, 1.00% , due 01/28/15		388,000
USD	1,627,558	Caesars Entertainment Corp. Term Loan B3, 1.00% , due 01/28/15		1,578,731
USD	2,000,000	Springleaf Financial Funding Co., Term Loan B, 1.00% , due 05/10/17		1,972,600

		Total Bank Loans		5,958,002

		TOTAL DEBT OBLIGATIONS (COST $10,735,598)		10,233,323


		COMMON STOCKS^(a) — 44.3%

		Australia — 1.0%
	41,043	ALS Ltd/Queensland		407,734
	908,978	Arrium Ltd		779,929
	30,132	Australia & New Zealand Banking Group Ltd		766,836
	34,742	BHP Billiton Ltd		1,251,140
	159,665	Billabong International Ltd		153,574
	1,603,872	BlueScope Steel Ltd ^*		888,602
	18,461	Commonwealth Bank of Australia		1,150,815
	38,266	CSL Ltd		2,063,932
	668,118	Dexus Property Group (REIT)		701,308
	622,797	Goodman Fielder Ltd ^*		435,935
	200,535	Goodman Group (REIT)		967,024
	185,339	GPT Group (REIT)		675,324
	208,981	Investa Office Fund (REIT)		632,801
	44,542	JB Hi-Fi Ltd		461,693
	23,279	Macquarie Group Ltd		796,889
	437,334	Mirvac Group (REIT)		671,616
	96,535	Myer Holdings Ltd		218,588
	252,002	Pacific Brands Ltd		156,610
	202,207	Qantas Airways Ltd ^*		279,966
	271,528	QBE Insurance Group Ltd		3,102,590
	172,931	Resolute Mining Ltd		334,198
	467,807	Stockland (REIT)		1,655,655
	167,083	TABCORP Holdings Ltd		488,528
	83,720	Tatts Group Ltd		255,903
	1,048,791	Telstra Corp Ltd		4,718,178
	8,836	Wesfarmers Ltd		327,742
	106,389	Westpac Banking Corp		2,833,642

		Total Australia		27,176,752


		Austria — 0.1%
	8,995	Andritz AG		573,066
	32,551	OMV AG		1,164,667
	7,419	Raiffeisen Bank International AG		305,758
	22,155	Voestalpine AG		715,789

		Total Austria		2,759,280


Shares		Description	Value ($)
		Belgium — 0.4%
	41,112	Ageas		1,100,250
	102,949	Anheuser-Busch InBev NV		9,040,198
	30,024	Belgacom SA		882,758
	12,397	Delhaize Group SA		459,314

		Total Belgium		11,482,520


		Brazil — 0.6%
	10,200	Anhanguera Educacional Participacoes SA		154,041
	254,500	Banco do Brasil SA		2,609,554
	22,300	Banco Santander Brasil SA		151,324
	119,800	Banco Santander Brasil SA ADR		801,462
	57,200	BM&FBovespa SA		343,714
	36,200	BR Malls Participacoes SA		465,036
	13,800	BR Properties SA		162,748
	36,400	Brasil Brokers Participacoes SA		109,534
	39,400	Brookfield Incorporacoes SA		60,848
	7,678	Brookfield Incorporacoes SA ^*		11,858
	36,900	Centrais Eletricas Brasileiras SA		132,106
	56,900	Centrais Eletricas Brasileiras SA Sponsored ADR		208,254
	3,600	Cia de Bebidas das Americas		130,906
	3,100	Cia de Saneamento Basico do Estado de Sao Paulo		125,491
	2,800	Cia de Saneamento Basico do Estado de Sao Paulo ADR		227,836
	61,100	Cielo SA		1,591,265
	16,900	Cosan SA Industria e Comercio		310,746
	9,700	Cyrela Brazil Realty SA Empreendimentos e Participacoes		80,894
	38,100	Diagnosticos da America SA		221,454
	48,600	Duratex SA		335,478
	28,100	Even Construtora e Incorporadora SA		113,226
	6,000	Ez Tec Empreendimentos e Participacoes SA		72,501
	5,300	Kroton Educacional SA ^*		102,785
	10,300	Localiza Rent a Car SA		171,361
	3,000	M Dias Branco SA		100,005
	64,200	MRV Engenharia e Participacoes SA		339,808
	10,000	Multiplan Empreendimentos Imobiliarios SA		276,114
	30,200	Multiplus SA		699,598
	2,900	Natura Cosmeticos SA		76,762
	11,300	Obrascon Huarte Lain Brasil SA		100,477
	133,900	PDG Realty SA Empreendimentos e Participacoes		188,618
	52,700	Petroleo Brasileiro SA (Petrobras) ADR		947,019
	44,500	Qualicorp SA ^*		432,130
	102,500	Rossi Residencial SA		195,713
	13,100	Sul America SA		95,025
	9,800	Ultrapar Participacoes SA		201,797
	7,700	Ultrapar Participacoes SA Sponsored ADR		158,312
	170,500	Vale SA Sponsored ADR		2,971,815

		Total Brazil		15,477,615


Shares		Description	Value ($)
		Canada — 0.6%
	3,700	Agrium Inc		377,841
	5,200	Alimentation Couche Tard Inc-Class B		256,872
	8,400	BCE Inc		355,669
	15,300	Canadian National Railway Co		1,376,053
	61,900	Canadian Natural Resources Ltd		1,781,568
	2,800	Canadian Pacific Railway Ltd		261,298
	2,800	Canadian Tire Corp Ltd		185,755
	4,600	Dollarama Inc		293,824
	6,790	Enbridge Inc		274,922
	77,600	Encana Corp		1,695,193
	42,900	First Quantum Minerals Ltd		881,019
	22,500	Husky Energy Inc		631,499
	58,400	Manulife Financial Corp		751,349
	8,300	Methanex Corp		251,168
	12,400	Metro Inc		763,461
	124,400	Research in Motion Ltd ^*		1,451,448
	24,000	Royal Bank of Canada		1,423,063
	42,900	Sherritt International Corp		219,823
	62,500	Sun Life Financial Inc		1,710,752

		Total Canada		14,942,577


		Chile — 0.0%
	19,678	ENTEL Chile SA		405,057


		China — 1.4%
	94,000	Agile Property Holdings Ltd		126,579
	7,100	Baidu Inc Sponsored ADR ^*		683,801
	2,932,000	Bank of China Ltd		1,236,653
	248,000	Bank of Communications Co Ltd		180,644
	764,000	China Citic Bank Corp Ltd		392,052
	451,000	China Coal Energy Co Ltd		454,235
	678,000	China Communications Construction Co Ltd		617,237
	640,000	China Communications Services Corp Ltd		362,501
	2,882,000	China Construction Bank Corp		2,208,278
	224,865	China Everbright Ltd		325,932
	508,000	China High Speed Transmission Equipment Group Co Ltd ^*		169,039
	495,000	China Life Insurance Co Ltd		1,450,637
	3,300	China Life Insurance Co Ltd ADR		145,662
	54,000	China Merchants Bank Co Ltd		103,171
	305,000	China Minsheng Banking Corp Ltd		299,729
	688,500	China Mobile Ltd		7,842,223
	1,900	China Mobile Ltd Sponsored ADR		108,148
	188,000	China Oilfield Services Ltd		374,370
	124,000	China Overseas Land & Investment Ltd		365,454
	72,800	China Pacific Insurance Group Co Ltd		238,472
	1,016,000	China Petroleum & Chemical Corp		1,074,799
	3,000	China Petroleum & Chemical Corp ADR		317,700
	556,500	China Railway Construction Corp Ltd		620,835


Shares		Description	Value ($)
		China — continued
	1,210,000	China Railway Group Ltd		702,220
	56,000	China Resource Land Ltd		150,231
	118,500	China Shenhua Energy Co Ltd		485,206
	176,000	China Southern Airlines Co Ltd		78,555
	2,972,000	China Telecom Corp Ltd		1,616,381
	1,400	China Telecom Corp Ltd ADR		76,062
	250,000	China Unicom Hong Kong Ltd		389,004
	13,800	China Unicom Hong Kong Ltd ADR		214,314
	288,000	China Yurun Food Group Ltd ^*		179,469
	298,000	Citic Pacific Ltd		378,680
	964,000	CNOOC Ltd		2,048,864
	2,500	CNOOC Ltd ADR		532,900
	91,395	COSCO Pacific Ltd		128,336
	126,000	CSR Corp Ltd		106,434
	578,000	Datang International Power Generation Co Ltd		201,714
	80,800	Dongfang Electric Corp Ltd		137,128
	184,000	Dongfeng Motor Group Co Ltd		258,500
	113,100	Great Wall Motor Co Ltd		372,773
	140,000	Harbin Electric Co Ltd		115,665
	224,000	Huaneng Power International Inc		191,200
	3,916,265	Industrial & Commercial Bank of China		2,641,410
	20,500	Inner Mongolia Yitai Coal Co Ltd		113,839
	258,000	Kunlun Energy Co Ltd		525,138
	665,000	Lonking Holdings Ltd		151,039
	602,000	PetroChina Co Ltd		800,094
	358,000	PICC Property & Casualty Co Ltd		461,313
	180,500	Ping An Insurance Group Co		1,361,917
	267,000	Poly Property Group Co Ltd*		184,572
	41,000	Shanghai Industrial Holdings Ltd		134,363
	195,500	Shimao Property Holdings Ltd		395,835
	383,000	Sun Art Retail Group Ltd		587,081
	9,100	Tencent Holdings Ltd		296,155
	65,000	Weichai Power Co Ltd		244,500
	26,300	Yantai Changyu Pioneer Wine Co Ltd		132,442
	340,000	Yanzhou Coal Mining Co Ltd		521,579

		Total China		36,613,064


		Czech Republic — 0.2%
	66,964	CEZ AS		2,224,178
	6,176	Komercni Banka AS		1,232,794
	15,588	Telefonica Czech Republic AS		277,845

		Total Czech Republic		3,734,817


		Denmark — 0.2%
	1,004	Coloplast A/S-Class B		234,420
	9,825	GN Store Nord A/S		138,782
	37,360	Novo Nordisk A/S-Class B		5,921,951

		Total Denmark		6,295,153


		Egypt — 0.1%
	111,825	Commercial International Bank Egypt SAE		587,897
	67,560	Egyptian Financial Group-Hermes Holding ^*		111,835
	266,460	Ezz Steel		349,128


Shares		Description	Value ($)
		Egypt — continued
	976	Orascom Construction Industries GDR ^*		36,481
	10,280	Orascom Construction Industries		368,281
	201,851	Orascom Telecom Holding SAE ^*		113,090
	149,447	Orascom Telecom Holding SAE GDR ^*		429,137
	6,455,584	Orascom Telecom Media And Technology Holding SAE		539,060
	482,282	Palm Hills Developments SAE ^*		154,133
	313,678	Talaat Moustafa Group ^*		201,576
	96,256	Telecom Egypt Co		197,224

		Total Egypt		3,087,842


		Finland — 0.1%
	26,519	Neste Oil Oyj		338,997
	669,983	Nokia Oyj		2,201,330
	6,059	Nokian Renkaat Oyj		253,305
	9,001	Tieto Oyj		173,048

		Total Finland		2,966,680


		France — 2.4%
	127,851	Air France-KLM ^*		1,174,126
	12,476	Arkema SA		1,276,908
	3,071	Artprice.com ^*		110,847
	41,324	AXA		680,603
	34,710	BNP Paribas		1,942,409
	9,272	Bouygues SA		229,134
	8,864	Cie Generale d’Optique Essilor International SA		856,415
	6,221	Cie Generale des Etablissements Michelin		579,797
	28,521	European Aeronautic Defence and Space Co NV		961,454
	110,818	France Telecom SA		1,178,751
	16,232	GDF Suez		365,176
	7,972	Gemalto NV		733,587
	4,014	L’Oreal SA		545,095
	5,262	Lafarge SA		306,219
	24,177	Lagardere SCA		728,788
	4,659	Pernod-Ricard SA		527,892
	181,134	Peugeot SA ^*		1,112,969
	5,616	Rallye SA		168,112
	1,134	Remy Cointreau SA		127,062
	52,097	Renault SA		2,609,815
	7,933	Safran SA		325,251
	231,372	Sanofi		20,665,551
	465,781	Total SA		23,342,895
	103,500	Vivendi SA		2,226,527
	7,430	Zodiac Aerospace		830,793

		Total France		63,606,176


Shares		Description	Value ($)
		Germany — 1.3%
	10,043	Adidas AG		883,460
	42,978	Bayer AG (Registered)		3,889,629
	3,481	Beiersdorf AG (Bearer)		273,004
	6,277	Continental AG		695,709
	9,284	Deutsche Bank AG (Registered)		409,512
	55,248	Deutsche Lufthansa AG		917,599
	31,976	Deutsche Post AG (Registered)		664,170
	8,339	Duerr AG		696,015
	445,659	E. On AG		8,036,577
	23,846	GEA Group AG		779,917
	9,854	Lanxess AG		858,272
	18,200	Leoni AG		632,098
	10,270	Muenchener Rueckversicherungs AG (Registered)		1,753,803
	14,290	Norddeutsche Affinerie AG		908,171
	69,519	RWE AG		2,899,893
	12,598	Salzgitter AG		580,320
	101,866	SAP AG		7,953,601
	25,978	Suedzucker AG		1,023,323

		Total Germany		33,855,073


		Greece — 0.1%
	26,612	Marfin Investment Group Holdings SA ^*		10,924
	99,716	OPAP SA		648,697
	71,956	Public Power Corp SA ^*		417,409

		Total Greece		1,077,030


		Hong Kong — 0.2%
	393,000	Agricultural Bank of China Ltd		172,840
	24,000	Cheung Kong Holdings Ltd		365,553
	116,200	Chow Tai Fook Jewellery Group Ltd		169,490
	145,104	CLP Holdings Ltd		1,267,894
	464,200	Esprit Holdings Ltd		718,962
	627,000	Evergrande Real Estate Group Ltd		312,917
	135,000	Galaxy Entertainment Group Ltd ^*		513,631
	171	Melco International Development Ltd		183
	10,000	Netease.Com Inc ADR ^*		438,600
	505,000	Pacific Basin Shipping Ltd		267,219
	60,500	Swire Pacific Ltd-Class A		743,440
	120,000	Yue Yuen Industrial Holdings Ltd		417,971

		Total Hong Kong		5,388,700


		Hungary — 0.0%
	79,644	Magyar Telekom Telecommunications Plc		144,773
	972	MOL Hungarian Oil and Gas Plc		82,489
	9,918	OTP Bank Plc		186,935
	719	Richter Gedeon Nyrt		118,039

		Total Hungary		532,236


Shares		Description	Value ($)
		India — 0.6%
	33,672	Axis Bank Ltd GDR		828,955
	7,995	Grasim Industries Ltd GDR		496,487
	31,900	HDFC Bank Ltd ADR		1,343,628
	503,400	Hindalco Industries Ltd ^(c)		1,057,208
	25,400	ICICI Bank Ltd Sponsored ADR		1,041,146
	63,600	Infosys Technologies Ltd Sponsored ADR		2,827,020
	45,844	Larsen & Toubro Ltd GDR		1,412,131
	41,189	Mahindra & Mahindra Ltd GDR		708,425
	55,759	Reliance Industries Ltd		1,643,030
	14,154	State Bank of India GDR		1,162,030
	147,000	Sterlite Industries India Ltd ADR		1,159,830
	65,800	Tata Motors Ltd Sponsored ADR		1,649,606
	67,300	Wipro Ltd ADR		588,875

		Total India		15,918,371


		Indonesia — 0.5%
	4,387,000	Astra International Tbk PT		3,310,994
	1,559,000	Bank Mandiri Persero Tbk PT		1,339,419
	269,000	Bank Negara Indonesia Persero Tbk PT		103,668
	1,265,000	Bank Rakyat Indonesia Persero Tbk PT		928,364
	4,444,000	Bhakti Investama Tbk PT		254,476
	484,000	Gajah Tunggal Tbk PT		110,868
	2,112,000	Global Mediacom Tbk PT		528,058
	205,000	Harum Energy Tbk PT		106,700
	544,000	Indofood Sukses Makmur Tbk PT		331,698
	114,000	Indosat Tbk PT		65,880
	4,178,500	Kalbe Farma Tbk PT		448,504
	2,443,000	Media Nusantara Citra Tbk PT		679,645
	200,500	Mitra Adiperkasa Tbk PT		148,129
	2,586,000	Perusahaan Gas Negara Persero Tbk PT		1,219,214
	539,150	Semen Gresik Persero Tbk PT		830,914
	43,000	Sumber Alfaria Trijaya Tbk PT		23,724
	82,000	Tambang Batubara Bukit Asam Persero Tbk PT		119,473
	1,225,000	Telekomunikasi Indonesia Persero Tbk PT		1,155,213
	20,600	Telekomunikasi Indonesia Tbk PT Sponsored ADR		783,624
	150,000	United Tractors Tbk PT		266,093
	159,000	XL Axiata Tbk PT		85,208

		Total Indonesia		12,839,866


		Ireland — 0.1%
	56,355	C&C Group Plc		300,175
	58,384	CRH Plc		1,068,730
	13,884	DCC Plc		418,864
	19,065	Kerry Group Plc-Class A		998,796
	8,484	Paddy Power Plc		640,152

		Total Ireland		3,426,717


Shares		Description	Value ($)
		Israel — 0.0%
	53,975	Africa Israel Investments Ltd ^*		130,274
	8,635	Mellanox Technologies Ltd ^*		655,601
	30,662	Partner Communications Co Ltd		198,039
	181	Paz Oil Co Ltd		25,217

		Total Israel		1,009,131


		Italy — 1.0%
	377,669	A2A SPA		205,943
	21,942	Azimut Holding SPA		286,316
	1,943,952	Enel SPA		7,372,855
	294,116	ENI SPA		6,974,764
	6,106	Exor SPA		151,133
	82,503	Fiat Industrial SPA		882,196
	143,395	Fiat SPA ^*		664,917
	281,819	Finmeccanica SPA ^*		1,483,611
	75,668	Impregilo SPA		312,397
	385,850	Intesa Sanpaolo SPA		650,182
	61,045	Intesa Sanpaolo SPA		83,464
	5,995	Lottomatica Group SPA		132,251
	6,643	Luxottica Group SPA		273,197
	112,860	Mediolanum SPA		550,818
	97,851	Pirelli & C. SPA		1,136,978
	23,534	Recordati SPA		197,025
	2,109,916	Telecom Italia SPA		1,922,275
	118,931	Terna Rete Elettrica Nazionale SPA		452,023
	1,489,717	Telecom Italia SPA - Di RISP		1,189,867
	4,843	Tod’s SPA		591,128

		Total Italy		25,513,340


		Japan — 4.6%
	2,500	ABC-Mart Inc		106,500
	436	Accordia Golf Co Ltd		407,523
	163	Advance Residence Investment Corp (REIT)		342,174
	28,200	Advantest Corp		378,719
	155,400	Aeon Co Ltd		1,740,270
	68,000	Anritsu Corp		877,050
	61,600	Astellas Pharma Inc		3,118,426
	27,700	Credit Saison Co Ltd		618,164
	49,850	Daiei Inc (The) ^*		97,531
	257,000	Daikyo Inc		619,872
	33,200	Daito Trust Construction Co Ltd		3,225,676
	94,000	Daiwabo Holdings Co Ltd		193,172
	37,600	Dena Co Ltd		1,377,560
	159,000	DIC Corp		286,528
	6,646	East Japan Railway Co		436,891
	23,600	Eisai Co Ltd		991,959
	4,200	Fast Retailing Co Ltd		957,934
	136,000	Fuji Electric Co Ltd		291,320
	79,000	Fuji Heavy Industries Ltd		890,773
	15,300	Fuji Oil Co Ltd		219,816


Shares		Description	Value ($)
		Japan — continued
	49,000	Gunze Ltd		121,468
	51,000	Hanwa Co Ltd		168,680
	733,500	Haseko Corp ^*		481,937
	10,800	Hikari Tsushin Inc		491,453
	127	Inpex Corp		682,945
	148,000	Isuzu Motors Ltd		871,419
	240,100	Itochu Corp		2,408,318
	7,900	J Trust Co Ltd		129,500
	492,950	Japan Tobacco Inc		14,780,881
	62,500	JFE Holdings Inc		973,922
	64,000	Juki Corp		72,498
	639,300	JX Holdings Inc		3,423,771
	34,200	K’s Holdings Corp		774,437
	400,000	Kajima Corp		1,154,401
	11,000	Kakaku.com Inc		379,273
	35,400	Kao Corp		973,377
	637,000	Kawasaki Kisen Kaisha Ltd ^*		845,075
	61,600	KDDI Corp		4,570,898
	45,000	Kinugawa Rubber Industrial Co Ltd		288,556
	212,000	Kobe Steel Ltd ^*		199,134
	16,986	Kohnan Shoji Co Ltd		197,615
	57,000	Kurimoto Ltd		192,971
	14,700	Lawson Inc		995,136
	150,100	Leopalace21 Corp ^*		473,464
	39,000	Look Inc		195,386
	242,000	Marubeni Corp		1,601,049
	472,000	Mazda Motor Corp ^*		748,007
	41,104	Medipal Holdings Corp		487,111
	5,900	MEIJI Holdings Co Ltd		262,661
	3,400	Misawa Homes Co Ltd		48,715
	239,000	Mitsubishi Chemical Holdings Corp		1,048,562
	160,300	Mitsubishi Corp		3,051,343
	13,080	Mitsubishi UFJ Lease & Finance Co Ltd		571,752
	77,200	Mitsui & Co Ltd		1,071,507
	153,000	Mitsui Engineering & Shipbuilding Co Ltd		202,874
	186,012	Mitsui Mining & Smelting Co Ltd		369,626
	304,134	Mitsui OSK Lines Ltd		767,236
	1,274,200	Mizuho Financial Group Inc		2,054,318
	36,800	Namco Bandai Holdings Inc		516,631
	38,000	Nikon Corp		1,058,822
	7,800	Nintendo Co Ltd		937,356
	284,800	Nippon Light Metal Co Ltd ^*		256,632
	54,532	Nippon Paper Group Inc		671,075
	379,000	Nippon Steel Corp		873,885
	106,500	Nippon Telegraph & Telephone Corp		4,790,863
	362,000	Nippon Yusen KK		772,372
	51,341	Nipro Corp		375,869
	12,550	Nitori Co Ltd		934,211
	17,336	Nitto Boseki Co Ltd		59,047
	8,400	Nitto Denko Corp		438,706


Shares		Description	Value ($)
		Japan — continued
	47,686	North Pacific Bank Ltd ^*		124,560
	3,601	NTT Docomo Inc		5,220,464
	171,000	Obayashi Corp		810,163
	165,000	Oki Electric Industry Co Ltd ^*		158,635
	10,500	Ono Pharmaceutical Co Ltd		575,143
	62,000	Orient Corp ^*		126,056
	171,000	Penta-Ocean Construction Co Ltd		431,625
	14,329	Point Inc		518,211
	698,100	Resona Holdings Inc		2,930,420
	73,000	Ricoh Co Ltd		680,551
	71,100	Round One Corp		401,133
	12,500	Ryohin Keikaku Co Ltd		799,554
	21,000	Sankyo Co Ltd		861,589
	26,400	Seven & I Holdings Co Ltd		769,373
	67,600	Seven Bank Ltd		176,491
	42,400	Shinko Electric Industries Co Ltd		297,494
	68,586	Softbank Corp		2,579,681
	440,800	Sojitz Corp		557,472
	230,300	Sumitomo Corp		2,868,749
	236,193	Sumitomo Light Metal Industries Ltd		195,255
	28,000	Sumitomo Mitsui Financial Group Inc		906,371
	124,000	SxL Corp ^*		210,119
	541,000	Taiheiyo Cement Corp		1,210,625
	426,000	Taisei Corp		1,160,170
	2,100	Taisho Pharmaceutical Holdings Co Ltd		154,853
	46,400	Taiyo Yuden Co Ltd		405,703
	131,600	Takeda Pharmaceutical Co Ltd		6,024,289
	100,100	Tokyo Electric Power Co Inc (The) ^*		158,630
	43,782	Tokyo Gas Co Ltd		214,935
	204,000	Tokyo Tatemono Co Ltd ^*		818,599
	41,000	TonenGeneral Sekiyu KK		381,244
	111,000	Tosoh Corp		239,314
	107,400	Toyota Motor Corp		4,624,333
	84,300	Toyota Tsusho Corp		1,947,638
	46,000	Tsugami Corp		285,953
	6,400	Unicharm Corp		327,159
	213,567	Unitika Ltd ^*		103,657
	96,600	UNY Co Ltd		677,182
	6,380	USS Co Ltd		681,285
	167	Wacom Co Ltd		477,456
	1,876	Yahoo! Japan Corp		632,001
	51,690	Yamada Denki Co Ltd		1,829,750

		Total Japan		121,548,488


		Kazakhstan — 0.0%
	21,036	KazMunaiGas Exploration Production JSC GDR		393,818


		Malaysia — 0.0%
	172,100	AMMB Holdings Bhd		361,048


Shares		Description	Value ($)
		Malaysia — continued
	65,496	Hong Leong Bank Bhd		315,900
	21,300	Public Bank Bhd		108,756
	25,200	Public Bank Bhd		128,830

		Total Malaysia		914,534


		Mexico — 0.3%
	808,000	America Movil SAB de CV		953,973
	118,800	America Movil SAB de CV-Class L ADR		2,802,492
	109,500	Compartamos SAB de CV		165,349
	59,300	Corp GEO SAB de CV ^*		68,867
	6,100	Desarrolladora Homex SAB de CV ADR ^*		80,398
	2,100	First Cash Financial Services, Inc. ^*		101,451
	11,800	Fomento Economico Mexicano SAB de CV		115,332
	5,300	Fomento Economico Mexicano Sponsored ADR		519,824
	46,400	Grupo Financiero Banorte SAB de CV		264,800
	67,200	Grupo Financiero Santander Mexico SAB de CV		198,429
	59,500	Grupo Financiero Santander Mexico SAB de CV ^*		869,295
	20,700	Grupo Televisa SAB		97,967
	17,900	Grupo Televisa SAB Sponsored ADR		423,693
	166,100	Urbi Desarrollos Urbanos SAB de CV ^*		95,935
	150,500	Wal-Mart de Mexico SAB de CV		472,325

		Total Mexico		7,230,130


		Netherlands — 0.5%
	210,604	Aegon NV		1,211,162
	27,509	ASML Holding NV		1,720,143
	22,818	CSM		451,334
	14,501	Delta Lloyd NV		216,788
	110,762	ING Groep NV ^*		1,000,843
	118,906	Koninklijke BAM Groep NV		460,520
	3,141	Koninklijke Vopak NV		232,185
	70,549	SNS REAAL NV ^*		96,505
	213,727	Unilever NV		8,110,700
	12,300	VimpelCom Ltd Sponsored ADR		130,134
	7,868	Wereldhave NV (REIT)		483,528

		Total Netherlands		14,113,842


		New Zealand — 0.1%
	149,947	Chorus Ltd		418,596
	119,965	Fletcher Building Ltd		780,154
	927,967	Telecom Corp of New Zealand Ltd		1,760,296

		Total New Zealand		2,959,046


		Norway — 0.1%
	25,131	Aker Solutions ASA		472,287
	15,366	Petroleum Geo-Services ASA		257,151
	26,184	TGS Nopec Geophysical Co ASA		827,720

		Total Norway		1,557,158


Shares		Description	Value ($)
		Philippines — 0.2%
	365,800	Aboitiz Power Corp		317,722
	745,600	Alliance Global Group Inc		297,261
	49,160	Bank of the Philippine Islands		107,402
	357,220	BDO Unibank Inc ^*		625,138
	291,800	First Gen Corp ^*		164,129
	9,980	Globe Telecom Inc		275,709
	29,680	GT Capital Holdings Inc		433,152
	4,176,000	Megaworld Corp		256,473
	217,460	Metropolitan Bank & Trust		531,409
	17,445	Philippine Long Distance Telephone Co		1,102,956
	13,400	Philippine Long Distance Telephone Co Sponsored ADR		833,748
	638,800	Puregold Price Club Inc		502,525
	48,970	San Miguel Corp		130,608
	117,530	Universal Robina Corp		221,849

		Total Philippines		5,800,081


		Poland — 0.2%
	3,612	Bank Pekao SA		180,913
	403,575	Boryszew SA ^*		65,403
	906	BRE Bank SA ^*		90,930
	3,298	Jastrzebska Spolka Weglowa SA		91,547
	78,320	KGHM Polska Miedz SA		4,444,064
	37,813	Powszechna Kasa Oszczednosci Bank Polski SA		417,831
	5,059	Powszechny Zaklad Ubezpieczen SA		634,230

		Total Poland		5,924,918


		Portugal — 0.1%
	460,696	EDP - Energias de Portugal SA		1,165,709


		Russia — 1.1%
	13,788	Gazprom Neft JSC Sponsored ADR		316,226
	991,128	Gazprom OAO Sponsored ADR		8,822,758
	101,067	Lukoil OAO Sponsored ADR		6,369,153
	1,754	Magnit OJSC		255,604
	7,190	Magnit OJSC GDR		254,103
	3,663	Mail.ru Group Ltd GDR		121,156
	65,300	Mechel Sponsored ADR		398,330
	48,853	MMC Norilsk Nickel OJSC ADR		774,975
	5,500	Mobile Telesystems Sponsored ADR		95,865
	3,106	NovaTek OAO GDR		341,188
	4,195	NovaTek OAO		45,148
	10,951	Novolipetsk Steel OJSC GDR		217,536
	343,197	Rosneft Oil Co GDR		2,681,918
	72,430	Rostelecom OJSC		255,808
	250,859	Sberbank of Russia Sponsored ADR		2,973,870
	15,714	Severstal OAO GDR		178,855
	10,521	Sistema JSFC GDR		199,541
	186,037	Surgutneftegas OJSC Sponsored ADR		1,569,976


Shares		Description	Value ($)
		Russia — continued
	32,258	Tatneft Sponsored ADR		1,278,932
	1,903	TMK OAO GDR		29,291
	178,630	TNK-BP Holding		350,884
	10,487	Uralkali OJSC GDR		389,057
	254,958	VTB Bank OJSC GDR		850,925

		Total Russia		28,771,099


		Singapore — 0.3%
	185,000	China Minzhong Food Corp Ltd ^*		126,485
	178,967	Ezion Holdings Ltd		211,475
	316,085	Ezra Holdings Ltd ^*		275,508
	3,622,000	Golden Agri-Resources Ltd		1,957,052
	178,000	Jaya Holdings Ltd ^*		81,500
	290,000	LionGold Corp. Ltd ^*		253,025
	72,000	M1 Ltd		160,411
	269,000	Noble Group Ltd		238,522
	235,000	Singapore Press Holdings Ltd		804,438
	1,016,000	Singapore Telecommunications Ltd		2,755,175
	157,000	STX OSV Holdings Ltd		177,924
	17,978	Triyards holdings Ltd ^*		10,531
	24,000	Venture Corp Ltd		153,724
	781,000	Yangzijiang Shipbuilding Holdings Ltd		597,237

		Total Singapore		7,803,007


		South Africa — 0.4%
	24,530	ABSA Group Ltd		391,643
	100,868	African Bank Investments Ltd		359,773
	19,229	Aspen Pharmacare Holdings Ltd ^*		338,302
	60,394	Aveng Ltd		182,652
	2,905	Bidvest Group Ltd		68,583
	45,426	Cipla Medpro South Africa Ltd		44,629
	18,421	Clicks Group Ltd		130,460
	18,759	Exxaro Resources Ltd		325,839
	135,094	FirstRand Ltd		441,057
	106,526	Growthpoint Properties Ltd		293,928
	12,875	Imperial Holdings Ltd		272,900
	63,103	Investec Ltd		387,947
	14,204	JD Group Ltd		75,544
	9,496	JSE Ltd		76,290
	3,134	Kumba Iron Ore Ltd		191,318
	5,206	Mr Price Group Ltd		77,821
	71,598	MTN Group Ltd		1,318,480
	7,530	Naspers Ltd		464,896
	44,792	Netcare Ltd		89,120
	9,420	Remgro Ltd		158,486
	73,004	RMB Holdings Ltd		321,610
	38,742	Sappi Ltd ^*		126,294
	13,143	Sasol Ltd		553,881
	1,647	Sasol Ltd Sponsored ADR		69,750


Shares		Description	Value ($)
		South Africa — continued
	11,613	Shoprite Holdings Ltd		250,165
	13,566	Standard Bank Group Ltd		160,473
	324,426	Steinhoff International Holdings Ltd ^*		998,986
	98,606	Telkom SA Ltd ^*		171,875
	4,447	Tiger Brands Ltd		149,674
	5,266	Vodacom Group Ltd		70,472
	12,856	Wilson Bayly Holmes-Ovcon Ltd		206,886
	33,800	Woolworths Holdings Ltd		269,313

		Total South Africa		9,039,047


		South Korea — 0.9%
	24,310	BS Financial Group Inc		272,141
	1,689	Cheil Industries Inc		149,359
	1,289	Com2uSCorp ^*		69,920
	14,620	Daewoo Securities Co Ltd		144,516
	3,060	Dongbu Insurance Co Ltd		131,553
	10,074	GS Holdings		664,525
	28,334	Hana Financial Group Inc		881,299
	31,670	Hankook Tire Worldwide Co Ltd		436,040
	5,800	Hanwha Chem Corp		89,488
	14,680	Hanwha Corp		432,183
	1,895	Hyundai Heavy Industries Co Ltd		370,105
	2,770	Hyundai Marine & Fire Insurance Co Ltd		85,550
	1,712	Hyundai Mobis		451,970
	3,554	Hyundai Motor Co		740,566
	7,562	Hyundai Steel Co		561,613
	1,300	Hyundai Wia Corp		218,749
	48,960	Industrial Bank of Korea		520,456
	42,280	KB Financial Group Inc		1,394,138
	3,000	KB Financial Group Inc ADR		98,610
	18,615	Kia Motors Corp		1,063,705
	61,050	Korea Exchange Bank ^*		411,430
	971	Korea Zinc Co Ltd		391,395
	16,090	KP Chemical Corp		164,407
	39,350	KT Corp		1,364,584
	10,300	KT Corp Sponsored ADR		177,263
	2,130	LG Chem Ltd		614,421
	42,720	LG Uplus Corp		294,729
	7,900	LIG Insurance Co Ltd		179,389
	1,802	OCI Co Ltd		251,371
	20,404	Osung LST Co Ltd ^*		30,514
	7,207	Paradise Co Ltd		124,815
	2,770	Poongsan Corp		86,721
	4,662	POSCO		1,392,004
	3,300	POSCO ADR		245,487
	3,690	Samsung Card Co Ltd		123,894
	2,610	Samsung Electronics Co Ltd		3,392,666
	2,295	Samsung Fine Chemicals Co Ltd		133,648
	1,411	Samsung Fire & Marine Insurance Co Ltd		285,026
	8,300	Samsung Heavy Industries Co Ltd		279,974


Shares		Description	Value ($)
		South Korea — continued
	3,506	Samsung Life Insurance Co Ltd		301,124
	2,253	Samsung Techwin Co Ltd		120,843
	25,390	Shinhan Financial Group Co Ltd		814,023
	2,178	SK Chemicals Co Ltd		120,377
	2,858	SK Holdings Co Ltd		474,336
	11,630	SK Innovation Co Ltd		1,781,978
	5,708	SK Telecom Co Ltd		790,377
	41,800	SK Telecom Co Ltd ADR		638,286
	78,460	Woori Finance Holdings Co Ltd		737,051
	10,630	Woori Investment & Securities Co Ltd		104,658

		Total South Korea		24,603,277


		Spain — 1.1%
	33,361	Abengoa SA		91,912
	50,120	Abengoa SA ^*		132,649
	10,588	Amadeus IT Holding SA		247,343
	327,684	Banco Bilbao Vizcaya Argentaria SA		2,780,242
	1,111,387	Banco Santander SA		8,561,614
	93,883	Distribuidora Internacional de Alimentacion SA		583,443
	14,793	Fomento de Construcciones y Contratas SA		175,978
	131,199	Gas Natural SDG SA		2,037,592
	37,542	Grifols SA ^*		1,201,960
	418,038	Iberdrola SA		2,077,207
	13,641	Inditex SA		1,872,658
	89,297	Repsol YPF SA		1,895,358
	526,999	Telefonica SA		6,922,863

		Total Spain		28,580,819


		Sri Lanka — 0.0%
	47,000	Hatton National Bank Plc		51,709


		Sweden — 0.2%
	41,371	Boliden AB		733,290
	2,981	Hennes & Mauritz AB-Class B		96,826
	43,449	Investor AB-Class B		1,007,407
	16,416	NCC AB-Class B		319,151
	30,322	Skandinaviska Enskilda Banken AB-Class A		244,364
	16,301	Svenska Handelsbanken AB		580,149
	40,655	Swedbank AB-A Shares		751,817

		Total Sweden		3,733,004


		Switzerland — 1.1%
	1,383	AMS AG		149,586
	142,439	Nestle SA (Registered)		9,323,719
	160,851	Novartis AG (Registered)		9,967,508
	44,998	Roche Holding AG		8,864,388
	12,253	Swiss Re AG		883,662
	3,146	Zurich Financial Services AG		803,633

		Total Switzerland		29,992,496


Shares		Description	Value ($)
		Taiwan — 0.5%
	71,000	Advantech Co Ltd		265,257
	276,000	Asia Optical Co Inc *		264,460
	43,000	Asustek Computer Inc		474,722
	1,431,000	AU Optronics Corp *		604,797
	14,000	Capella Microsystems (Taiwan) Inc		91,496
	601,945	Chimei Innolux Corp *		269,661
	204,032	Chinatrust Financial Holding Co Ltd		118,346
	84,000	Chipbond Technology Corp		162,911
	212,470	Chunghwa Telecom Co Ltd		687,145
	500	Chunghwa Telecom Co Ltd ADR		16,075
	724,000	Compal Electronics Inc		490,166
	206,000	Delta Electronics Inc		738,246
	291,000	E.Sun Financial Holding Co Ltd		160,918
	84,000	Elan Microelectronics Corp		130,614
	356,000	Far EasTone Telecommunications Co Ltd		891,754
	253,000	Fubon Financial Holding Co Ltd		287,487
	251,000	Hon Hai Precision Industry Co Ltd		805,941
	23,000	Hotai Motor Co Ltd		170,440
	55,194	HTC Corp		505,506
	125,000	Mega Financial Holding Co Ltd		97,920
	359,000	Neo Solar Power Corp ^*		207,894
	34,000	Novatek Microelectronics Corp		136,936
	200,000	Powertech Technology Inc		296,634
	207,000	Quanta Computer Inc		520,742
	74,000	Ruentex Development Co Ltd		141,070
	337,000	Shin Kong Financial Holding Co Ltd ^*		93,425
	1,186,000	Taishin Financial Holding Co Ltd		451,344
	382,000	Taiwan Mobile Co Ltd		1,374,525
	158,000	Taiwan PCB Techvest Co Ltd		248,286
	127,000	Taiwan Semiconductor Manufacturing Co Ltd		431,528
	56,700	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		979,209
	16,268	TPK Holding Co Ltd		259,956
	116,000	Tripod Technology Corp		240,157
	126,000	Unimicron Technology Corp		137,185
	441,000	United Microelectronics Corp		170,382
	690,450	Wistron Corp		758,228
	105,000	WPG Holdings Ltd		139,159
	34,000	Zhen Ding Technology Holding Ltd		93,089

		Total Taiwan		13,913,611


		Thailand — 0.4%
	171,200	Advanced Info Service Pcl (Foreign Registered)		1,227,193
	79,000	Airports of Thailand Pcl (Foreign Registered)		241,860
	483,500	Bangchak Petroleum Pcl (Foreign Registered)		448,765
	208,960	Bangkok Dusit Medical Services Pcl (Foreign Registered)		762,634
	415,610	Bank of Ayudhya Pcl (Foreign Registered)^(c)		443,212
	54,550	Banpu Pcl (Foreign Registered)		701,484
	61,400	Bumrungrad Hospital Pcl		150,473


Shares		Description	Value ($)
		Thailand — continued
	509,900	Charoen Pokphand Foods Pcl (Foreign Registered)		543,930
	93,700	CP ALL Pcl (Foreign Registered)		120,537
	119,500	Electricity Generating Pcl (Foreign Registered)		490,360
	129,600	Glow Energy Pcl (Foreign Registered)		306,124
	1,160,300	Hemaraj Land and Development Pcl (Foreign Registered)^(c)		120,200
	338,120	Home Product Center Pcl (Foreign Registered)		126,038
	1,000,700	Jasmine International Pcl (Foreign Registered)		166,268
	128,700	Kasikornbank PCL NVDR		784,022
	110,825	Krung Thai Bank Pcl (Foreign Registered)		66,428
	146,400	PTT Pcl (Foreign Registered)		1,525,861
	106,500	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered)^(c)		187,473
	95,200	Ratchaburi Electricity Generating Holding Pcl NVDR		167,582
	34,900	Robinson Department Store Pcl (Foreign Registered)		68,793
	1,902,700	Sansiri Pcl		220,601
	80,300	Shin Corp Pcl (Foreign Registered)		168,743
	30,800	Siam Cement Pcl NVDR		396,300
	10,600	Siam Makro Pcl (Foreign Registered)		167,035
	207,200	Sri Trang Agro-Industry Pcl (Foreign Registered)		101,222
	254,800	Thai Airways International Pcl (Foreign Registered) ^*		181,779
	159,500	Thai Oil Pcl (Foreign Registered)		342,780
	509,800	Thai Tap Water Supply Pcl (Foreign Registered)		134,625
	208,300	Thanachart Capital Pcl		242,568
	158,000	Total Access Communication Pcl NVDR		451,378
	378,500	TPI Polene Pcl (Foreign Registered)		184,914
	43,100	VGI Pcl (Foreign Registered) ^*		123,584

		Total Thailand		11,364,766


		Turkey — 0.4%
	272,598	Akenerji Elektrik Uretim AS ^*		326,803
	26,470	Anadolu Hayat Emeklilik AS		61,818
	86,279	Arcelik AS		523,671
	254,049	Asya Katilim Bankasi AS ^*		278,659
	7,797	BIM Birlesik Magazalar AS		354,369
	9,209	Bizim Toptan Satis Magazalari AS		133,966
	356,828	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		373,306
	40,741	Enka Insaat ve Sanayi AS		108,509
	297,503	Eregli Demir ve Celik Fabrikalari TAS		374,395
	20,336	Ford Otomotiv Sanayi AS		208,287
	18,454	Haci Omer Sabanci Holding AS		95,253
	143,213	Ihlas Holding AS ^*		103,405
	77,881	Ipek Dogal Enerji Kaynaklari Ve Uretim AS ^*		258,842
	176,745	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS-Class A		132,460


Shares		Description	Value ($)
		Turkey — continued
	244,874	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS-Class D		163,076
	130,137	KOC Holding AS		595,824
	81,079	Koza Anadolu Metal Madencilik Isletmeleri AS ^*		249,560
	33,103	Park Elektrik Uretim Madencilik Sanayi ve Ticaret AS		111,786
	74,540	Tofas Turk Otomobil Fabrikasi AS		454,777
	27,595	Tupras Turkiye Petrol Rafinerileri AS		736,365
	159,523	Turk Hava Yollari ^*		469,597
	134,885	Turk Telekomunikasyon AS		504,316
	3,965	Turk Traktor ve Ziraat Makineleri AS		99,180
	134,154	Turkcell Iletisim Hizmetleri AS ^*		810,702
	207,694	Turkiye Garanti Bankasi AS		985,560
	28,575	Turkiye Halk Bankasi AS		276,745
	344,234	Turkiye Is Bankasi		1,109,642
	115,337	Turkiye Sise ve Cam Fabrikalari AS		169,764
	220,505	Turkiye Vakiflar Bankasi Tao		534,348
	110,692	Yapi ve Kredi Bankasi AS ^*		291,756

		Total Turkey		10,896,741


		United Kingdom — 5.0%
	138,219	3i Group Plc		468,673
	123,333	Aberdeen Asset Management Plc		668,080
	9,773	Admiral Group Plc		175,283
	67,941	Aegis Group Plc		255,971
	29,948	Aggreko Plc		1,071,296
	23,031	Ashtead Group Plc		141,597
	311,349	AstraZeneca Plc		14,788,529
	130,820	Aviva Plc		736,262
	24,757	Babcock International Group Plc		395,426
	693,690	BAE Systems Plc		3,640,272
	1,478,943	Barclays Plc		5,865,980
	26,891	BBA Aviation Plc		92,156
	2,195,566	BP Plc		15,242,261
	177,566	British American Tobacco Plc		9,327,710
	447,993	BT Group Plc		1,675,519
	29,900	Bunzl Plc		493,023
	4,050	Croda International Plc		154,568
	206,445	Diageo Plc		6,157,679
	91,674	Drax Group Plc		795,674
	1,180,903	DSG International Plc ^*		519,853
	27,371	easyJet Plc		313,857
	8,140	Eurasia Drilling Co Ltd GDR		265,522
	30,973	Fenner Plc		191,990
	169,926	Firstgroup Plc		508,798
	518,427	GlaxoSmithKline Plc		11,102,688
	20,550	Globaltrans Investment Plc GDR		315,259
	6,839	Halfords Group Plc		37,435
	450,106	Home Retail Group Plc		806,405


Shares		Description	Value ($)
		United Kingdom — continued
	35,701	IMI Plc		603,625
	17,430	InterContinental Hotels Group Plc		466,059
	7,086	Intertek Group Plc		350,936
	349,501	ITV Plc		554,435
	200,913	Kesa Electricals Plc		154,035
	32,321	Lancashire Holdings Ltd		412,463
	4,075,048	Lloyds Banking Group Plc ^*		3,043,047
	6,477	Micro Focus International Plc		59,511
	46,030	Next Plc		2,701,703
	13,899	Persimmon Plc		178,475
	42,674	Playtech Ltd		287,313
	80,137	Premier Foods Plc ^*		122,974
	116,661	Prudential Plc		1,695,889
	5,484	Randgold Resources Ltd		587,685
	5,841	Reckitt Benckiser Group Plc		367,397
	132,592	Rio Tinto Plc		6,584,061
	63,843	Rockhopper Exploration Plc ^*		150,701
	10,074,712	Rolls Royce Holdings Plc-C Shares ^*		16,141
	138,750	Rolls-Royce Holdings Plc		1,981,743
	135,707	Royal Bank of Scotland Group Plc ^*		643,019
	349,065	Royal Dutch Shell Plc-A Shares		11,687,205
	117,672	Royal Dutch Shell Plc-B Shares		4,061,923
	26,614	SABMiller Plc		1,206,727
	22,404	Scottish & Southern Energy Plc		512,085
	24,481	Spectris Plc		755,597
	4,640	Tate & Lyle Plc		57,443
	15,668	Telecity Group Plc		215,314
	653,079	Tesco Plc		3,406,938
	367,516	Thomas Cook Group Plc ^*		153,255
	82,661	Trinity Mirror Plc ^*		108,654
	42,833	Tullett Prebon Plc		155,871
	46,402	Unilever Plc		1,780,454
	2,017,484	Vodafone Group Plc		5,204,371
	42,657	WH Smith Plc		444,116
	6,830	Whitbread Plc		262,823
	194,727	William Hill Plc		1,053,174
	31,223	Wolseley Plc		1,450,671
	77,656	WPP Plc		1,066,210

		Total United Kingdom		130,751,809


		United States — 15.9%
	46,900	3M Co.		4,265,555
	223,500	Abbott Laboratories		14,527,500
	17,100	Amgen, Inc.		1,518,480
	26,300	Apple, Inc.		15,392,864
	8,100	Baxter International, Inc.		536,787
	63,100	Bristol–Myers Squibb Co.		2,058,953
	154,900	Chevron Corp.		16,371,381
	25,100	Church & Dwight Co., Inc.		1,359,165


Shares		Description	Value ($)
		United States — continued
	1,135,400	Cisco Systems, Inc.		21,470,414
	625,100	Coca-Cola Co. (The)		23,703,792
	108,500	Colgate–Palmolive Co.		11,772,250
	3,300	Copa Holdings SA -Class A		312,972
	8,600	Costco Wholesale Corp.		894,314
	11,700	CVS Caremark Corp.		544,167
	7,800	Eli Lilly & Co.		382,512
	62,300	EMC Corp. ^*		1,546,286
	261,700	Express Scripts Holding Co. ^*		14,092,545
	56,400	Exxon Mobil Corp.		4,971,096
	13,100	Gilead Sciences, Inc. ^*		982,500
	31,300	Google, Inc. -Class A ^*		21,858,981
	2,100	Henry Schein, Inc. ^*		169,617
	798,100	Hewlett-Packard Co.		10,367,319
	76,300	International Business Machines Corp.		14,502,341
	100	Intuitive Surgical, Inc. ^*		52,900
	363,200	Johnson & Johnson		25,325,936
	38,100	Laboratory Corp. of America Holdings ^*		3,222,879
	69,900	Lorillard, Inc.		8,469,084
	15,600	Mastercard, Inc. -Class A		7,623,408
	115,800	McDonald’s Corp.		10,079,232
	1,500	Mead Johnson Nutrition Co.		102,285
	109,000	Medtronic, Inc.		4,589,990
	39,500	Merck & Co., Inc.		1,749,850
	745,100	Microsoft Corp.		19,834,562
	38,900	Nike, Inc. -Class B		3,791,972
	822,600	Oracle Corp.		26,405,460
	205,100	PepsiCo, Inc.		14,400,071
	795,100	Pfizer, Inc.		19,893,402
	223,200	Philip Morris International, Inc.		20,061,216
	1,600	Praxair, Inc.		171,536
	200,900	Procter & Gamble Co. (The)		14,028,847
	74,400	Qualcomm, Inc.		4,733,328
	42,600	Quest Diagnostics, Inc.		2,461,428
	4,700	Sohu.com, Inc. ^*		187,201
	66,900	Sysco Corp.		2,117,385
	192,400	Target Corp.		12,146,212
	25,100	TJX Cos, Inc. (The)		1,112,934
	61,600	UnitedHealth Group, Inc.		3,350,424
	39,600	Visa, Inc. -Class A		5,928,516
	214,500	Wal–Mart Stores, Inc.		15,448,290
	21,500	Yum! Brands, Inc.		1,442,220
	76,900	Zimmer Holdings, Inc.		5,073,093

		Total United States		417,405,452

		TOTAL COMMON STOCKS (COST $1,125,815,141)		1,166,622,558


Shares		Description	Value ($)
		PREFERRED STOCKS^(a) — 0.8%

		Brazil — 0.6%
	26,200	Banco Bradesco SA 0.60%		435,154
	80,300	Banco Bradesco SA ADR 0.63%		1,352,252
	68,700	Bradespar SA 5.02%		916,300
	51,000	Centrais Eletricas Brasileiras SA 17.87%		230,321
	8,600	Centrais Eletricas Brasileiras SA ADR 17.61%		40,936
	5,600	Cia Paranaense de Energia 2.33%		74,691
	10,500	Cia Paranaense de Energia Sponsored ADR 2.46%		141,225
	1,700	Companhia de Bebidas das Americas 1.57%		70,409
	7,700	Companhia de Bebidas das Americas ADR 1.68%		320,397
	9,300	Companhia Energetica de Minas Gerais Sponsored ADR 5.95%		113,832
	27,000	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 49.99%		171,719
	3,900	Gerdau SA 2.04%		32,342
	99,800	Gerdau SA Sponsored ADR 2.13%		847,302
	25,000	Itau Unibanco Holding SA 0.53%		376,030
	136,600	Itau Unibanco Holding SA ADR 0.58%		2,069,490
	201,700	Itausa - Investimentos Itau SA 0.62%		909,009
	59,300	Klabin SA 2.19%		334,131
	18,600	Marcopolo SA 1.89%		109,330
	36,400	Metalurgica Gerdau SA 0.87%		382,432
	19,600	Oi SA ADR 15.95%		74,284
	150,400	Petroleo Brasileiro SA 0.66%		1,313,396
	3,000	Petroleo Brasileiro SA Sponsored ADR 0.67%		52,650
	13,400	Randon Participacoes SA 1.35%		71,490
	157,300	Suzano Papel e Celulose SA 3.57%		467,454
	2,500	Telefonica Brasil SA 4.56%		54,287
	14,400	Telefonica Brasil SA ADR 4.81%		315,936
	66,400	Usinas Siderurgicas de Minas Gerais SA 0.67%		388,431
	188,900	Vale SA 1.83%		3,244,398
	12,600	Vale SA Sponsored ADR 1.93%		215,334

		Total Brazil		15,124,962


		Germany — 0.1%
	17,975	Henkel AG & Co KGaA 1.27%		1,502,079
	31,916	Porsche Automobil Holding SE 1.35%		2,369,359

		Total Germany		3,871,438


		Russia — 0.1%
	45,422	Rostelecom OJSC 5.25%		124,432
	540,421	Sberbank of Russia 3.65%		1,156,337
	1,887,950	Surgutneftegas OJSC 10.49%		1,185,266

		Total Russia		2,466,035

		TOTAL PREFERRED STOCKS (COST $20,794,967)		21,462,435


Shares / Par Value ($)		Description	Value ($)
		RIGHTS/WARRANTS^(a) — 0.0%

		Singapore — 0.0%
	72,500	LionGold Corp Ltd, Expires 12/11/12 *		3,861

		Total Singapore		3,861


		TOTAL RIGHTS/WARRANTS (COST $0)		3,861


		SHORT-TERM INVESTMENTS^(a) — 7.8%

		Money Market Funds — 4.0%
	105,062,959	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%^(d)		105,062,959
		U.S. Government — 3.8%
	101,000,000	U.S. Treasury Bill, 0.12%, due 04/25/13^(e)		100,952,833


		TOTAL SHORT-TERM INVESTMENTS (COST $206,003,972)		206,015,792


		TOTAL INVESTMENTS — 98.9% (Cost $2,562,825,421)		2,604,254,411
		Other Assets and Liabilities (net) — 1.1%		29,508,137


		TOTAL NET ASSETS — 100.0%		$2,633,762,548

A summary of outstanding financial instruments at November 30, 2012 is as follows:

ADR - American Depositary Receipt.

CDO - Collateralized Debt Obligation.

CMBS - Commercial Mortgage Backed Security.

ETF - Exchange Traded Fund.

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

GDR - Global Depository Receipt.

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

NVDR - Non-Voting Depository Receipt.

OJSC - Open Joint-Stock Company.

REIT - Real Estate Investment Trust.

The rates shown on variable rate notes are the current interest rates at November 30, 2012, which are subject to change based on the terms of the security.

*	Non-income producing security.

(a)	All or a portion of these securities are owned by GMO Implementation Fund, which is a 100% owned subsidiary of GMO Benchmark-Free Allocation Fund.

(b)	Represents an investment to equitize cash. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

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

(d)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

(e)	The rate shown represents yield-to-maturity.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%

		Affiliated Issuers — 100.0%
	20,844,442	GMO Alpha Only Fund, Class IV		507,562,154
	6,142,667	GMO Alternative Asset Opportunity Fund		183,297,181
	37,535,069	GMO Currency Hedged International Equity Fund, Class III		869,312,205
	5,672,979	GMO Debt Opportunities Fund, Class VI		153,567,552
	9,340,651	GMO Emerging Country Debt Fund, Class IV		99,104,312
	41,197,919	GMO Emerging Markets Fund, Class VI		463,476,590
	5,926,238	GMO Flexible Equities Fund, Class VI		105,961,139
	37,494,259	GMO Quality Fund, Class VI		878,490,497
	13,683,105	GMO Risk Premium Fund, Class VI		139,567,671
	6,911,090	GMO Special Situations Fund, Class VI		177,753,239
	8,472,945	GMO Strategic Fixed Income Fund, Class VI		143,023,304


		TOTAL MUTUAL FUNDS (COST $3,626,557,559)		3,721,115,844


Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Time Deposits — 0.0%
	20,017	State Street Eurodollar Time Deposit, 0.01%, due 12/03/12		20,017


		TOTAL SHORT-TERM INVESTMENTS (COST $20,017)		20,017


		TOTAL INVESTMENTS — 100.0% (Cost $3,626,577,576)		3,721,135,861
		Other Assets and Liabilities (net) — 0.00%		292,943


		TOTAL NET ASSETS — 100.0%		$3,721,428,804

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.5%

		Affiliated Issuers — 99.5%
	31,280,531	GMO Alpha Only Fund, Class IV		761,680,933
	7,874,856	GMO Alternative Asset Opportunity Fund		234,985,693
	9,695,061	GMO Currency Hedged International Equity Fund, Class III		224,537,619
	4,157,393	GMO Debt Opportunities Fund, Class VI		112,540,632
	2,637,485	GMO Domestic Bond Fund, Class VI		47,131,859
	10,721,391	GMO Emerging Country Debt Fund, Class IV		113,753,956
	36,129,937	GMO Emerging Markets Fund, Class VI		406,461,789
	4,633,528	GMO Flexible Equities Fund, Class VI		82,847,487
	21,028,644	GMO International Core Equity Fund, Class VI		587,750,598
	1,074,451	GMO International Growth Equity Fund, Class IV		25,915,769
	15,609,599	GMO International Intrinsic Value Fund, Class IV		319,840,691
	6,526,357	GMO Risk Premium Fund, Class VI		66,568,842
	6,091	GMO Special Purpose Holding Fund ^(a)		3,594
	6,434,145	GMO Special Situations Fund, Class VI		165,486,208
	17,051,330	GMO Strategic Fixed Income Fund, Class VI		287,826,447
	99,417,188	GMO U.S. Flexible Equities Fund, Class VI		1,015,049,495


		TOTAL MUTUAL FUNDS (COST $4,350,609,088)		4,452,381,612


		DEBT OBLIGATIONS — 0.5%

		Asset-Backed Securities — 0.5%

		Airlines — 0.0%
	445,705	Aircraft Finance Trust, Series 99-1A, Class A1, 144A, 1 mo. LIBOR + .48%, 0.69%, due 05/15/24		200,567


		Business Loans — 0.1%
	61,815	Bayview Commercial Asset Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .36%, 0.57%, due 04/25/34		55,016
	47,838	Bayview Commercial Asset Trust, Series 04-3, Class A1, 144A, 1 mo. LIBOR + .37%, 0.58%, due 01/25/35		41,619
	233,990	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		173,152
	214,257	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, 1 mo. LIBOR + .24%, 0.45%, due 07/25/37		162,835
	823,938	Bayview Commercial Asset Trust, Series 07-6A, Class A2, 144A, 1 mo. LIBOR + 1.30%, 1.51%, due 12/25/37		733,305
	219,550	Bayview Financial Acquisition Trust, Series 04-B, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 05/28/39		81,782


Par Value ($)		Description	Value ($)
		Business Loans — continued
	219,550	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.51%, due 05/28/39		71,573
	272,435	Bayview Financial Acquisition Trust, Series 05-A, Class A1, 144A, 1 mo. LIBOR + .50%, 1.21%, due 02/28/40		149,839
	55,918	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		49,515
	98,578	GE Business Loan Trust, Series 05-2A, Class A, 144A, 1 mo. LIBOR + .24%, 0.45%, due 11/15/33		82,855
	175,549	Lehman Brothers Small Balance Commercial, Series 07-3A, Class 1A2, 144A, 1 mo. LIBOR + .85%, 1.06%, due 10/25/37		159,496
	168,905	Lehman Brothers Small Balance Commercial, Series 05-1A, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/25/30		141,216
	144,240	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 09/25/30		120,368

		Total Business Loans		2,022,571


		CMBS — 0.1%
	33,699	Citigroup/Deutsche Bank Commercial Mortgage, Series 05-CD1, Class A2FL, 1 mo. LIBOR + .12%, 0.33%, due 07/15/44		33,699
	1,100,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		1,023,000
	46,797	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		46,797
	342,820	GS Mortgage Securities Corp., Series 06-GG6, Class A2, 5.51%, due 04/10/38		342,820
	136,119	GS Mortgage Securities Corp., Series 07-EOP, Class A1, 144A, 1 mo. LIBOR + .35%, 1.10%, due 03/06/20		136,119
	300,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		299,640
	298,969	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.83%, due 05/12/39		307,878
	58,381	Morgan Stanley Capital I, Series 06-IQ11, Class A3, 5.82%, due 10/15/42		59,170

		Total CMBS		2,249,123


		CMBS Collateralized Debt Obligations — 0.0%
	499,812	American Capital Strategies Ltd. Commercial Real Estate CDO Trust, Series 07-1A, Class A, 144A, 3 mo. LIBOR + .80%, 1.11%, due 11/23/52		1,249
	81,970	G-Force LLC, Series 05-RR2, Class A2, 144A, 5.16%, due 12/25/39		82,380


Par Value ($)		Description	Value ($)
		CMBS Collateralized Debt Obligations — continued
	561,924	Marathon Real Estate CDO, Series 06-1A, Class A1, 144A, 1 mo. LIBOR + .33%, 0.54%, due 05/25/46		508,541

		Total CMBS Collateralized Debt Obligations		592,170


		Corporate Collateralized Debt Obligations — 0.0%
	1,000,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.67%, due 06/20/13		1,000,900


		Credit Cards — 0.0%
	400,000	World Financial Network Credit Card Master Trust, Series 06-A, Class A, 144A, 1 mo. LIBOR + .13%, 0.34%, due 02/15/17		400,016


		Insured Business Loans — 0.0%
	198,837	CNL Commercial Mortgage Loan Trust, Series 03-2A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .44%, 0.65%, due 10/25/30		144,257


		Insured Other — 0.0%
	514,002	Henderson Receivables LLC, Series 06-3A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 09/15/41		477,720
	503,746	Henderson Receivables LLC, Series 06-4A, Class A1, 144A, MBIA, 1 mo. LIBOR + .20%, 0.41%, due 12/15/41		469,448
	166,900	TIB Card Receivables Fund, Series 2005-B,144A, FGIC, 3 mo. LIBOR + .25%, 0.60%, due 01/05/14		140,614
	100,000	Toll Road Investment Part II, Series 1999B, 144A, MBIA, Zero Coupon, due 02/15/30		15,850
	900,000	Toll Road Investment Part II, Series C, 144A, MBIA, Zero Coupon, due 02/15/37		67,500

		Total Insured Other		1,171,132


		Insured Residential Asset-Backed Securities (United States) ¨— 0.0%
	60,403	Ameriquest Mortgage Securities, Inc., Series 04-R6, Class A1, XL, 1 mo. LIBOR + .21%, 0.63%, due 07/25/34		52,551
	72,214	Citigroup Mortgage Loan Trust, Inc., Series 03-HE3, Class A, AMBAC, 1 mo. LIBOR + .38%, 0.59%, due 12/25/33		65,714
	19,507	Quest Trust, Series 04-X1, Class A, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 03/25/34		16,971
	237,089	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.43%, due 11/25/35		195,599

		Total Insured Residential Asset-Backed Securities (United States)		330,835


Par Value ($)		Description	Value ($)
		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	11,782	Chevy Chase Mortgage Funding Corp., Series 03-4A, Class A1, 144A, AMBAC, 1 mo. LIBOR + .34%, 0.55%, due 10/25/34		8,265
	30,788	Chevy Chase Mortgage Funding Corp., Series 04-1A, Class A2, 144A, AMBAC, 1 mo. LIBOR + .33%, 0.54%, due 01/25/35		22,090
	224,025	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		137,775
	148,375	GMAC Mortgage Corp. Loan Trust, Series 04-HE3, Class A3, FSA, 1 mo. LIBOR + .23%, 0.44%, due 10/25/34		116,207
	5,409	GreenPoint Home Equity Loan Trust, Series 04-1, Class A, AMBAC, 1 mo. LIBOR + .23%, 0.67%, due 07/25/29		3,961
	9,341	GreenPoint Home Equity Loan Trust, Series 04-4, Class A, AMBAC, 1 mo. LIBOR + .28%, 0.77%, due 08/15/30		5,936
	13,470	Lehman ABS Corp., Series 04-2, Class A, AMBAC, 1 mo. LIBOR + .22%, 0.65%, due 06/25/34		9,496
	3,670	Residential Funding Mortgage Securities II, Series 03-HS1, Class AII, FGIC, 1 mo. LIBOR + .29%, 0.50%, due 12/25/32		2,707
	79,724	SBI Heloc Trust, Series 05-HE1, Class 1A, 144A, FSA, 1 mo. LIBOR + .19%, 0.40%, due 11/25/35		75,825

		Total Insured Residential Mortgage-Backed Securities (United States)		382,262


		Insured Time Share — 0.0%
	52,616	Sierra Receivables Funding Co., Series 07-1A, Class A2, 144A, FGIC, 1 mo. LIBOR + .15%, 0.36%, due 03/20/19		52,098
	154,397	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		154,074

		Total Insured Time Share		206,172


		Insured Transportation — 0.0%
	56,667	GE Seaco Finance SRL, Series 04-1A, Class A, 144A, AMBAC, 1 mo. LIBOR + .30%, 0.51%, due 04/17/19		56,454


		Residential Asset-Backed Securities (United States) ¨— 0.2%
	37,311	Accredited Mortgage Loan Trust, Series 04-4, Class A1B, 1 mo. LIBOR + .39%, 0.60%, due 01/25/35		31,854
	21,300	ACE Securities Corp., Series 06-HE3, Class A2B, 1 mo. LIBOR + .09%, 0.30%, due 06/25/36		12,567
	12,322	ACE Securities Corp., Series 06-ASP4, Class A2B, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		12,168


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¨— continued
	103,227	ACE Securities Corp., Series 06-SL1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 09/25/35		36,904
	126,340	ACE Securities Corp., Series 06-ASP2, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 03/25/36		118,286
	158,538	ACE Securities Corp., Series 06-HE2, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 05/25/36		87,196
	659,278	ACE Securities Corp., Series 06-ASP5, Class A2C, 1 mo. LIBOR + .18%, 0.39%, due 10/25/36		285,138
	244,984	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.41%, due 06/25/36		43,791
	313,528	ACE Securities Corp., Series 06-SL3, Class A2, 1 mo. LIBOR + .17%, 0.55%, due 06/25/36		53,300
	100,064	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.28%, due 11/25/36		32,271
	75,379	ACE Securities Corp., Series 06-ASL1, Class A, 1 mo. LIBOR + .14%, 0.35%, due 02/25/36		27,325
	334,725	ACE Securities Corp., Series 06-OP1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 04/25/36		245,186
	132,007	ACE Securities Corp., Series 07-HE1, Class A2A, 1 mo. LIBOR + .09%, 0.30%, due 01/25/37		44,552
	362,221	Alliance Bancorp Trust, Series 07-S1, Class A1, 144A, 1 mo. LIBOR + .20%, 0.61%, due 05/25/37		18,564
	109,014	Argent Securities, Inc., Series 04-W8, Class A5, 1 mo. LIBOR + .52%, 1.25%, due 05/25/34		101,638
	327,113	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 03/25/36		130,845
	1,298,462	Argent Securities, Inc., Series 06-M1, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 07/25/36		467,041
	245,276	Argent Securities, Inc., Series 06-W5, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		74,043
	242,921	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36		80,771
	250,033	Asset Backed Funding Certificates, Series 06-OPT2, Class A3C, 1 mo. LIBOR + .15%, 0.36%, due 10/25/36		179,798
	494,201	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.43%, due 05/25/37		384,982
	112,315	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A1, 1 mo. LIBOR + .11%, 0.32%, due 11/25/36		72,679
	300,000	Bear Stearns Asset Backed Securities, Inc., Series 07-AQ1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 11/25/36		47,820


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¨— continued
	53,498	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, 1 mo. LIBOR + .16%, 0.53%, due 02/25/37		24,229
	8,488	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 02/25/37		8,466
	1,300,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 02/25/37		958,360
	270,971	Centex Home Equity, Series 06-A, Class AV3, 1 mo. LIBOR + .16%, 0.37%, due 06/25/36		265,552
	3,433	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.75%, due 04/25/33		3,165
	30	Citigroup Mortgage Loan Trust, Inc., Series 04-OPT1, Class A1B, 1 mo. LIBOR + .41%, 0.62%, due 10/25/34		29
	386,471	Citigroup Mortgage Loan Trust, Inc., Series 06-HE3, Class A2C, 1 mo. LIBOR + .16%, 0.37%, due 12/25/36		148,791
	857,738	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.35%, due 02/25/37		733,452
	17,549	Equity One ABS, Inc., Series 04-1, Class AV2, 1 mo. LIBOR + .30%, 0.51%, due 04/25/34		12,537
	328,874	First Franklin Mortgage Loan Asset Backed Certificates, Series 06-FF5, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 04/25/36		224,868
	48,197	Fremont Home Loan Trust, Series 06-B, Class 2A2, 1 mo. LIBOR + .10%, 0.31%, due 08/25/36		12,252
	562,323	Fremont Home Loan Trust, Series 06-B, Class 2A3, 1 mo. LIBOR + .16%, 0.37%, due 08/25/36		196,813
	123,235	Fremont Home Loan Trust, Series 06-A, Class 1A2, 1 mo. LIBOR + .20%, 0.40%, due 05/25/36		64,121
	91,628	Household Home Equity Loan Trust, Series 05-2, Class A2, 1 mo. LIBOR + .31%, 0.52%, due 01/20/35		81,950
	83,540	Household Home Equity Loan Trust, Series 05-3, Class A2, 1 mo. LIBOR + .29%, 0.50%, due 01/20/35		77,327
	245,242	Household Home Equity Loan Trust, Series 06-1, Class A1, 1 mo. LIBOR + .16%, 0.37%, due 01/20/36		228,611
	858,796	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.33%, due 12/25/36		298,689
	461,469	Master Asset-Backed Securities Trust, Series 06-NC3, Class A4, 1 mo. LIBOR + .16%, 0.37%, due 10/25/36		207,661
	478,647	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36		300,351


Par Value ($)		Description	Value ($)
		Residential Asset-Backed Securities (United States) ¨— continued
	375,093	Master Asset-Backed Securities Trust, Series 06-HE2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 06/25/36		166,448
	682,267	Master Asset-Backed Securities Trust, Series 06-HE3, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 08/25/36		194,446
	183,641	Master Second Lien Trust, Series 06-1, Class A, 1 mo. LIBOR + .16%, 0.53%, due 03/25/36		38,565
	123,051	Merrill Lynch Mortgage Investors, Series 07-HE2, Class A2A, 1 mo. LIBOR + .12%, 0.33%, due 02/25/37		45,098
	62,021	Morgan Stanley Capital, Inc., Series 04-SD1, Class A, 1 mo. LIBOR + .40%, 1.01%, due 08/25/34		56,439
	276,435	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, 1 mo. LIBOR + .15%, 0.36%, due 11/25/36		111,956
	182,008	People’s Choice Home Loan Securities Trust, Series 05-4, Class 1A2, 1 mo. LIBOR + .26%, 0.47%, due 12/25/35		87,346
	9,319	Saxon Asset Securities Trust, Series 04-1, Class A, 1 mo. LIBOR + .27%, 0.75%, due 03/25/35		6,235
	15,736	SG Mortgage Securities Trust, Series 05-OPT1, Class A2, 1 mo. LIBOR + .26%, 0.47%, due 10/25/35		15,662
	3,017	Soundview Home Equity Loan Trust, Series 07-NS1, Class A1, 1 mo. LIBOR + .12%, 0.33%, due 01/25/37		2,980
	499,648	Specialty Underwriting & Residential Finance, Series 06-BC3, Class A2C, 1 mo. LIBOR + .15%, 0.36%, due 06/25/37		266,712
	122,964	Structured Asset Investment Loan Trust, Series 06-1, Class A3, 1 mo. LIBOR + .20%, 0.41%, due 01/25/36		115,586
	53,416	Structured Asset Securities Corp., Series 05-S6, Class A2, 1 mo. LIBOR + .29%, 0.79%, due 11/25/35		51,280
	470,489	Yale Mortgage Loan Trust, Series 07-1, Class A, 144A, 1 mo. LIBOR + .40%, 0.61%, due 06/25/37		145,852

		Total Residential Asset-Backed Securities (United States)		7,740,548


		Residential Mortgage-Backed Securities (Australian) — 0.0%
	136,142	Crusade Global Trust, Series 06-1, Class A1, 144A, 3 mo. LIBOR + .06%, 0.38%, due 07/20/38		134,436
	216,214	Crusade Global Trust, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.38%, due 04/19/38		211,536
	46,304	Interstar Millennium Trust, Series 03-3G, Class A2, 3 mo. LIBOR + .25%, 0.86%, due 09/27/35		44,260
	358,710	Interstar Millennium Trust, Series 04-2G, Class A, 3 mo. LIBOR + .20%, 0.79%, due 03/14/36		342,572


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — continued
	30,171	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.81%, due 12/08/36		28,361
	40,885	Interstar Millennium Trust, Series 06-2GA, Class A2, 144A, 3 mo. LIBOR + .08%, 0.61%, due 05/27/38		38,677
	25,857	Medallion Trust, Series 05-1G, Class A1, 3 mo. LIBOR + .08%, 0.39%, due 05/10/36		25,644
	166,544	Medallion Trust, Series 06-1G, Class A1, 3 mo. LIBOR + .05%, 0.44%, due 06/14/37		163,666
	157,311	National RMBS Trust, Series 06-3, Class A1, 144A, 3 mo. LIBOR + .07%, 0.39%, due 10/20/37		155,179
	189,870	Puma Finance Ltd., Series G5, Class A1, 144A, 3 mo. LIBOR + .07%, 0.45%, due 02/21/38		184,326
	21,201	Superannuation Members Home Loans Global Fund, Series 8, Class A1, 3 mo. LIBOR + .07%, 0.48%, due 01/12/37		21,107
	194,929	Superannuation Members Home Loans Global Fund, Series 07-1, Class A1, 3 mo. LIBOR + .06%, 0.46%, due 06/12/40		194,288
	151,033	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.36%, due 05/21/38		149,476

		Total Residential Mortgage-Backed Securities (Australian)		1,693,528


		Residential Mortgage-Backed Securities (European) — 0.1%
	321,590	Aire Valley Mortgages, Series 06-1A, Class 1A, 144A, 3 mo. LIBOR + .11%, 0.60%, due 09/20/66		298,275
	642,493	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .20%, 0.54%, due 01/13/39		630,285
	90,984	Granite Master Issuer Plc, Series 06-2, Class A4, 1 mo. LIBOR + .08%, 0.29%, due 12/20/54		89,255
	44,556	Granite Mortgages Plc, Series 04-3, Class 2A1, 3 mo. LIBOR + .28%, 0.66%, due 09/20/44		44,156
	212,919	Kildare Securities Ltd., Series 07-1A, Class A2, 144A, 3 mo. LIBOR + .06%, 0.53%, due 12/10/43		202,273
	77,276	Leek Finance Plc, Series 17A, Class A2B, 144A, 3 mo. LIBOR + .14%, 0.66%, due 12/21/37		79,389
	188,749	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.73%, due 05/15/34		166,666
	298,825	Paragon Mortgages Plc, Series 12A, Class A2C, 144A, 3 mo. LIBOR + .22%, 0.53%, due 11/15/38		259,604


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (European) — continued
	209,152	Paragon Mortgages Plc, Series 14A, Class A2C, 144A, 3 mo. LIBOR + .20%, 0.59%, due 09/15/39		174,683

		Total Residential Mortgage-Backed Securities (European)		1,944,586


		Residential Mortgage-Backed Securities (United States) — 0.0%
	18,645	Chevy Chase Mortgage Funding Corp., Series 04-3A, Class A2, 144A, 1 mo. LIBOR + .30%, 0.51%, due 08/25/35		13,425
	59,151	Mellon Residential Funding Corp., Series 04-TBC1, Class A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 02/26/34		51,646

		Total Residential Mortgage-Backed Securities (United States)		65,071


		Student Loans — 0.0%
	700,000	College Loan Corp. Trust, Series 07-2, Class A1, 3 mo. LIBOR + .25%, 0.57%, due 01/25/24		682,500
	357,361	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.45%, due 12/23/19		356,997
	7,312	SLM Student Loan Trust, Series 07-A, Class A1, 3 mo. LIBOR + .03%, 0.42%, due 09/15/22		7,308

		Total Student Loans		1,046,805


		Time Share — 0.0%
	63,335	Sierra Receivables Funding Co., Series 08-1A, Class A2, 144A, 1 mo. LIBOR + 4.00%, 4.21%, due 02/20/20		65,255

		Total Asset-Backed Securities		21,312,252


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		604,698


		U.S. Government Agency — 0.0%
	22,464	Agency for International Development Floater (Support of Peru), Series B, 6 mo. U.S. Treasury Bill +.35%, 0.50%, due 05/01/14 ^(b)		22,242


		TOTAL DEBT OBLIGATIONS (COST $21,933,576)		21,939,192


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	30,576	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(c)		30,576


		TOTAL SHORT-TERM INVESTMENTS (COST $30,576)		30,576


		TOTAL INVESTMENTS — 100.0% (Cost $4,372,573,240)		4,474,351,380
		Other Assets and Liabilities (net) — (0.0%)		(76,987	)


		TOTAL NET ASSETS — 100.0%	$	4,474,274,393

Notes to Schedule of Investments:

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

CDO - Collateralized Debt Obligation

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

FSA - Insured as to the payment of principal and interest by Financial Security Assurance.

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

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 November 30, 2012, which are subject to change based on the terms of the security.

t	These securities are primarily backed by subprime mortgages.

(a)	Underlying investment represents interests in defaulted claims. See “Other matters” for additional information.

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

(c)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares		Description	Value ($)
		MUTUAL FUNDS — 99.8%

		Affiliated Issuers — 99.8%
	6,382,531	GMO Currency Hedged International Equity Fund, Class III		147,819,412
	27,654,255	GMO Emerging Markets Fund, Class VI		311,110,373
	2,154,131	GMO Flexible Equities Fund, Class VI		38,515,860
	16,528,612	GMO International Core Equity Fund, Class VI		461,974,713
	1,153,493	GMO International Growth Equity Fund, Class IV		27,822,257
	12,730,389	GMO International Intrinsic Value Fund, Class IV		260,845,674
	284	GMO Special Purpose Holding Fund^(a)		168
	5,343,854	GMO U.S. Core Equity Fund, Class VI		73,424,548
	80,184,111	GMO U.S. Flexible Equities Fund, Class VI		818,679,776


		TOTAL MUTUAL FUNDS (COST $2,086,017,061)		2,140,192,781


		PRIVATE INVESTMENT FUND — 0.0%

		Affiliated Issuers — 0.0%
	175	GMO SPV I, LLC ^(a)		35


		TOTAL PRIVATE INVESTMENT FUND (COST $0)		35


Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	25,867	State Street Eurodollar Time Deposit, 0.01%, due 12/03/12		25,867


		TOTAL SHORT-TERM INVESTMENTS (COST $25,867)		25,867


		TOTAL INVESTMENTS — 99.8% (Cost $2,086,042,928)		2,140,218,683
		Other Assets and Liabilities (net) — 0.2%		3,462,819


		TOTAL NET ASSETS — 100.0%		$2,143,681,502

Notes to Schedule of Investments:

(a)	Underlying investment represents interests in defaulted claims. See “Other matters” for additional information.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds managed by GMO during the period ended November 30, 2012 is set forth below:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value		Description	Value ($)
		DEBT OBLIGATIONS — 5.2%

		Asset-Backed Securities — 2.2%

		Residential Asset-Backed Securities (Canada) ·— 2.1%
CAD	1,408,000	Master Asset Vehicle II, Series 09-2, Class B, due 07/15/56		1,084,331
CAD	600,000	Master Asset Vehicle II, Series 09-2, Class C, due 07/15/56		374,491
CAD	10,238,400	Master Asset Vehicle II, Series 09-2, Class A1, 0.80%, due 07/15/56		8,632,063
CAD	7,753,600	Master Asset Vehicle II, Series 09-2, Class A2, 0.80%, due 07/15/56		6,244,405


		Total Residential Asset-Backed Securities (Canada)		16,335,290


		Residential Asset-Backed Securities (United States) ·— 0.1%
USD	989,778	Countrywide Asset-Backed Certificates, Series 06-S9, Class A2, MBIA, 5.51%, due 08/25/36		979,583


		Total Asset-Backed Securities		17,314,873


Par Value / Shares		Description	Value ($)
		Convertible Debt — 3.0%

		Bank Loans — 3.0%
USD	3,989,899	Chrysler Group LLC, Term Loan B, 3 mo. LIBOR + 4.75%, 6.00%, due 05/24/17		4,074,684
USD	4,000,000	Del Monte Foods Co., Term Loan B, 3 mo. LIBOR + 3.00%, 4.50%, due 03/08/18		4,000,000
USD	1,600,000	Caesars Entertainment Corp. Term Loan B1, 3 mo. LIBOR + 3.00%, 3.21%, due 01/28/15		1,552,000
USD	6,510,231	Caesars Entertainment Corp. Term Loan B3, 3 mo. LIBOR + 3.00%, 3.21%, due 01/28/15		6,314,924
USD	8,000,000	Springleaf Financial Funding Co., Term Loan B, 3 mo. LIBOR + 4.25%, 5.50%, due 05/10/17		7,890,400

		Total Bank Loans		23,832,008


		TOTAL DEBT OBLIGATIONS (COST $41,414,277)		41,146,881


		MUTUAL FUNDS — 88.1%

		Affiliated Issuers — 88.1%
	27,697,758	GMO U.S. Treasury Fund		692,443,940


		TOTAL MUTUAL FUNDS (COST $692,468,050)		692,443,940


		SHORT-TERM INVESTMENTS — 5.3%

		Money Market Funds — 5.3%
	41,168,315	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(a)		41,168,315


		TOTAL SHORT-TERM INVESTMENTS (COST $41,168,315)		41,168,315


		TOTAL INVESTMENTS — 98.6% (Cost $775,050,642)		774,759,136
		Other Assets and Liabilities (net) — 1.4%		11,148,964


		TOTAL NET ASSETS — 100.0%		$785,908,100

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

BBA - British Banks Association

LIBOR - London Interbank Offered Rate

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

·	These securities are primarily backed by subprime mortgages.

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank Plc

BNP - BNP Paribus

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International Plc

MSCS - Morgan Stanley Capital Services LLC

RBS - Royal Bank of Scotland Plc

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Shares / Par Value ($)		Description	Value ($)
		MUTUAL FUNDS — 99.6%

		Affiliated Issuers — 99.6%
	3,198,012	GMO Alpha Only Fund, Class IV		77,871,581
	5,831,872	GMO Currency Hedged International Equity Fund, Class III		135,066,153
	2,817,773	GMO Debt Opportunities Fund, Class VI		76,277,116
	685,664	GMO Domestic Bond Fund, Class VI		12,252,817
	5,625,286	GMO Emerging Country Debt Fund, Class IV		59,684,281
	3,256,190	GMO Emerging Markets Fund, Class VI		36,632,140
	3,966,525	GMO Flexible Equities Fund, Class VI		70,921,460
	6,787,971	GMO International Growth Equity Fund, Class IV		163,725,866
	23,483,169	GMO International Intrinsic Value Fund, Class IV		481,170,142
	4,330,422	GMO Risk Premium Fund, Class VI		44,170,302
	2,485,075	GMO Special Situations Fund, Class VI		63,916,137
	6,663,737	GMO Strategic Fixed Income Fund, Class VI		112,483,885
	68,975,614	GMO U.S. Flexible Equities Fund, Class VI		704,241,017


		TOTAL MUTUAL FUNDS (COST $1,948,957,050)		2,038,412,897


		DEBT OBLIGATIONS — 0.4%

		Asset-Backed Securities — 0.4%

		Business Loans — 0.1%
	701,969	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, 1 mo. LIBOR + .39%, 0.60%, due 01/25/36		519,457
	585,467	Bayview Financial Acquisition Trust, Series 04-B, Class A2, 144A, 1 mo. LIBOR + .65%, 1.51%, due 05/28/39		190,862
	223,671	GE Business Loan Trust, Series 04-1, Class A, 144A, 1 mo. LIBOR + .29%, 0.50%, due 05/15/32		198,061
	490,414	Lehman Brothers Small Balance Commercial, Series 05-2A, Class 1A, 144A, 1 mo. LIBOR + .25%, 0.46%, due 09/25/30		409,251

		Total Business Loans		1,317,631


		CMBS — 0.1%
	600,000	Commercial Mortgage Pass-Through Certificates, Series 06-FL12, Class AJ, 144A, 1 mo. LIBOR + .13%, 0.34%, due 12/15/20		558,000
	25,998	GE Capital Commercial Mortgage Corp., Series 05-C4, Class A2, 5.31%, due 11/10/45		25,998
	600,000	GS Mortgage Securities Corp., Series 07-EOP, Class A2, 144A, 1 mo. LIBOR + .51%, 1.26%, due 03/06/20		599,280
	132,875	Merrill Lynch Mortgage Trust, Series 06-C1, Class A2, 5.64%, due 05/12/39		136,835

		Total CMBS		1,320,113


Par Value ($)		Description	Value ($)
		Corporate Collateralized Debt Obligations — 0.1%
	1,100,000	Morgan Stanley ACES SPC, Series 06-13A, Class A, 144A, 3 mo. LIBOR + .29%, 0.67%, due 06/20/13		1,100,990


		Insured Residential Asset-Backed Securities (United States) ·— 0.0%
	72,951	Residential Asset Mortgage Products, Inc., Series 05-RS9, Class AI3, FGIC, 1 mo. LIBOR + .22%, 0.43%, due 11/25/35		60,184


		Insured Residential Mortgage-Backed Securities (United States) — 0.0%
	336,037	Countrywide Home Equity Loan Trust, Series 07-E, Class A, MBIA, 1 mo. LIBOR + .15%, 0.36%, due 06/15/37		206,663


		Insured Time Share — 0.0%
	112,288	Sierra Receivables Funding Co., Series 07-2A, Class A2, 144A, MBIA, 1 mo. LIBOR + 1.00%, 1.21%, due 09/20/19		112,054


		Residential Asset-Backed Securities (United States) ·— 0.1%
	233,484	ACE Securities Corp., Series 07-WM1, Class A2A, 1 mo. LIBOR + .07%, 0.28%, due 11/25/36		75,298
	398,099	ACE Securities Corp., Series 06-SL3, Class A1, 1 mo. LIBOR + .10%, 0.41%, due 06/25/36		71,160
	181,730	Argent Securities, Inc., Series 06-W2, Class A2B, 1 mo. LIBOR + .19%, 0.40%, due 03/25/36		72,692
	145,752	Argent Securities, Inc., Series 06-M2, Class A2B, 1 mo. LIBOR + .11%, 0.32%, due 09/25/36		48,463
	154,438	Asset Backed Funding Certificates, Series 07-NC1, Class A1, 144A, 1 mo. LIBOR + .22%, 0.43%, due 05/25/37		120,307
	1,200,000	Carrington Mortgage Loan Trust, Series 07-FRE1, Class A2, 1 mo. LIBOR + .20%, 0.41%, due 02/25/37		884,640
	10,298	Chase Funding Mortgage Loan Trust, Series 03-3, Class 2A2, 1 mo. LIBOR + .27%, 0.75%, due 04/25/33		9,494
	1,372,381	Countrywide Asset-Backed Certificates, Series 06-BC3, Class 2A2, 1 mo. LIBOR + .14%, 0.35%, due 02/25/37		1,173,523
	944,676	JP Morgan Mortgage Acquisition Corp., Series 06-WMC4, Class A3, 1 mo. LIBOR + .12%, 0.33%, due 12/25/36		328,558
	273,513	Master Asset-Backed Securities Trust, Series 06-FRE2, Class A4, 1 mo. LIBOR + .15%, 0.36%, due 03/25/36		171,629

		Total Residential Asset-Backed Securities (United States)		2,955,764


Par Value ($)		Description	Value ($)
		Residential Mortgage-Backed Securities (Australian) — 0.0%
	90,514	Interstar Millennium Trust, Series 05-1G, Class A, 3 mo. LIBOR + .12%, 0.81%, due 12/08/36		85,083
	211,447	Westpac Securitization Trust, Series 07-1G, Class A2A, 3 mo. LIBOR + .05%, 0.36%, due 05/21/38		209,267

		Total Residential Mortgage-Backed Securities (Australian)		294,350


		Residential Mortgage-Backed Securities (European) — 0.0%
	350,451	Brunel Residential Mortgages, Series 07-1A, Class A4C, 144A, 3 mo. LIBOR + .10%, 0.54%, due 01/13/39		343,792
	452,998	Paragon Mortgages Plc, Series 7A, Class A1A, 144A, 3 mo. LIBOR + .42%, 0.73%, due 05/15/34		399,997

		Total Residential Mortgage-Backed Securities (European)		743,789


Par Value($)/ Shares		Description	Value ($)
		Student Loans — 0.0%
	536,042	Nelnet Student Loan Trust, Series 05-2, Class A4, 3 mo. LIBOR + .08%, 0.45%, due 12/23/19		535,495

		Total Asset-Backed Securities		8,647,033


		Corporate Debt — 0.0%
	147,000	Health Care Property Investors, Inc., Series G, MTN, 5.63%, due 02/28/13		148,646


		TOTAL DEBT OBLIGATIONS (COST $8,632,457)		8,795,679


		SHORT-TERM INVESTMENTS — 0.0%

		Money Market Funds — 0.0%
	41,165	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00%^(a)		41,165

		TOTAL SHORT-TERM INVESTMENTS (COST $41,165)		41,165


		TOTAL INVESTMENTS — 100.0% (Cost $1,957,630,672)		2,047,249,741
		Other Assets and Liabilities (net) — (0.0%)		(82,074	)


		TOTAL NET ASSETS — 100.0%		$2,047,167,667

Notes to Schedule of Investments:

CMBS - Commercial Mortgage Backed Security

FGIC - Insured as to the payment of principal and interest by Financial Guaranty Insurance Corporation.

LIBOR - London Interbank Offered Rate

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

MTN - Medium Term Note

t	These securities are primarily backed by subprime mortgages.

(a)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:


Par Value ($)		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%

		Time Deposits — 0.0%
	19,562	State Street Eurodollar Time Deposit, 0.01%, due 12/03/12		19,562


		TOTAL SHORT-TERM INVESTMENTS (COST $19,562)		19,562


		TOTAL INVESTMENTS — 100.0% (Cost $63,548,926)		75,962,003
		Other Assets and Liabilities (net) — 0.0%		(19,539	)


		TOTAL NET ASSETS — 100.0%	$	75,942,464

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

Basis of presentation and principles of consolidation: Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund

Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund include the accounts of their wholly owned investments in Alternative Asset SPC Ltd. and Implementation Fund (each a “wholly owned subsidiary”), respectively, and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include 100% of the assets and liabilities of each wholly owned subsidiary.

Shares of the underlying funds and other registered investment funds are valued at their net asset value. Investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Funds did not reduce the value of any of their over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of their counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Funds, either directly or through investments in the underlying funds, that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as being valued using Level 2 inputs (levels defined below) in the table below and as described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Funds and the underlying funds, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Funds and the underlying funds. See the table below for information about securities for which no alternative pricing source was available. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost if the issuer is deemed to present minimal credit risk, which approximates market value.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a debt instrument is not available by the time that the Funds calculate their net asset value on any business day, the Funds will generally use a quoted price from a prior day to value that security.

As discussed above, certain of the Funds and underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, using fair value inputs obtained from an independent pricing service or which may have been valued using prices for which no alternative pricing source was available. The net aggregate direct and/or indirect exposure to these valuation methodologies (based on the Funds’ net assets) as of November 30, 2012 is as follows:



Fund Name	Fair valued using methods determined in good faith by or at the direction of the Trustees			Fair valued using inputs obtained from an independent pricing service			Single source, No alternative pricing source was available
Alpha Only Fund		—			45.1	%		—
Consolidated Alternative Asset Opportunity Fund		0.0	%*		—			0.1	%
Consolidated Benchmark-Free Allocation Fund		0.2	%		41.0	%		0.5	%
Benchmark-Free Fund		0.3	%		45.1	%		0.5	%
Global Asset Allocation Fund		0.3	%		42.2	%		0.7	%
Global Equity Allocation Fund		0.2	%		54.7	%		—
International Equity Allocation Fund		0.3	%		91.2	%		—
International Opportunities Equity Allocation Fund		0.0	%*		95.6	%		—
Special Situations Fund		—			—			—
Strategic Opportunities Allocation Fund		0.2	%		45.2	%		0.7	%
U.S. Equity Allocation Fund		—			3.4	%		—
World Opportunities Equity Allocation Fund		0.0	%*		52.8	%		—



Fund Name	Futures contracts fair valued using inputs obtained from an independent pricing service			Swap agreements fair valued using inputs obtained from an independent pricing service			Options fair valued using inputs obtained from an independent pricing service
Alpha Only Fund		(0.4	)%		(0.9	)%		—
Consolidated Alternative Asset Opportunity Fund		(0.3	)%		—			—
Consolidated Benchmark-Free Allocation Fund		(0.1	)%		(0.3	)%		(0.1	)%
Benchmark-Free Fund		(0.1	)%		(0.2	)%		(0.1	)%
Global Asset Allocation Fund		(0.1	)%		(0.2	)%		(0.1	)%
Global Equity Allocation Fund		0.0	%*		0.0	%*		—
International Equity Allocation Fund		0.1	%		0.0	%*		—
International Opportunities Equity Allocation Fund		0.1	%		0.0	%*		(0.1	)%
Special Situations Fund		—			(1.3	)%		—
Strategic Opportunities Allocation Fund		0.0	%*		(0.1	)%		—
U.S. Equity Allocation Fund		—			—			—
World Opportunities Equity Allocation Fund		0.0	%*		0.0	%*		—

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.

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost; certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds; certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts; certain restricted securities; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain derivatives using third party valuation services; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; potential litigation recoveries and interests related to bankruptcy proceedings valued at zero; and third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information.

The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of November 30, 2012:

For all Funds, for the period ended November 30, 2012, there were no material transfers between Level 1 and Level 2.

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



Fund Name	Level 3 securities			Level 3 derivatives
Alpha Only Fund		0.0%	^*		—
Consolidated Alternative Asset Opportunity Fund		0.4%			—
Consolidated Benchmark-Free Allocation Fund		5.6%			(0.1)	%
Benchmark-Free Fund		5.5%			(0.1)	%
Global Asset Allocation Fund		5.9%			(0.1)	%
Global Equity Allocation Fund		0.2%			—
International Equity Allocation Fund		0.3%			—
International Opportunities Equity Allocation Fund		0.0%	^*		—
Special Situations Fund		5.2%			—
Strategic Opportunities Allocation Fund		6.3%			(0.1)	%
U.S. Equity Allocation Fund		—			—
World Opportunities Equity Allocation Fund		0.0% ^*			—

The Funds may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments of loans, it acquires direct rights against the borrower. Loan agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The Funds may enter into repurchase agreements. Under a repurchase agreement a 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. That Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to that Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, that Fund’s recovery of cash from the seller may be delayed and, even if that Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

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

The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are included in the Funds’ gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

The following chart identifies the selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

Alpha Only
Fund

Alternative
Asset
Opportunity
Fund

Benchmark-
Free Allocation
Fund

Benchmark-
Free Fund

Global Asset
Allocation
Fund

Global Equity
Allocation
Fund

International
Equity
Allocation
Fund

International
Opportunities
Equity
Allocation
Fund

Special
Situations Fund

Strategic
Opportunities
Allocation
Fund

U.S. Equity
Allocation
Fund

World
Opportunities
Equity
Allocation
Fund

Market Risk – Equity Securities Risk

•

Market Risk – Fixed Income Investments Risk

•

Market Risk – Asset-Backed Securities Risk

•

Credit Risk

•

Liquidity Risk

•

Smaller Company Risk

•

Derivatives Risk

•

Non-U.S. Investment Risk

•

Currency Risk

•

Focused Investment Risk

•

Options Risk

•

Real Estate Risk

•

Leveraging Risk

•

Counterparty Risk

•

Short Sales Risk

•

Natural Resources Risk

•

Commodities Risk

•

Market Disruption and Geopolitical Risk

•

Large Shareholder Risk

•

Management and Operational Risk

•

Fund of Funds Risk

•

Non-Diversified Funds

•

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. All of the Funds are subject to market risk, which is the risk that the market value of their holdings will decline. Market risks include:

Equity Securities Risk. — Funds with equity investments run the risk that the market prices of those investments will decline. The market price of an equity investment may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. It also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equity investments generally have greater price volatility than fixed income and other investments with a scheduled stream of payments, and the market price of equity investments is more susceptible to moving up or down in a rapid or unpredictable manner.

Some of the Funds invest a substantial portion of their assets in equities and generally do not take temporary defensive positions. As a result, declines in stock market prices generally are likely to reduce the net asset values of those Funds’ shares.

Fixed Income Investments Risk. — Funds that invest in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising (or, in some limited cases, declining) interest rates and widening credit spreads, or decreased liquidity that reflect the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. During periods of economic uncertainty and change, the market price of a Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to value, resulting in differences between the prices realized on their sale and the value at which they are carried on the books of a Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

The price of inflation indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the price of inflation indexed bonds may decline more than the price of non-inflation indexed (or nominal) fixed income bonds with similar maturities. The price of a Fund’s inflation indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, a Fund that invests a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees. Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

Asset-Backed Securities Risk. — Investments in asset-backed securities not only are subject to all of the market risks described above for fixed income securities but to other market risks as well.

As described under “Market Risk — Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a decrease in the payment stream expected by a Fund at the time it purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause a Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. As of the date of this report, many asset-backed securities owned by the Funds that were once rated investment grade are now rated below investment grade. See “Credit Risk” below for more information about credit risk.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and a Fund holding such a security is subject to the risk that its rating will be downgraded.

All of the Funds with benchmarks may buy securities that are less liquid than those in their benchmarks.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. Moreover, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• DERIVATIVES RISK. All of the Funds may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates or indices. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

A Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., non-U.S. currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, a Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. The Funds may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Funds. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, a Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., a Fund’s investment exposures exceed its net asset value). Leverage increases the magnitude of a Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. A Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. A Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the greater possibility that events will intervene to prevent settlement. Counterparty risk also is greater when a Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases a Fund’s counterparty risk. Funds that use swap agreements are subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

• SHORT SALES RISK. Some Funds may use short sales in their investment programs in an attempt to increase their returns or for hedging purposes.

In implementing its principal investment strategy, Alpha Only Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an exchange-traded fund (“ETF”)) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If a Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involve a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. Accordingly, Alpha Only Fund is subject to increased leveraging risk and other investment risks described in this “Investment and other risks” section to the extent it sells short securities or currencies it does not own.

• NATURAL RESOURCES RISK. The Funds (except Alternative Asset Opportunity Fund, Implementaion Fund, Special Situations Fund and U.S. Equity Allocation Fund) may invest in Resources Fund. Resources Fund concentrates its investments in the natural resources sector, and so is particularly exposed to adverse developments, including adverse price movements, affecting issuers in the natural resources sector and is subject to greater risks than a fund that invests in a wider range of industries. In addition, the prices of securities of companies in the natural resources sector may be more volatile than those of securities of companies in other industries. Some of the commodities used as raw materials or produced by these companies are subject to broad price fluctuations as a result of industry wide supply and demand factors. Companies in the natural resources sector often have limited pricing power over supplies or for the products they sell, which can affect their profitability. Companies in the natural resources sector also may be subject to special risks associated with natural or man-made disasters. In addition, the natural resources sector can be especially affected by political and economic developments, government regulations including changes in tax law or interpretations of law, energy conservation, and the success of exploration projects. Specifically, the natural resource sector can be significantly affected by import controls, worldwide competition, changes in consumer sentiment and spending, and can be subject to liability for, among other things, environmental damage, depletion of resources, and mandated expenditures for safety and pollution control.

The Funds (except Alternative Asset Opportunity Fund, Implementaion Fund, Special Situations Fund and U.S. Equity Allocation Fund) are exposed to the risks of investments in the natural resources sector to the extent they invest in Resources Fund.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market value of options written by a Fund will be affected by many factors, including changes in the value of underlying securities or indices; changes in the dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the stock market and underlying securities; and the remaining time to an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. This risk is not present when writing a European style option since the holder may only exercise the option on its expiration date. If a Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

National securities exchanges generally have established limits on the maximum number of options an investor or group of investors acting in concert may write. A Fund, the Manager, and other funds advised by the Manager may constitute such a group. These limits could restrict a Fund’s ability to purchase or sell options on a particular security.

Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options (options not traded on exchanges) generally are established through negotiation with the other party to the option contract. While this type of arrangement allows a Fund greater flexibility to tailor an option to its needs, participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets. Therefore, OTC options generally expose a Fund to greater credit risk than exchange-traded options, which are guaranteed by the clearing organization of the exchanges where they are traded. Purchasing and selling put and call options are highly specialized activities and entail greater than ordinary market risks.

Special tax rules apply to a Fund’s transactions in options, which could increase the amount of taxes payable by shareholders. In particular, the Fund’s options transactions potentially could cause a substantial portion of a Fund’s income to consist of net short-term capital gains, which, when distributed, are taxable to shareholders as ordinary income.

• COMMODITIES RISK. The Funds (except Alpha Only Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) may invest in Alternative Asset Opportunity Fund, which has exposure to commodity markets. Therefore, the price of its shares is affected by factors particular to the commodity markets and may decline and fluctuate more than the price of shares of a fund with a broader range of investments. Commodity prices can be extremely volatile and are affected by many 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, nationalization, expropriation, or other confiscation, international regulatory, political and economic developments (e.g., regime changes and changes in economic activity levels), 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. Alternative Asset Opportunity Fund invests in commodity-related derivatives. The value of these derivatives may fluctuate more than the commodity or commodities or commodity index to which they relate. The Funds (except Alpha Only Fund, Implementation Fund, Special Situations Fund and U.S. Equity Allocation Fund) are exposed to the risks of investments in commodities to the extent they invest in Alternative Asset Opportunity Fund.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Funds are subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Funds’ investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. The uncertainty surrounding the sovereign debt of the European Union countries of Greece, Spain, Portugal, Ireland and Italy, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, there likely will be significant disruptions in the world’s securities markets and substantial government interventions (e.g., currency controls), which could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Funds’ investments. During such market disruptions, the Funds’ exposure to the risks described elsewhere in this “Investments and other risks” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Funds from implementing their investment programs for a period of time and achieving their investment objectives. For example, a disruption may cause disruptions to the orderly functioning of the securities markets and/or may cause the Funds’ derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates, or indices, or to offer them on a more limited basis.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. Funds that invest in shares of other investment companies, including other GMO Funds, money market funds and ETFs (for purposes of this risk disclosure, “underlying funds”), are exposed to the risk that the underlying funds will not perform as expected.

Because a Fund bears the fees and expenses of the underlying funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying funds. In addition, total Fund expenses will increase if a Fund makes a new or further investment in underlying funds with higher fees or expenses than the average fees and expenses of the underlying funds then in the Fund’s portfolio.

The Funds also are indirectly exposed to all of the risks of an investment in the underlying funds. Because some underlying funds (e.g., many of the Fixed Income Funds) in turn invest a substantial portion of their assets in other GMO Funds (pursuant to an exemptive order obtained from the SEC), the Asset Allocation Funds have more tiers of investments than funds in many other groups of investment companies. Funds that invest in shares of other GMO Funds also are likely to be subject to Large Shareholder Risk because underlying GMO Funds are more likely to have large shareholders (e.g., other GMO Funds). See “Large Shareholder Risk” above.

In addition, each of the Funds invests a portion of its assets in shares of one or more other GMO Funds that are not diversified investment companies under the Investment Company Act of 1940, as amended. Each of the Funds may invest without limitation in other GMO Funds that are not diversified.

The following Funds are not diversified investment companies under the 1940 Act, as amended:

Temporary Defensive Positions. — The Funds (other than Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund) normally do not take temporary defensive positions. Alternative Asset Opportunity Fund and Benchmark-Free Allocation Fund may, from time to time, take temporary defensive positions if deemed prudent by the Manager. To the extent a Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

At November 30, 2012, only Alpha Only Fund, Alternative Asset Opportunity Fund, Implementation Fund and Special Situations Fund held derivative financial instruments directly. For a listing of derivative financial instruments held by the underlying funds, if any, please refer to the underlying funds’ Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alpha Only Fund, Alternative Asset Opportunity Fund, Implementation Fund and Special Situations Fund.

The Funds may use derivatives as a substitute for direct investment in securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements, and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by their portfolio investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

The Funds are not limited in their use of derivatives or in the absolute face value of their derivative positions. As a result of its derivative positions, Alpha Only Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and Implementation Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore is subject to heightened risk of loss. The Funds’ performance can depend substantially, if not primarily, on derivative reference assets that the Funds do not own.

A Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Fund may use derivatives as a substitute for direct investment in global equities, bonds, currencies, commodities, or other assets. In particular, the Fund may use exchange traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivatives, such as futures, related options, and swap agreements, in an attempt to adjust elements of its investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of a certain type of security or commodity and the Manager believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). Long and short swap agreements and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In addition, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may also use derivatives to effect transactions intended as substitutes for securities lending.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on derivative reference assets that the Fund does not own.

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

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if the Fund holds a large proportion of stocks of companies in a particular sector and the Manager believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically “sell” a portion of the Fund’s portfolio) in combination with a long futures contract on another index (to synthetically “buy” exposure to that index). In addition, the Manager may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund’s exposure to the credit of an issuer through the debt instrument but adjust the Fund’s interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposure, the Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

The Fund may also use derivatives to effect transactions intended as substitutes for securities lending.

For Funds that held derivatives during the period ended November 30, 2012, the following table shows how the Fund used these derivatives (marked with an x):



Type of Derivative and Objective for Use	Alpha Only Fund	Consolidated Alternative Asset Opportunity Fund*	Consolidated Benchmark- Free Allocation Fund**	Special Situations Fund
Forward currency contracts
Adjust currency exchange rate risk		X
Adjust exposure to foreign currencies	X	X	X	X
To hedge some or all of the currency exposure of the underlying Funds and assets in which the Fund invests	X
To manage against anticipated currency exchange rate changes	X		X	X
Futures contracts
Adjust exposure to certain securities markets		X	X	X
Maintain the diversity and liquidity of the portfolio		X	X	X
To hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests	X
Options (Written)
Used written put option contracts as a substitute for direct equity investment			X
Swap agreements
Adjust exposure to certain securities markets			X	X
Adjust interest rate exposure				X
Adjust exposure to certain companies and industries			X	X
Manage the duration of the portfolio				X
To hedge some or all of the broad market exposure of the assets in which the Fund invests			X	X
To hedge some or all of the broad market exposure of the underlying Funds and assets in which the Fund invests	X
Rights and/or warrants
Received as a result of corporate actions			X

For the period ended November 30,2012, investment activity in options contracts written by the Funds were as follow:

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation charges through the NYSE close). The Funds value OTC options using inputs provided by primary pricing sources and industry models.

Forward starting dividend swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive the changes in a dividend index point. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if the Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap agreements involve an exchange by the parties of their respective commitments to pay or right to receive the changes in an index. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if a Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

As provided by U.S. GAAP , the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

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

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amount (options) outstanding at each month-end, was as follows for the period ended November 30, 2012.

Effective December 31, 2012, the GMO Strategic Opportunities Allocation Fund (the “Fund”) charges a purchase premium of 0.07% of the amount invested and a redemption fee of 0.07% of the amount redeemed.


Shares		Description	Value ($)
		COMMON STOCKS — 80.9%

		Australia — 1.9%
	41,043	ALS Ltd/Queensland		407,734
	908,978	Arrium Ltd		779,929
	30,132	Australia & New Zealand Banking Group Ltd		766,836
	34,742	BHP Billiton Ltd		1,251,140
	159,665	Billabong International Ltd		153,574
	1,603,872	BlueScope Steel Ltd ^*		888,602
	18,461	Commonwealth Bank of Australia		1,150,815
	38,266	CSL Ltd		2,063,932
	668,118	Dexus Property Group (REIT)		701,308
	622,797	Goodman Fielder Ltd ^*		435,935
	200,535	Goodman Group (REIT)		967,024
	185,339	GPT Group (REIT)		675,324
	208,981	Investa Office Fund (REIT)		632,801
	44,542	JB Hi-Fi Ltd		461,693
	23,279	Macquarie Group Ltd		796,889
	437,334	Mirvac Group (REIT)		671,616
	96,535	Myer Holdings Ltd		218,588
	252,002	Pacific Brands Ltd		156,610
	202,207	Qantas Airways Ltd ^*		279,966
	271,528	QBE Insurance Group Ltd		3,102,590
	172,931	Resolute Mining Ltd		334,198
	467,807	Stockland (REIT)		1,655,655
	167,083	TABCORP Holdings Ltd		488,528
	83,720	Tatts Group Ltd		255,903
	1,048,791	Telstra Corp Ltd		4,718,178
	8,836	Wesfarmers Ltd		327,742
	106,389	Westpac Banking Corp		2,833,642

		Total Australia		27,176,752


		Austria — 0.2%
	8,995	Andritz AG		573,066
	32,551	OMV AG		1,164,667
	7,419	Raiffeisen Bank International AG		305,758
	22,155	Voestalpine AG		715,789

		Total Austria		2,759,280


		Belgium — 0.8%
	41,112	Ageas		1,100,250
	102,949	Anheuser-Busch InBev NV		9,040,198
	30,024	Belgacom SA		882,758
	12,397	Delhaize Group SA		459,314

		Total Belgium		11,482,520


		Brazil — 1.1%
	10,200	Anhanguera Educacional Participacoes SA		154,041
	254,500	Banco do Brasil SA		2,609,554
	22,300	Banco Santander Brasil SA		151,324
	119,800	Banco Santander Brasil SA ADR		801,462
	57,200	BM&FBovespa SA		343,714
	36,200	BR Malls Participacoes SA		465,036


Shares		Description	Value ($)
		Brazil — continued
	13,800	BR Properties SA		162,748
	36,400	Brasil Brokers Participacoes SA		109,534
	39,400	Brookfield Incorporacoes SA		60,848
	7,678	Brookfield Incorporacoes SA ^*		11,858
	36,900	Centrais Eletricas Brasileiras SA		132,106
	56,900	Centrais Eletricas Brasileiras SA Sponsored ADR		208,254
	3,600	Cia de Bebidas das Americas		130,906
	3,100	Cia de Saneamento Basico do Estado de Sao Paulo		125,491
	2,800	Cia de Saneamento Basico do Estado de Sao Paulo ADR		227,836
	61,100	Cielo SA		1,591,265
	16,900	Cosan SA Industria e Comercio		310,746
	9,700	Cyrela Brazil Realty SA Empreendimentos e Participacoes		80,894
	38,100	Diagnosticos da America SA		221,454
	48,600	Duratex SA		335,478
	28,100	Even Construtora e Incorporadora SA		113,226
	6,000	Ez Tec Empreendimentos e Participacoes SA		72,501
	5,300	Kroton Educacional SA ^*		102,785
	10,300	Localiza Rent a Car SA		171,361
	3,000	M Dias Branco SA		100,005
	64,200	MRV Engenharia e Participacoes SA		339,808
	10,000	Multiplan Empreendimentos Imobiliarios SA		276,114
	30,200	Multiplus SA		699,598
	2,900	Natura Cosmeticos SA		76,762
	11,300	Obrascon Huarte Lain Brasil SA		100,477
	133,900	PDG Realty SA Empreendimentos e Participacoes		188,618
	52,700	Petroleo Brasileiro SA (Petrobras) ADR		947,019
	44,500	Qualicorp SA ^*		432,130
	102,500	Rossi Residencial SA		195,713
	13,100	Sul America SA		95,025
	9,800	Ultrapar Participacoes SA		201,797
	7,700	Ultrapar Participacoes SA Sponsored ADR		158,312
	170,500	Vale SA Sponsored ADR		2,971,815

		Total Brazil		15,477,615


		Canada — 1.0%
	3,700	Agrium Inc		377,841
	5,200	Alimentation Couche Tard Inc-Class B		256,872
	8,400	BCE Inc		355,669
	15,300	Canadian National Railway Co		1,376,053
	61,900	Canadian Natural Resources Ltd		1,781,568
	2,800	Canadian Pacific Railway Ltd		261,298
	2,800	Canadian Tire Corp Ltd		185,755
	4,600	Dollarama Inc		293,824
	6,790	Enbridge Inc		274,922
	77,600	Encana Corp		1,695,193
	42,900	First Quantum Minerals Ltd		881,019
	22,500	Husky Energy Inc		631,499
	58,400	Manulife Financial Corp		751,349


Shares		Description	Value ($)
		Canada — continued
	8,300	Methanex Corp		251,168
	12,400	Metro Inc		763,461
	124,400	Research in Motion Ltd ^*		1,451,448
	24,000	Royal Bank of Canada		1,423,063
	42,900	Sherritt International Corp		219,823
	62,500	Sun Life Financial Inc		1,710,752

		Total Canada		14,942,577


		Chile — 0.0%
	19,678	ENTEL Chile SA		405,057


		China — 2.5%
	94,000	Agile Property Holdings Ltd		126,579
	7,100	Baidu Inc Sponsored ADR ^*		683,801
	2,932,000	Bank of China Ltd		1,236,653
	248,000	Bank of Communications Co Ltd		180,644
	764,000	China Citic Bank Corp Ltd		392,052
	451,000	China Coal Energy Co Ltd		454,235
	678,000	China Communications Construction Co Ltd		617,237
	640,000	China Communications Services Corp Ltd		362,501
	2,882,000	China Construction Bank Corp		2,208,278
	224,865	China Everbright Ltd		325,932
	508,000	China High Speed Transmission Equipment Group Co Ltd ^*		169,039
	495,000	China Life Insurance Co Ltd		1,450,637
	3,300	China Life Insurance Co Ltd ADR		145,662
	54,000	China Merchants Bank Co Ltd		103,171
	305,000	China Minsheng Banking Corp Ltd		299,729
	688,500	China Mobile Ltd		7,842,223
	1,900	China Mobile Ltd Sponsored ADR		108,148
	188,000	China Oilfield Services Ltd		374,370
	124,000	China Overseas Land & Investment Ltd		365,454
	72,800	China Pacific Insurance Group Co Ltd		238,472
	1,016,000	China Petroleum & Chemical Corp		1,074,799
	3,000	China Petroleum & Chemical Corp ADR		317,700
	556,500	China Railway Construction Corp Ltd		620,835
	1,210,000	China Railway Group Ltd		702,220
	56,000	China Resources Land Ltd		150,231
	118,500	China Shenhua Energy Co Ltd		485,206
	176,000	China Southern Airlines Co Ltd		78,555
	2,972,000	China Telecom Corp Ltd		1,616,381
	1,400	China Telecom Corp Ltd ADR		76,062
	250,000	China Unicom Hong Kong Ltd		389,004
	13,800	China Unicom Hong Kong Ltd ADR		214,314
	288,000	China Yurun Food Group Ltd ^*		179,469
	298,000	Citic Pacific Ltd		378,680
	964,000	CNOOC Ltd		2,048,864
	2,500	CNOOC Ltd ADR		532,900
	91,395	COSCO Pacific Ltd		128,336
	126,000	CSR Corp Ltd		106,434
	578,000	Datang International Power Generation Co Ltd		201,714


Shares		Description	Value ($)
		China — continued
	80,800	Dongfang Electric Corp Ltd		137,128
	184,000	Dongfeng Motor Group Co Ltd		258,500
	113,100	Great Wall Motor Co Ltd		372,773
	140,000	Harbin Electric Co Ltd		115,665
	224,000	Huaneng Power International Inc		191,200
	3,916,265	Industrial & Commercial Bank of China		2,641,410
	20,500	Inner Mongolia Yitai Coal Co Ltd		113,839
	258,000	Kunlun Energy Co Ltd		525,138
	665,000	Lonking Holdings Ltd		151,039
	602,000	PetroChina Co Ltd		800,094
	358,000	PICC Property & Casualty Co Ltd		461,313
	180,500	Ping An Insurance Group Co		1,361,917
	267,000	Poly Property Group Co Ltd ^*		184,572
	41,000	Shanghai Industrial Holdings Ltd		134,363
	195,500	Shimao Property Holdings Ltd		395,835
	383,000	Sun Art Retail Group Ltd		587,081
	9,100	Tencent Holdings Ltd		296,155
	65,000	Weichai Power Co Ltd		244,500
	26,300	Yantai Changyu Pioneer Wine Co Ltd		132,442
	340,000	Yanzhou Coal Mining Co Ltd		521,579

		Total China		36,613,064


		Czech Republic — 0.3%
	66,964	CEZ AS		2,224,178
	6,176	Komercni Banka AS		1,232,794
	15,588	Telefonica Czech Republic AS		277,845

		Total Czech Republic		3,734,817


		Denmark — 0.4%
	1,004	Coloplast A/S-Class B		234,420
	9,825	GN Store Nord A/S		138,782
	37,360	Novo Nordisk A/S-Class B		5,921,951

		Total Denmark		6,295,153


		Egypt — 0.2%
	111,825	Commercial International Bank Egypt SAE		587,897
	67,560	Egyptian Financial Group-Hermes Holding ^*		111,835
	266,460	Ezz Steel		349,128
	976	Orascom Construction Industries GDR ^*		36,481
	10,280	Orascom Construction Industries		368,281
	201,851	Orascom Telecom Holding SAE ^*		113,090
	149,447	Orascom Telecom Holding SAE GDR ^*		429,137
	6,455,584	Orascom Telecom Media And Technology Holding SAE		539,060
	482,282	Palm Hills Developments SAE ^*		154,133
	313,678	Talaat Moustafa Group ^*		201,576
	96,256	Telecom Egypt Co		197,224

		Total Egypt		3,087,842


		Finland — 0.2%
	26,519	Neste Oil Oyj		338,997
	669,983	Nokia Oyj		2,201,330


Shares		Description	Value ($)
		Finland — continued
	6,059	Nokian Renkaat Oyj		253,305
	9,001	Tieto Oyj		173,048

		Total Finland		2,966,680


		France — 4.4%
	127,851	Air France-KLM ^*		1,174,126
	12,476	Arkema SA		1,276,908
	3,071	Artprice.com ^*		110,847
	41,324	AXA		680,603
	34,710	BNP Paribas		1,942,409
	9,272	Bouygues SA		229,134
	8,864	Cie Generale d’Optique Essilor International SA		856,415
	6,221	Cie Generale des Etablissements Michelin		579,797
	28,521	European Aeronautic Defence and Space Co NV		961,454
	110,818	France Telecom SA		1,178,751
	16,232	GDF Suez		365,176
	7,972	Gemalto NV		733,587
	4,014	L’Oreal SA		545,095
	5,262	Lafarge SA		306,219
	24,177	Lagardere SCA		728,788
	4,659	Pernod-Ricard SA		527,892
	181,134	Peugeot SA ^*		1,112,969
	5,616	Rallye SA		168,112
	1,134	Remy Cointreau SA		127,062
	52,097	Renault SA		2,609,815
	7,933	Safran SA		325,251
	231,372	Sanofi		20,665,551
	465,781	Total SA		23,342,895
	103,500	Vivendi SA		2,226,527
	7,430	Zodiac Aerospace		830,793

		Total France		63,606,176


		Germany — 2.3%
	10,043	Adidas AG		883,460
	42,978	Bayer AG (Registered)		3,889,629
	3,481	Beiersdorf AG (Bearer)		273,004
	6,277	Continental AG		695,709
	9,284	Deutsche Bank AG (Registered)		409,512
	55,248	Deutsche Lufthansa AG		917,599
	31,976	Deutsche Post AG (Registered)		664,170
	8,339	Duerr AG		696,015
	445,659	E. On AG		8,036,577
	23,846	GEA Group AG		779,917
	9,854	Lanxess AG		858,272
	18,200	Leoni AG		632,098
	10,270	Muenchener Rueckversicherungs AG (Registered)		1,753,803
	14,290	Norddeutsche Affinerie AG		908,171
	69,519	RWE AG		2,899,893
	12,598	Salzgitter AG		580,320


Shares		Description	Value ($)
		Germany — continued
	101,866	SAP AG		7,953,601
	25,978	Suedzucker AG		1,023,323

		Total Germany		33,855,073


		Greece — 0.1%
	26,612	Marfin Investment Group Holdings SA ^*		10,924
	99,716	OPAP SA		648,697
	71,956	Public Power Corp SA ^*		417,409

		Total Greece		1,077,030


		Hong Kong — 0.4%
	393,000	Agricultural Bank of China Ltd		172,840
	24,000	Cheung Kong Holdings Ltd		365,553
	116,200	Chow Tai Fook Jewellery Group Ltd		169,490
	145,104	CLP Holdings Ltd		1,267,894
	464,200	Esprit Holdings Ltd		718,962
	627,000	Evergrande Real Estate Group Ltd		312,917
	135,000	Galaxy Entertainment Group Ltd ^*		513,631
	171	Melco International Development Ltd		183
	10,000	Netease.Com Inc ADR ^*		438,600
	505,000	Pacific Basin Shipping Ltd		267,219
	60,500	Swire Pacific Ltd-Class A		743,440
	120,000	Yue Yuen Industrial Holdings Ltd		417,971

		Total Hong Kong		5,388,700


		Hungary — 0.0%
	79,644	Magyar Telekom Telecommunications Plc		144,773
	972	MOL Hungarian Oil and Gas Plc		82,489
	9,918	OTP Bank Plc		186,935
	719	Richter Gedeon Nyrt		118,039

		Total Hungary		532,236


		India — 1.1%
	33,672	Axis Bank Ltd GDR		828,955
	7,995	Grasim Industries Ltd GDR		496,487
	31,900	HDFC Bank Ltd ADR		1,343,628
	503,400	Hindalco Industries Ltd ^(a)		1,057,208
	25,400	ICICI Bank Ltd Sponsored ADR		1,041,146
	63,600	Infosys Technologies Ltd Sponsored ADR		2,827,020
	45,844	Larsen & Toubro Ltd GDR		1,412,131
	41,189	Mahindra & Mahindra Ltd GDR		708,425
	55,759	Reliance Industries Ltd		1,643,030
	14,154	State Bank of India GDR		1,162,030
	147,000	Sterlite Industries India Ltd ADR		1,159,830
	65,800	Tata Motors Ltd Sponsored ADR		1,649,606
	67,300	Wipro Ltd ADR		588,875

		Total India		15,918,371


		Indonesia — 0.9%
	4,387,000	Astra International Tbk PT		3,310,994
	1,559,000	Bank Mandiri Persero Tbk PT		1,339,419
	269,000	Bank Negara Indonesia Persero Tbk PT		103,668


Shares		Description	Value ($)
		Indonesia — continued
	1,265,000	Bank Rakyat Indonesia Persero Tbk PT		928,364
	4,444,000	Bhakti Investama Tbk PT		254,476
	484,000	Gajah Tunggal Tbk PT		110,868
	2,112,000	Global Mediacom Tbk PT		528,058
	205,000	Harum Energy Tbk PT		106,700
	544,000	Indofood Sukses Makmur Tbk PT		331,698
	114,000	Indosat Tbk PT		65,880
	4,178,500	Kalbe Farma Tbk PT		448,504
	2,443,000	Media Nusantara Citra Tbk PT		679,645
	200,500	Mitra Adiperkasa Tbk PT		148,129
	2,586,000	Perusahaan Gas Negara Persero Tbk PT		1,219,214
	539,150	Semen Gresik Persero Tbk PT		830,914
	43,000	Sumber Alfaria Trijaya Tbk PT		23,724
	82,000	Tambang Batubara Bukit Asam Persero Tbk PT		119,473
	1,225,000	Telekomunikasi Indonesia Persero Tbk PT		1,155,213
	20,600	Telekomunikasi Indonesia Tbk PT Sponsored ADR		783,624
	150,000	United Tractors Tbk PT		266,093
	159,000	XL Axiata Tbk PT		85,208

		Total Indonesia		12,839,866


		Ireland — 0.2%
	56,355	C&C Group Plc		300,175
	58,384	CRH Plc		1,068,730
	13,884	DCC Plc		418,864
	19,065	Kerry Group Plc-Class A		998,796
	8,484	Paddy Power Plc		640,152

		Total Ireland		3,426,717


		Israel — 0.1%
	53,975	Africa Israel Investments Ltd ^*		130,274
	8,635	Mellanox Technologies Ltd ^*		655,601
	30,662	Partner Communications Co Ltd		198,039
	181	Paz Oil Co Ltd		25,217

		Total Israel		1,009,131


		Italy — 1.8%
	377,669	A2A SPA		205,943
	21,942	Azimut Holding SPA		286,316
	1,943,952	Enel SPA		7,372,855
	294,116	ENI SPA		6,974,764
	6,106	Exor SPA		151,133
	82,503	Fiat Industrial SPA		882,196
	143,395	Fiat SPA ^*		664,917
	281,819	Finmeccanica SPA ^*		1,483,611
	75,668	Impregilo SPA		312,397
	385,850	Intesa Sanpaolo SPA		650,182
	61,045	Intesa Sanpaolo SPA		83,464
	5,995	Lottomatica Group SPA		132,251
	6,643	Luxottica Group SPA		273,197
	112,860	Mediolanum SPA		550,818


Shares		Description	Value ($)
		Italy — continued
	97,851	Pirelli & C. SPA		1,136,978
	23,534	Recordati SPA		197,025
	2,109,916	Telecom Italia SPA		1,922,275
	118,931	Terna Rete Elettrica Nazionale SPA		452,023
	1,489,717	Telecom Italia SPA-Di RISP		1,189,867
	4,843	Tod’s SPA		591,128

		Total Italy		25,513,340


		Japan — 8.4%
	2,500	ABC-Mart Inc		106,500
	436	Accordia Golf Co Ltd		407,523
	163	Advance Residence Investment Corp (REIT)		342,174
	28,200	Advantest Corp		378,719
	155,400	Aeon Co Ltd		1,740,270
	68,000	Anritsu Corp		877,050
	61,600	Astellas Pharma Inc		3,118,426
	27,700	Credit Saison Co Ltd		618,164
	49,850	Daiei Inc (The) ^*		97,531
	257,000	Daikyo Inc		619,872
	33,200	Daito Trust Construction Co Ltd		3,225,676
	94,000	Daiwabo Holdings Co Ltd		193,172
	37,600	Dena Co Ltd		1,377,560
	159,000	DIC Corp		286,528
	6,646	East Japan Railway Co		436,891
	23,600	Eisai Co Ltd		991,959
	4,200	Fast Retailing Co Ltd		957,934
	136,000	Fuji Electric Co Ltd		291,320
	79,000	Fuji Heavy Industries Ltd		890,773
	15,300	Fuji Oil Co Ltd		219,816
	49,000	Gunze Ltd		121,468
	51,000	Hanwa Co Ltd		168,680
	733,500	Haseko Corp ^*		481,937
	10,800	Hikari Tsushin Inc		491,453
	127	Inpex Corp		682,945
	148,000	Isuzu Motors Ltd		871,419
	240,100	Itochu Corp		2,408,318
	7,900	J Trust Co Ltd		129,500
	492,950	Japan Tobacco Inc		14,780,881
	62,500	JFE Holdings Inc		973,922
	64,000	Juki Corp		72,498
	639,300	JX Holdings Inc		3,423,771
	34,200	K’s Holdings Corp		774,437
	400,000	Kajima Corp		1,154,401
	11,000	Kakaku.com Inc		379,273
	35,400	Kao Corp		973,377
	637,000	Kawasaki Kisen Kaisha Ltd ^*		845,075
	61,600	KDDI Corp		4,570,898
	45,000	Kinugawa Rubber Industrial Co Ltd		288,556
	212,000	Kobe Steel Ltd ^*		199,134
	16,986	Kohnan Shoji Co Ltd		197,615
	57,000	Kurimoto Ltd		192,971
	14,700	Lawson Inc		995,136


Shares		Description	Value ($)
		Japan — continued
	150,100	Leopalace21 Corp ^*		473,464
	39,000	Look Inc		195,386
	242,000	Marubeni Corp		1,601,049
	472,000	Mazda Motor Corp ^*		748,007
	41,104	Medipal Holdings Corp		487,111
	5,900	MEIJI Holdings Co Ltd		262,661
	3,400	Misawa Homes Co Ltd		48,715
	239,000	Mitsubishi Chemical Holdings Corp		1,048,562
	160,300	Mitsubishi Corp		3,051,343
	13,080	Mitsubishi UFJ Lease & Finance Co Ltd		571,752
	77,200	Mitsui & Co Ltd		1,071,507
	153,000	Mitsui Engineering & Shipbuilding Co Ltd		202,874
	186,012	Mitsui Mining & Smelting Co Ltd		369,626
	304,134	Mitsui OSK Lines Ltd		767,236
	1,274,200	Mizuho Financial Group Inc		2,054,318
	36,800	Namco Bandai Holdings Inc		516,631
	38,000	Nikon Corp		1,058,822
	7,800	Nintendo Co Ltd		937,356
	284,800	Nippon Light Metal Co Ltd ^*		256,632
	54,532	Nippon Paper Group Inc		671,075
	379,000	Nippon Steel Corp		873,885
	106,500	Nippon Telegraph & Telephone Corp		4,790,863
	362,000	Nippon Yusen KK		772,372
	51,341	Nipro Corp		375,869
	12,550	Nitori Co Ltd		934,211
	17,336	Nitto Boseki Co Ltd		59,047
	8,400	Nitto Denko Corp		438,706
	47,686	North Pacific Bank Ltd ^*		124,560
	3,601	NTT Docomo Inc		5,220,464
	171,000	Obayashi Corp		810,163
	165,000	Oki Electric Industry Co Ltd ^*		158,635
	10,500	Ono Pharmaceutical Co Ltd		575,143
	62,000	Orient Corp ^*		126,056
	171,000	Penta-Ocean Construction Co Ltd		431,625
	14,329	Point Inc		518,211
	698,100	Resona Holdings Inc		2,930,420
	73,000	Ricoh Co Ltd		680,551
	71,100	Round One Corp		401,133
	12,500	Ryohin Keikaku Co Ltd		799,554
	21,000	Sankyo Co Ltd		861,589
	26,400	Seven & I Holdings Co Ltd		769,373
	67,600	Seven Bank Ltd		176,491
	42,400	Shinko Electric Industries Co Ltd		297,494
	68,586	Softbank Corp		2,579,681
	440,800	Sojitz Corp		557,472
	230,300	Sumitomo Corp		2,868,749
	236,193	Sumitomo Light Metal Industries Ltd		195,255
	28,000	Sumitomo Mitsui Financial Group Inc		906,371
	124,000	SxL Corp ^*		210,119
	541,000	Taiheiyo Cement Corp		1,210,625
	426,000	Taisei Corp		1,160,170
	2,100	Taisho Pharmaceutical Holdings Co Ltd		154,853


Shares		Description	Value ($)
		Japan — continued
	46,400	Taiyo Yuden Co Ltd		405,703
	131,600	Takeda Pharmaceutical Co Ltd		6,024,289
	100,100	Tokyo Electric Power Co Inc (The) ^*		158,630
	43,782	Tokyo Gas Co Ltd		214,935
	204,000	Tokyo Tatemono Co Ltd ^*		818,599
	41,000	TonenGeneral Sekiyu KK		381,244
	111,000	Tosoh Corp		239,314
	107,400	Toyota Motor Corp		4,624,333
	84,300	Toyota Tsusho Corp		1,947,638
	46,000	Tsugami Corp		285,953
	6,400	Unicharm Corp		327,159
	213,567	Unitika Ltd ^*		103,657
	96,600	UNY Co Ltd		677,182
	6,380	USS Co Ltd		681,285
	167	Wacom Co Ltd		477,456
	1,876	Yahoo! Japan Corp		632,001
	51,690	Yamada Denki Co Ltd		1,829,750

		Total Japan		121,548,488


		Kazakhstan — 0.0%
	21,036	KazMunaiGas Exploration Production JSC GDR		393,818


		Malaysia — 0.1%
	172,100	AMMB Holdings Bhd		361,048
	65,496	Hong Leong Bank Bhd		315,900
	21,300	Public Bank Bhd		108,756
	25,200	Public Bank Bhd		128,830

		Total Malaysia		914,534


		Mexico — 0.5%
	808,000	America Movil SAB de CV		953,973
	118,800	America Movil SAB de CV-Class L ADR		2,802,492
	109,500	Compartamos SAB de CV		165,349
	59,300	Corp GEO SAB de CV ^*		68,867
	6,100	Desarrolladora Homex SAB de CV ADR ^*		80,398
	2,100	First Cash Financial Services, Inc. ^*		101,451
	11,800	Fomento Economico Mexicano SAB de CV		115,332
	5,300	Fomento Economico Mexicano Sponsored ADR		519,824
	46,400	Grupo Financiero Banorte SAB de CV		264,800
	67,200	Grupo Financiero Santander Mexico SAB de CV		198,429
	59,500	Grupo Financiero Santander Mexico SAB de CV ^*		869,295
	20,700	Grupo Televisa SAB		97,967
	17,900	Grupo Televisa SAB Sponsored ADR		423,693
	166,100	Urbi Desarrollos Urbanos SAB de CV ^*		95,935
	150,500	Wal-Mart de Mexico SAB de CV		472,325

		Total Mexico		7,230,130


		Netherlands — 1.0%
	210,604	Aegon NV		1,211,162
	27,509	ASML Holding NV		1,720,143


Shares		Description	Value ($)
		Netherlands — continued
	22,818	CSM		451,334
	14,501	Delta Lloyd NV		216,788
	110,762	ING Groep NV ^*		1,000,843
	118,906	Koninklijke BAM Groep NV		460,520
	3,141	Koninklijke Vopak NV		232,185
	70,549	SNS REAAL NV ^*		96,505
	213,727	Unilever NV		8,110,700
	12,300	VimpelCom Ltd Sponsored ADR		130,134
	7,868	Wereldhave NV REIT		483,528

		Total Netherlands		14,113,842


		New Zealand — 0.2%
	149,947	Chorus Ltd		418,596
	119,965	Fletcher Building Ltd		780,154
	927,967	Telecom Corp of New Zealand Ltd		1,760,296

		Total New Zealand		2,959,046


		Norway — 0.1%
	25,131	Aker Solutions ASA		472,287
	15,366	Petroleum Geo-Services ASA		257,151
	26,184	TGS Nopec Geophysical Co ASA		827,720

		Total Norway		1,557,158


		Philippines — 0.4%
	365,800	Aboitiz Power Corp		317,722
	745,600	Alliance Global Group Inc		297,261
	49,160	Bank of the Philippine Islands		107,402
	357,220	BDO Unibank Inc ^*		625,138
	291,800	First Gen Corp ^*		164,129
	9,980	Globe Telecom Inc		275,709
	29,680	GT Capital Holdings Inc		433,152
	4,176,000	Megaworld Corp		256,473
	217,460	Metropolitan Bank & Trust		531,409
	17,445	Philippine Long Distance Telephone Co		1,102,956
	13,400	Philippine Long Distance Telephone Co Sponsored ADR		833,748
	638,800	Puregold Price Club Inc		502,525
	48,970	San Miguel Corp		130,608
	117,530	Universal Robina Corp		221,849

		Total Philippines		5,800,081


		Poland — 0.4%
	3,612	Bank Pekao SA		180,913
	403,575	Boryszew SA ^*		65,403
	906	BRE Bank SA ^*		90,930
	3,298	Jastrzebska Spolka Weglowa SA		91,547
	78,320	KGHM Polska Miedz SA		4,444,064
	37,813	Powszechna Kasa Oszczednosci Bank Polski SA		417,831
	5,059	Powszechny Zaklad Ubezpieczen SA		634,230

		Total Poland		5,924,918


Shares		Description	Value ($)
		Portugal — 0.1%
	460,696	EDP - Energias de Portugal SA		1,165,709


		Russia — 2.0%
	13,788	Gazprom Neft JSC Sponsored ADR		316,226
	991,128	Gazprom OAO Sponsored ADR		8,822,758
	101,067	Lukoil OAO Sponsored ADR		6,369,153
	1,754	Magnit OJSC		255,604
	7,190	Magnit OJSC GDR		254,103
	3,663	Mail.ru Group Ltd GDR		121,156
	65,300	Mechel Sponsored ADR		398,330
	48,853	MMC Norilsk Nickel OJSC ADR		774,975
	5,500	Mobile Telesystems Sponsored ADR		95,865
	3,106	NovaTek OAO GDR		341,188
	4,195	NovaTek OAO		45,148
	10,951	Novolipetsk Steel OJSC GDR		217,536
	343,197	Rosneft Oil Co GDR		2,681,918
	72,430	Rostelecom OJSC		255,808
	250,859	Sberbank of Russia Sponsored ADR		2,973,870
	15,714	Severstal OAO GDR		178,855
	10,521	Sistema JSFC GDR		199,541
	186,037	Surgutneftegas OJSC Sponsored ADR		1,569,976
	32,258	Tatneft Sponsored ADR		1,278,932
	1,903	TMK OAO GDR		29,291
	178,630	TNK-BP Holding		350,884
	10,487	Uralkali OJSC GDR		389,057
	254,958	VTB Bank OJSC GDR		850,925

		Total Russia		28,771,099


		Singapore — 0.5%
	185,000	China Minzhong Food Corp Ltd ^*		126,485
	178,967	Ezion Holdings Ltd		211,475
	316,085	Ezra Holdings Ltd ^*		275,508
	3,622,000	Golden Agri-Resources Ltd		1,957,052
	178,000	Jaya Holdings Ltd ^*		81,500
	290,000	LionGold Corp. Ltd ^*		253,025
	72,000	M1 Ltd		160,411
	269,000	Noble Group Ltd		238,522
	235,000	Singapore Press Holdings Ltd		804,438
	1,016,000	Singapore Telecommunications Ltd		2,755,175
	157,000	STX OSV Holdings Ltd		177,924
	17,978	Triyards holdings Ltd ^*		10,531
	24,000	Venture Corp Ltd		153,724
	781,000	Yangzijiang Shipbuilding Holdings Ltd		597,237

		Total Singapore		7,803,007


		South Africa — 0.6%
	24,530	ABSA Group Ltd		391,643
	100,868	African Bank Investments Ltd		359,773
	19,229	Aspen Pharmacare Holdings Ltd ^*		338,302
	60,394	Aveng Ltd		182,652
	2,905	Bidvest Group Ltd		68,583
	45,426	Cipla Medpro South Africa Ltd		44,629


Shares		Description	Value ($)
		South Africa — continued
	18,421	Clicks Group Ltd		130,460
	18,759	Exxaro Resources Ltd		325,839
	135,094	FirstRand Ltd		441,057
	106,526	Growthpoint Properties Ltd		293,928
	12,875	Imperial Holdings Ltd		272,900
	63,103	Investec Ltd		387,947
	14,204	JD Group Ltd		75,544
	9,496	JSE Ltd		76,290
	3,134	Kumba Iron Ore Ltd		191,318
	5,206	Mr Price Group Ltd		77,821
	71,598	MTN Group Ltd		1,318,480
	7,530	Naspers Ltd		464,896
	44,792	Netcare Ltd		89,120
	9,420	Remgro Ltd		158,486
	73,004	RMB Holdings Ltd		321,610
	38,742	Sappi Ltd ^*		126,294
	13,143	Sasol Ltd		553,881
	1,647	Sasol Ltd Sponsored ADR		69,750
	11,613	Shoprite Holdings Ltd		250,165
	13,566	Standard Bank Group Ltd		160,473
	324,426	Steinhoff International Holdings Ltd ^*		998,986
	98,606	Telkom SA Ltd ^*		171,875
	4,447	Tiger Brands Ltd		149,674
	5,266	Vodacom Group Ltd		70,472
	12,856	Wilson Bayly Holmes-Ovcon Ltd		206,886
	33,800	Woolworths Holdings Ltd		269,313

		Total South Africa		9,039,047


		South Korea — 1.7%
	24,310	BS Financial Group Inc		272,141
	1,689	Cheil Industries Inc		149,359
	1,289	Com2uSCorp ^*		69,920
	14,620	Daewoo Securities Co Ltd		144,516
	3,060	Dongbu Insurance Co Ltd		131,553
	10,074	GS Holdings		664,525
	28,334	Hana Financial Group Inc		881,299
	31,670	Hankook Tire Worldwide Co Ltd		436,040
	5,800	Hanwha Chem Corp		89,488
	14,680	Hanwha Corp		432,183
	1,895	Hyundai Heavy Industries Co Ltd		370,105
	2,770	Hyundai Marine & Fire Insurance Co Ltd		85,550
	1,712	Hyundai Mobis		451,970
	3,554	Hyundai Motor Co		740,566
	7,562	Hyundai Steel Co		561,613
	1,300	Hyundai Wia Corp		218,749
	48,960	Industrial Bank of Korea		520,456
	42,280	KB Financial Group Inc		1,394,138
	3,000	KB Financial Group Inc ADR		98,610
	18,615	Kia Motors Corp		1,063,705
	61,050	Korea Exchange Bank ^*		411,430
	971	Korea Zinc Co Ltd		391,395
	16,090	KP Chemical Corp		164,407


Shares		Description	Value ($)
		South Korea — continued
	39,350	KT Corp		1,364,584
	10,300	KT Corp Sponsored ADR		177,263
	2,130	LG Chem Ltd		614,421
	42,720	LG Uplus Corp		294,729
	7,900	LIG Insurance Co Ltd		179,389
	1,802	OCI Co Ltd		251,371
	20,404	Osung LST Co Ltd ^*		30,514
	7,207	Paradise Co Ltd		124,815
	2,770	Poongsan Corp		86,721
	4,662	POSCO		1,392,004
	3,300	POSCO ADR		245,487
	3,690	Samsung Card Co Ltd		123,894
	2,610	Samsung Electronics Co Ltd		3,392,666
	2,295	Samsung Fine Chemicals Co Ltd		133,648
	1,411	Samsung Fire & Marine Insurance Co Ltd		285,026
	8,300	Samsung Heavy Industries Co Ltd		279,974
	3,506	Samsung Life Insurance Co Ltd		301,124
	2,253	Samsung Techwin Co Ltd		120,843
	25,390	Shinhan Financial Group Co Ltd		814,023
	2,178	SK Chemicals Co Ltd		120,377
	2,858	SK Holdings Co Ltd		474,336
	11,630	SK Innovation Co Ltd		1,781,978
	5,708	SK Telecom Co Ltd		790,377
	41,800	SK Telecom Co Ltd ADR		638,286
	78,460	Woori Finance Holdings Co Ltd		737,051
	10,630	Woori Investment & Securities Co Ltd		104,658

		Total South Korea		24,603,277


		Spain — 2.0%
	33,361	Abengoa SA		91,912
	50,120	Abengoa SA ^*		132,649
	10,588	Amadeus IT Holding SA		247,343
	327,684	Banco Bilbao Vizcaya Argentaria SA		2,780,242
	1,111,387	Banco Santander SA		8,561,614
	93,883	Distribuidora Internacional de Alimentacion SA		583,443
	14,793	Fomento de Construcciones y Contratas SA		175,978
	131,199	Gas Natural SDG SA		2,037,592
	37,542	Grifols SA ^*		1,201,960
	418,038	Iberdrola SA		2,077,207
	13,641	Inditex SA		1,872,658
	89,297	Repsol YPF SA		1,895,358
	526,999	Telefonica SA		6,922,863

		Total Spain		28,580,819


		Sri Lanka — 0.0%
	47,000	Hatton National Bank Plc		51,709


		Sweden — 0.3%
	41,371	Boliden AB		733,290
	2,981	Hennes & Mauritz AB-Class B		96,826
	43,449	Investor AB-Class B		1,007,407


Shares		Description	Value ($)
		Sweden — continued
	16,416	NCC AB-Class B		319,151
	30,322	Skandinaviska Enskilda Banken AB-Class A		244,364
	16,301	Svenska Handelsbanken AB		580,149
	40,655	Swedbank AB-A Shares		751,817

		Total Sweden		3,733,004


		Switzerland — 2.1%
	1,383	AMS AG		149,586
	142,439	Nestle SA (Registered)		9,323,719
	160,851	Novartis AG (Registered)		9,967,508
	44,998	Roche Holding AG		8,864,388
	12,253	Swiss Re AG		883,662
	3,146	Zurich Financial Services AG		803,633

		Total Switzerland		29,992,496


		Taiwan — 1.0%
	71,000	Advantech Co Ltd		265,257
	276,000	Asia Optical Co Inc ^*		264,460
	43,000	Asustek Computer Inc		474,722
	1,431,000	AU Optronics Corp ^*		604,797
	14,000	Capella Microsystems (Taiwan) Inc		91,496
	601,945	Chimei Innolux Corp ^*		269,661
	204,032	Chinatrust Financial Holding Co Ltd		118,346
	84,000	Chipbond Technology Corp		162,911
	212,470	Chunghwa Telecom Co Ltd		687,145
	500	Chunghwa Telecom Co Ltd ADR		16,075
	724,000	Compal Electronics Inc		490,166
	206,000	Delta Electronics Inc		738,246
	291,000	E.Sun Financial Holding Co Ltd		160,918
	84,000	Elan Microelectronics Corp		130,614
	356,000	Far EasTone Telecommunications Co Ltd		891,754
	253,000	Fubon Financial Holding Co Ltd		287,487
	251,000	Hon Hai Precision Industry Co Ltd		805,941
	23,000	Hotai Motor Co Ltd		170,440
	55,194	HTC Corp		505,506
	125,000	Mega Financial Holding Co Ltd		97,920
	359,000	Neo Solar Power Corp ^*		207,894
	34,000	Novatek Microelectronics Corp		136,936
	200,000	Powertech Technology Inc		296,634
	207,000	Quanta Computer Inc		520,742
	74,000	Ruentex Development Co Ltd		141,070
	337,000	Shin Kong Financial Holding Co Ltd ^*		93,425
	1,186,000	Taishin Financial Holding Co Ltd		451,344
	382,000	Taiwan Mobile Co Ltd		1,374,525
	158,000	Taiwan PCB Techvest Co Ltd		248,286
	127,000	Taiwan Semiconductor Manufacturing Co Ltd		431,528
	56,700	Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR		979,209
	16,268	TPK Holding Co Ltd		259,956
	116,000	Tripod Technology Corp		240,157
	126,000	Unimicron Technology Corp		137,185


Shares		Description	Value ($)
		Taiwan — continued
	441,000	United Microelectronics Corp		170,382
	690,450	Wistron Corp		758,228
	105,000	WPG Holdings Ltd		139,159
	34,000	Zhen Ding Technology Holding Ltd		93,089

		Total Taiwan		13,913,611


		Thailand — 0.8%
	171,200	Advanced Info Service Pcl (Foreign Registered)		1,227,193
	79,000	Airports of Thailand Pcl (Foreign Registered)		241,860
	483,500	Bangchak Petroleum Pcl (Foreign Registered)		448,765
	208,960	Bangkok Dusit Medical Services Pcl (Foreign Registered)		762,634
	415,610	Bank of Ayudhya Pcl (Foreign Registered) ^(a)		443,212
	54,550	Banpu Pcl (Foreign Registered)		701,484
	61,400	Bumrungrad Hospital Pcl		150,473
	509,900	Charoen Pokphand Foods Pcl (Foreign Registered)		543,930
	93,700	CP ALL Pcl (Foreign Registered)		120,537
	119,500	Electricity Generating Pcl (Foreign Registered)		490,360
	129,600	Glow Energy Pcl (Foreign Registered)		306,124
	1,160,300	Hemaraj Land and Development Pcl (Foreign Registered)^(a)		120,200
	338,120	Home Product Center Pcl (Foreign Registered)		126,038
	1,000,700	Jasmine International Pcl (Foreign Registered)		166,268
	128,700	Kasikornbank PCL NVDR		784,022
	110,825	Krung Thai Bank Pcl (Foreign Registered)		66,428
	146,400	PTT Pcl (Foreign Registered)		1,525,861
	106,500	Ratchaburi Electricity Generating Holding Pcl (Foreign Registered) ^(a)		187,473
	95,200	Ratchaburi Electricity Generating Holding Pcl NVDR		167,582
	34,900	Robinson Department Store Pcl (Foreign Registered)		68,793
	1,902,700	Sansiri Pcl		220,601
	80,300	Shin Corp Pcl (Foreign Registered)		168,743
	30,800	Siam Cement Pcl NVDR		396,300
	10,600	Siam Makro Pcl (Foreign Registered)		167,035
	207,200	Sri Trang Agro-Industry Pcl (Foreign Registered)		101,222
	254,800	Thai Airways International Pcl (Foreign Registered) ^*		181,779
	159,500	Thai Oil Pcl (Foreign Registered)		342,780
	509,800	Thai Tap Water Supply Pcl (Foreign Registered)		134,625
	208,300	Thanachart Capital Pcl		242,568
	158,000	Total Access Communication Pcl NVDR		451,378
	378,500	TPI Polene Pcl (Foreign Registered)		184,914
	43,100	VGI Pcl (Foreign Registered) ^*		123,584

		Total Thailand		11,364,766


Shares		Description	Value ($)
		Turkey — 0.7%
	272,598	Akenerji Elektrik Uretim AS ^*		326,803
	26,470	Anadolu Hayat Emeklilik AS		61,818
	86,279	Arcelik AS		523,671
	254,049	Asya Katilim Bankasi AS ^*		278,659
	7,797	BIM Birlesik Magazalar AS		354,369
	9,209	Bizim Toptan Satis Magazalari AS		133,966
	356,828	EIS Eczacibasi Ilac ve Sinai ve Finansal Yatirimlar Sanayi ve Ticaret AS		373,306
	40,741	Enka Insaat ve Sanayi AS		108,509
	297,503	Eregli Demir ve Celik Fabrikalari TAS		374,395
	20,336	Ford Otomotiv Sanayi AS		208,287
	18,454	Haci Omer Sabanci Holding AS		95,253
	143,213	Ihlas Holding AS ^*		103,405
	77,881	Ipek Dogal Enerji Kaynaklari Ve Uretim AS ^*		258,842
	176,745	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS-Class A		132,460
	244,874	Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS-Class D		163,076
	130,137	KOC Holding AS		595,824
	81,079	Koza Anadolu Metal Madencilik Isletmeleri AS ^*		249,560
	33,103	Park Elektrik Uretim Madencilik Sanayi ve Ticaret AS		111,786
	74,540	Tofas Turk Otomobil Fabrikasi AS		454,777
	27,595	Tupras Turkiye Petrol Rafinerileri AS		736,365
	159,523	Turk Hava Yollari ^*		469,597
	134,885	Turk Telekomunikasyon AS		504,316
	3,965	Turk Traktor ve Ziraat Makineleri AS		99,180
	134,154	Turkcell Iletisim Hizmetleri AS ^*		810,702
	207,694	Turkiye Garanti Bankasi AS		985,560
	28,575	Turkiye Halk Bankasi AS		276,745
	344,234	Turkiye Is Bankasi		1,109,642
	115,337	Turkiye Sise ve Cam Fabrikalari AS		169,764
	220,505	Turkiye Vakiflar Bankasi Tao		534,348
	110,692	Yapi ve Kredi Bankasi AS ^*		291,756

		Total Turkey		10,896,741


		United Kingdom — 9.1%
	138,219	3i Group Plc		468,673
	123,333	Aberdeen Asset Management Plc		668,080
	9,773	Admiral Group Plc		175,283
	67,941	Aegis Group Plc		255,971
	29,948	Aggreko Plc		1,071,296
	23,031	Ashtead Group Plc		141,597
	311,349	AstraZeneca Plc		14,788,529
	130,820	Aviva Plc		736,262
	24,757	Babcock International Group Plc		395,426
	693,690	BAE Systems Plc		3,640,272
	1,478,943	Barclays Plc		5,865,980
	26,891	BBA Aviation Plc		92,156
	2,195,566	BP Plc		15,242,261
	177,566	British American Tobacco Plc		9,327,710
	447,993	BT Group Plc		1,675,519


Shares		Description	Value ($)
		United Kingdom — continued
	29,900	Bunzl Plc		493,023
	4,050	Croda International Plc		154,568
	206,445	Diageo Plc		6,157,679
	91,674	Drax Group Plc		795,674
	1,180,903	DSG International Plc ^*		519,853
	27,371	easyJet Plc		313,857
	8,140	Eurasia Drilling Co Ltd GDR		265,522
	30,973	Fenner Plc		191,990
	169,926	Firstgroup Plc		508,798
	518,427	GlaxoSmithKline Plc		11,102,688
	20,550	Globaltrans Investment Plc GDR		315,259
	6,839	Halfords Group Plc		37,435
	450,106	Home Retail Group Plc		806,405
	35,701	IMI Plc		603,625
	17,430	InterContinental Hotels Group Plc		466,059
	7,086	Intertek Group Plc		350,936
	349,501	ITV Plc		554,435
	200,913	Kesa Electricals Plc		154,035
	32,321	Lancashire Holdings Ltd		412,463
	4,075,048	Lloyds Banking Group Plc ^*		3,043,047
	6,477	Micro Focus International Plc		59,511
	46,030	Next Plc		2,701,703
	13,899	Persimmon Plc		178,475
	42,674	Playtech Ltd		287,313
	80,137	Premier Foods Plc ^*		122,974
	116,661	Prudential Plc		1,695,889
	5,484	Randgold Resources Ltd		587,685
	5,841	Reckitt Benckiser Group Plc		367,397
	132,592	Rio Tinto Plc		6,584,061
	63,843	Rockhopper Exploration Plc ^*		150,701
	10,074,712	Rolls Royce Holdings Plc-C Shares ^*		16,141
	138,750	Rolls-Royce Holdings Plc		1,981,743
	135,707	Royal Bank of Scotland Group Plc ^*		643,019
	349,065	Royal Dutch Shell Plc-A Shares		11,687,205
	117,672	Royal Dutch Shell Plc-B Shares		4,061,923
	26,614	SABMiller Plc		1,206,727
	22,404	Scottish & Southern Energy Plc		512,085
	24,481	Spectris Plc		755,597
	4,640	Tate & Lyle Plc		57,443
	15,668	Telecity Group Plc		215,314
	653,079	Tesco Plc		3,406,938
	367,516	Thomas Cook Group Plc ^*		153,255
	82,661	Trinity Mirror Plc ^*		108,654
	42,833	Tullett Prebon Plc		155,871
	46,402	Unilever Plc		1,780,454
	2,017,484	Vodafone Group Plc		5,204,371
	42,657	WH Smith Plc		444,116
	6,830	Whitbread Plc		262,823
	194,727	William Hill Plc		1,053,174
	31,223	Wolseley Plc		1,450,671
	77,656	WPP Plc		1,066,210

		Total United Kingdom		130,751,809


Shares		Description	Value ($)
		United States — 29.0%
	46,900	3M Co.		4,265,555
	223,500	Abbott Laboratories		14,527,500
	17,100	Amgen, Inc.		1,518,480
	26,300	Apple, Inc.		15,392,864
	8,100	Baxter International, Inc.		536,787
	63,100	Bristol–Myers Squibb Co.		2,058,953
	154,900	Chevron Corp.		16,371,381
	25,100	Church & Dwight Co., Inc.		1,359,165
	1,135,400	Cisco Systems, Inc.		21,470,414
	625,100	Coca-Cola Co. (The)		23,703,792
	108,500	Colgate–Palmolive Co.		11,772,250
	3,300	Copa Holdings SA -Class A		312,972
	8,600	Costco Wholesale Corp.		894,314
	11,700	CVS Caremark Corp.		544,167
	7,800	Eli Lilly & Co.		382,512
	62,300	EMC Corp. ^*		1,546,286
	261,700	Express Scripts Holding Co. ^*		14,092,545
	56,400	Exxon Mobil Corp.		4,971,096
	13,100	Gilead Sciences, Inc. ^*		982,500
	31,300	Google, Inc. -Class A ^*		21,858,981
	2,100	Henry Schein, Inc. ^*		169,617
	798,100	Hewlett-Packard Co.		10,367,319
	76,300	International Business Machines Corp.		14,502,341
	100	Intuitive Surgical, Inc. ^*		52,900
	363,200	Johnson & Johnson		25,325,936
	38,100	Laboratory Corp. of America Holdings ^*		3,222,879
	69,900	Lorillard, Inc.		8,469,084
	15,600	Mastercard, Inc. -Class A		7,623,408
	115,800	McDonald’s Corp.		10,079,232
	1,500	Mead Johnson Nutrition Co.		102,285
	109,000	Medtronic, Inc.		4,589,990
	39,500	Merck & Co., Inc.		1,749,850
	745,100	Microsoft Corp.		19,834,562
	38,900	Nike, Inc. -Class B		3,791,972
	822,600	Oracle Corp.		26,405,460
	205,100	PepsiCo, Inc.		14,400,071
	795,100	Pfizer, Inc.		19,893,402
	223,200	Philip Morris International, Inc.		20,061,216
	1,600	Praxair, Inc.		171,536
	200,900	Procter & Gamble Co. (The)		14,028,847
	74,400	Qualcomm, Inc.		4,733,328
	42,600	Quest Diagnostics, Inc.		2,461,428
	4,700	Sohu.com, Inc. ^*		187,201
	66,900	Sysco Corp.		2,117,385
	192,400	Target Corp.		12,146,212
	25,100	TJX Cos, Inc. (The)		1,112,934
	61,600	UnitedHealth Group, Inc.		3,350,424
	39,600	Visa, Inc. -Class A		5,928,516
	214,500	Wal–Mart Stores, Inc.		15,448,290
	21,500	Yum! Brands, Inc.		1,442,220


Shares		Description	Value ($)
		United States — continued
	76,900	Zimmer Holdings, Inc.		5,073,093

		Total United States		417,405,452


		TOTAL COMMON STOCKS (COST $1,125,815,141)		1,166,622,558


		PREFERRED STOCKS — 1.5%

		Brazil — 1.0%
	26,200	Banco Bradesco SA 0.60%		435,154
	80,300	Banco Bradesco SA ADR 0.63%		1,352,252
	68,700	Bradespar SA 5.02%		916,300
	51,000	Centrais Eletricas Brasileiras SA 17.87%		230,321
	8,600	Centrais Eletricas Brasileiras SA ADR 17.61%		40,936
	5,600	Cia Paranaense de Energia 2.33%		74,691
	10,500	Cia Paranaense de Energia Sponsored ADR 2.46%		141,225
	1,700	Companhia de Bebidas das Americas 1.57%		70,409
	7,700	Companhia de Bebidas das Americas ADR 1.68%		320,397
	9,300	Companhia Energetica de Minas Gerais Sponsored ADR 5.95%		113,832
	27,000	Eletropaulo Metropolitana Eletricidade de Sao Paulo SA 49.99%		171,719
	3,900	Gerdau SA 2.04%		32,342
	99,800	Gerdau SA Sponsored ADR 2.13%		847,302
	25,000	Itau Unibanco Holding SA 0.53%		376,030
	136,600	Itau Unibanco Holding SA ADR 0.58%		2,069,490
	201,700	Itausa - Investimentos Itau SA 0.62%		909,009
	59,300	Klabin SA 2.19%		334,131
	18,600	Marcopolo SA 1.89%		109,330
	36,400	Metalurgica Gerdau SA 0.87%		382,432
	19,600	Oi SA ADR 15.95%		74,284
	150,400	Petroleo Brasileiro SA 0.66%		1,313,396
	3,000	Petroleo Brasileiro SA Sponsored ADR 0.67%		52,650
	13,400	Randon Participacoes SA 1.35%		71,490
	157,300	Suzano Papel e Celulose SA 3.57%		467,454
	2,500	Telefonica Brasil SA 4.56%		54,287
	14,400	Telefonica Brasil SA ADR 4.81%		315,936
	66,400	Usinas Siderurgicas de Minas Gerais SA 0.67%		388,431
	188,900	Vale SA 1.83%		3,244,398
	12,600	Vale SA Sponsored ADR 1.93%		215,334

		Total Brazil		15,124,962


		Germany — 0.3%
	17,975	Henkel AG & Co KGaA 1.27%		1,502,079
	31,916	Porsche Automobil Holding SE 1.35%		2,369,359

		Total Germany		3,871,438


	Shares / Par Value		Description	Value ($)
			Russia — 0.2%
		45,422	Rostelecom OJSC 5.25%		124,432
		540,421	Sberbank of Russia 3.65%		1,156,337
		1,887,950	Surgutneftegas OJSC 10.49%		1,185,266

			Total Russia		2,466,035


			TOTAL PREFERRED STOCKS (COST $20,794,967)		21,462,435


			INVESTMENT FUNDS — 0.5%

			Thailand — 0.0%
		192,895	CPN Commercial Growth Leasehold Property Fund		79,823


			United States — 0.5%
		165,200	Vanguard Emerging Markets ETF ^(b)		6,945,008


			TOTAL INVESTMENT FUNDS (COST $6,891,043)		7,024,831


			DEBT OBLIGATIONS — 0.7%

			Canada — 0.3%

			Asset Backed Securities — 0.3%
CAD		2,559,600	Master Asset Vehicle II, Series 09-2, Class A1, 0.80%, due 07/15/56		2,158,016
CAD		1,938,400	Master Asset Vehicle II, Series 09-2, Class A2, 0.80%, due 07/15/56		1,561,101
CAD		352,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class B, due 07/15/56		271,083
CAD		150,000	Master Asset Vehicle II, Series 09-2, Zero Coupon, Class C, due 07/15/56		93,622

			Total Canada		4,083,822


			United States — 0.4%

			Bank Loans — 0.4%
USD		997,475	Chrysler Group LLC Term Loan B, 1.00%, due 05/24/17		1,018,671
USD		1,000,000	Del Monte Foods Co, Term Loan B, 1.00%, due 03/08/18		1,000,000


Par Value / Shares		Description	Value ($)
		Bank Loans — continued
USD	400,000	Caesars Entertainment Corp., Term Loan B1, 1.00% , due 01/28/15		388,000
USD	1,627,558	Caesars Entertainment Corp., Term Loan B3, 1.00%, due 01/28/15		1,578,731
USD	2,000,000	Springleaf Financial Funding Co., Term Loan B, 1.00%, due 05/10/17		1,972,600

		Total United States		5,958,002


		TOTAL DEBT OBLIGATIONS (COST $10,113,912)		10,041,824


		RIGHTS/WARRANTS — 0.0%

		Singapore — 0.0%
	72,500	LionGold Corp Ltd, Expires 12/11/12 ^*		3,861


		TOTAL RIGHTS/WARRANTS (COST $0)		3,861


		SHORT-TERM INVESTMENTS — 14.3%

		Money Market Fund — 7.3%
	105,018,171	State Street Institutional Treasury Money Market Fund-Institutional Class, 0.00% ^(c)		105,018,171

		Total Money Market Funds		105,018,171


		U.S. Government — 7.0%
	101,000,000	U.S. Treasury Bill, 0.12%, due 04/25/13 ^(d)		100,952,833

		Total U.S. Government		100,952,833


		TOTAL SHORT-TERM INVESTMENTS (COST $205,959,184)		205,971,004


		TOTAL INVESTMENTS — 97.9% (Cost $1,369,574,247)		1,411,126,513
		Other Assets and Liabilities (net) — 2.1%		30,127,503


		TOTAL NET ASSETS — 100.0%		$1,441,254,016

A summary of outstanding financial instruments at November 30, 2012 is as follows:

Notes to Schedule of Investments:

ADR - American Depositary Receipt

ETF - Exchange Traded Fund

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

GDR - Global Depository Receipt

NVDR - Non-Voting Depository Receipt

OJSC - Open Joint-Stock Company

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.

(b)	Represents an investment to equitize cash. The Vanguard Emerging Markets ETF prospectus states that the fund invests substantially all (normally about 95%) of its assets in the common stocks included in the MSCI Emerging Market Index, while employing a form of sampling to reduce risk.

(c)	The rate disclosed is the 7 day net yield as of November 30, 2012. Note: Yield rounds to 0.00%.

(d)	The rate shown represents yield-to-maturity.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co.

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

BONY - Bank of New York Mellon

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JP Morgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

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

KRW - South Korean Won

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

As of November 30, 2012, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments were as follows:

A summary of the Fund’s transactions in the shares of other funds of the Trust during the period ended November 30, 2012 is set forth below:

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value the Fund ultimately realizes upon sale of those securities.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager”) deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Unlisted securities (including debt instruments) for which market quotations are readily available are generally valued at the most recent quoted price. Shares of open-end registered investment companies are valued at their net asset value. If quotations are not readily available or circumstances make an existing methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees of GMO Trust (the “Trustees”) or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the value determined for a particular security may be materially different from the value realized upon its sale. See the table below for information about securities and derivatives that were fair valued using methods determined in good faith by or at the direction of the Trustees. The Fund classifies such securities as Level 3 (levels defined below). For the period ended November 30, 2012, the Fund did not reduce the value of any of its over-the-counter (“OTC”) derivatives contracts, if any, based on the creditworthiness of its counterparties. See “Derivative financial instruments” for a further discussion on valuation of derivatives.

The foregoing pricing methodologies are modified for equity securities listed on foreign exchanges and that trade in securities markets that are closed prior to the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE). In those cases, the value will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close. The table below shows the percentage of the net assets of the Fund, that were valued using fair value prices obtained from that independent pricing service as of November 30, 2012. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) ) are classified as being valued using Level 2 inputs (levels defined below) in the table below.

Typically, the Fund values debt instruments based on the most recent quoted price supplied by a single pricing source chosen by the Manager. Although the Manager normally does not evaluate pricing sources on a day-to-day basis, it does evaluate pricing sources on an ongoing basis and may change a pricing source at any time. The Manager monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another) when it believes that the price supplied is not reliable. Although alternative prices may be available for securities held by the Fund, those alternative sources are not typically part of the valuation process and do not necessarily provide greater certainty about the prices used by the Fund. See the table below for information about securities for which no alternative pricing source was available. Non-emerging market debt instruments with a remaining maturity of sixty days or less may be valued at amortized cost if the issuer is deemed to present minimal credit risk, which approximates market value.

“Quotation” or “quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If the pricing convention for a security does not involve a bid or an ask, “quotation” or “quoted price” may be a market quotation provided by a market participant or other third party pricing source in accordance with the convention for that security. If an updated quote for a debt instrument is not available by the time that the Fund calculates its net asset value on any business day, the Fund will generally use a quoted price from a prior day to value that security.

As discussed above, the Fund invests in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees, using fair value inputs obtained from an independent pricing service or which may have been valued using prices for which no alternative pricing source was available. The net aggregate direct exposure to these valuation methodologies (based on the Fund’s net assets) as of November 30, 2012 is as follows:

U.S. GAAP requires the Fund to disclose the fair value of its investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Fund’s investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 investments and derivatives, if any (determined by each category of asset or liability as compared to the Fund’s total net assets separately identified in the Valuation Inputs table below). At November 30, 2012, there were no direct material Level 3 classes of investments or derivatives with significant unobservable inputs subject to this additional disclosure.

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.

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. government securities with a remaining maturity of less than 60 days valued at amortized cost, certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds; certain OTC derivatives such as swaps, options, swaptions, and forward contracts; certain restricted securities; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; third-party investment funds where valuations are provided by fund sponsors and which are adjusted for liquidity considerations as well as the timing of the receipt of information; certain securities that are valued at the local price and adjusted by applying a premium or discount when the holdings exceed foreign ownership limitations; certain derivatives using third party valuation services; and potential litigation recoveries and interests related to bankruptcy proceedings valued at zero.

The following is a summary of the respective levels assigned to the Fund’s direct securities and derivatives, if any, as of November 30, 2012:

For the period ended November 30, 2012 there were no material transfers between Level 1 and Level 2.

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

The net aggregate direct and/or indirect exposure to investments in securities and derivative financial instruments using Level 3 inputs (based on the Fund’s net assets) as of November 30, 2012 were as follows:

The Fund may invest in loans to corporate, governmental or other borrowers. The Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments of loans, it acquires direct rights against the borrower. Loan agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may enter into repurchase agreements. Under a repurchase agreement the Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired is required by contract to be marked to market daily and additional collateral is required to be transferred so that the market value is at least equal to the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and/or the value of the securities subject to the repurchase agreement is insufficient, the Fund’s recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may enter into reverse repurchase agreements. Under a reverse repurchase agreement the Fund sells portfolio assets subject to an agreement by the Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into

a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result would realize a loss equal to the difference between the value of those securities and the payment it received for them. The size of this loss will depend upon the difference between what the buyer paid for the securities the Fund sold to it and the value of those securities (e.g., a buyer may pay $95 for a bond with a market value of $100). In the event of a buyer’s bankruptcy or insolvency, the Fund’s use of proceeds from the sale of its securities may be restricted while the other party or its trustee or receiver determines whether to honor the Fund’s right to repurchase the securities. Reverse repurchase agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that reflects inflation in the principal value of the bond. Most other issuers pay out any inflation related accruals as part of a semiannual coupon.

The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short term increases in inflation may lead to a decline in their value. Coupon payments received by a Fund from inflation-indexed bonds are included in the Fund’s gross income for the period in which they accrue. In addition, any increase or decrease in the principal amount of an inflation indexed bond will increase or decrease taxable ordinary income to the Fund, even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies the Manager employs on its behalf. This section does not describe every potential risk of investing in the Fund. The Fund could be subject to additional risks because of the types of investments it makes and market conditions, which may change over time.

An investment in the Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

• MARKET RISK. The Fund is subject to market risk, which is the risk that the market value of its holdings will decline. Market risks include:

Equity Securities Risk — The Fund runs the risk that the market prices of its equity investments will decline. The market price of an equity investment may decline for reasons that directly relate to the issuing company, such as poor management performance or reduced demand for its goods or services. It also may decline due to factors that affect a particular industry, such as a decline in demand, labor or raw material shortages or increased production costs. In addition, market prices may decline as a result of general market conditions not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment generally. Equity investments generally have greater price volatility than fixed income and other investments with a scheduled stream of payments, and the market price of equity investments is more susceptible to moving up or down in a rapid or unpredictable manner.

The Fund invests a substantial portion of its assets in equities and generally does not take temporary defensive positions. As a result, declines in stock market prices generally are likely to reduce the net asset values of the Fund’s shares.

If the Fund purchases equity investments at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate to or decline from that value for a variety of reasons, one of which may be the Manager’s overestimation of the value of those investments.

Fixed Income Investments Risk — The Fund’s investments in fixed income securities (including bonds, notes, bills, synthetic debt instruments and asset-backed securities) are subject to various market risks. The market price of a fixed income investment can decline due to a number of market-related factors, including rising (or, in some limited cases, declining) interest rates and widening credit spreads, or decreased liquidity that reflect the market’s uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of fixed income investments with complex structures, such as asset-backed securities and sovereign and quasi-sovereign debt instruments, can decline due to market uncertainty about their credit quality and the reliability of their payment streams. During periods of economic uncertainty and change, the market price of the Fund’s investments in below investment grade securities (commonly referred to as “junk bonds”) may be particularly volatile. Often junk bonds are subject to greater sensitivity to interest rate and economic changes than higher rated bonds and can be more difficult to, resulting in differences between the prices realized on their sale and the value at which they are carried on the books of the Fund. See “Credit Risk” and “Liquidity Risk” below for more information about these risks.

A principal risk of the Fund’s investments in fixed income securities is that an increase (or, in some limited cases, a decrease) in prevailing interest rates will cause the market price of those securities to decline. The risk associated with such changes in interest rates (also called “interest rate risk”) is generally greater when the Fund invests in fixed income securities with longer durations and in some cases duration can increase.

The price of inflation indexed bonds (including Inflation-Protected Securities issued by the U.S. Treasury (“TIPS”)) normally changes when real interest rates change. Their value typically will decline during periods of rising real interest rates (i.e., nominal interest rate minus inflation) and increase during periods of declining real interest rates. Real interest rates may not fluctuate in the same manner as nominal interest rates. In some interest rate environments, such as when real interest rates are rising faster than nominal interest rates, the price of inflation indexed bonds may decline more than the price of non-inflation indexed (or nominal) fixed income bonds with similar maturities. The price of the Fund’s inflation indexed bonds, however, will not necessarily change in the same proportion as changes in nominal interest rates, and short term increases in inflation may lead to a decline in their price. Moreover, if the index measuring inflation falls, the principal value of inflation indexed bond investments will be adjusted downward, and, consequently, the interest they pay (calculated with respect to a smaller principal amount) will be reduced. In the case of TIPS, the U.S. government guarantees the repayment of the original bond principal upon maturity (as adjusted for inflation). Generally, when interest rates on short term U.S. Treasury obligations equal or approach zero, if the Fund has invested a substantial portion of its assets in U.S. Treasury obligations, such as U.S. Treasury Fund, will have a negative return unless the Manager waives or reduces its management fees. Market risk for fixed income securities denominated in non-U.S. currencies is also affected by currency risk. See “Currency Risk” below.

• NON-U.S. INVESTMENT RISK. Because the Fund invests in non-U.S. securities, it is subject to additional and more varied risks than funds whose investments are limited to U.S. securities. The securities markets of many non-U.S. countries include securities of only a limited number of companies in a limited number of industries. As a result, the market prices of many of those securities fluctuate more than those of U.S. securities. In addition, issuers of non-U.S. securities often are not subject to the same degree of regulation as U.S. issuers. Reporting, accounting, custody and auditing standards of non-U.S. countries differ, in some cases significantly, from U.S. standards. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes and custodial costs. The Fund may be subject to non-U.S. taxation, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. securities, (ii) transactions in those securities and (iii) the repatriation of proceeds generated from the sale of those securities. Transaction-based charges are generally calculated as a percentage of the transaction amount and are paid upon the sale or transfer of portfolio securities subject to such taxes. In addition, some jurisdictions may limit the Fund’s ability to profit from short term trading (as defined in the relevant jurisdiction).

Also, investing in non-U.S. securities exposes the Fund to the risk of nationalization, expropriation or confiscatory taxation of assets of their issuers, adverse changes in investment regulations, capital requirements or exchange controls (which may include suspension of the ability to transfer currency from a country), and adverse political and diplomatic developments.

In some non-U.S. markets, custody arrangements for securities provide significantly less protection than custody arrangements in U.S. markets, and prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks it does not have in the U.S. with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Fluctuations in non-U.S. currency exchange rates also will affect the market value of the Fund’s non-U.S. investments (see “Currency Risk” below).

U.S. investors are required to maintain a license to invest directly in many non-U.S. markets. These licenses are often subject to limitations, including maximum investment amounts. Once a license is obtained, the Fund’s ability to continue to invest directly is subject to the risk that the license will be terminated or suspended. If a license is terminated or suspended, to obtain exposure to the market the Fund will be required to purchase American Depositary Receipts, Global Depositary Receipts, shares of other funds that are licensed to invest directly, or derivative instruments. The receipt of a non-U.S. license by one of the Manager’s clients may preclude other clients, including the Fund, from obtaining a similar license, and this could limit the Fund’s investment opportunities. In addition, the activities of another of the Manager’s clients could cause the suspension or revocation of a license and thereby limit the Funds’ investment opportunities.

Because the Fund may invest a significant portion of its assets in securities of issuers tied economically to emerging countries (or investments related to emerging markets), it is subject to greater non-U.S. investment risk than funds investing primarily in more developed non-U.S. countries (or markets). The risks of investing in those securities include: greater fluctuations in currency exchange rates; increased risk of default (by both government and private issuers); greater social, economic, and political uncertainty and instability (including the risk of war or natural disaster); increased risk of nationalization, expropriation, or other confiscation of assets of issuers of securities in the Fund’s portfolio; greater governmental involvement in the economy; less governmental supervision and regulation of the securities markets and participants in those markets; controls on non-U.S. investment, capital controls and limitations on repatriation of invested capital, dividends, interest and other income and on the Fund’s ability to exchange local currencies for U.S. dollars; inability to purchase and sell investments or otherwise settle security or derivative transactions (i.e., a market freeze); unavailability of currency hedging techniques; differences in, or lack of, auditing and financial reporting standards and resulting unavailability of material information about issuers; slower clearance and settlement; difficulties in obtaining and/or enforcing legal judgments; and significantly smaller market capitalizations of issuers.

• SMALLER COMPANY RISK. Companies with smaller market capitalizations, including small- and mid-cap companies, may have limited product lines, markets or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. Moreover, their securities often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. In addition, market risk and liquidity risk are particularly pronounced for securities of these companies.

• MANAGEMENT AND OPERATIONAL RISK. The Fund is subject to management risk because it relies on the Manager’s ability to achieve its investment objective. The Fund runs the risk that the Manager’s investment techniques will fail to produce desired results, and cause the Fund to incur significant losses. The Manager also may fail to use derivatives effectively, choosing to hedge or not to hedge positions at disadvantageous times.

The Manager’s portfolio managers may use quantitative analyses and models. Any imperfections or limitations in those analyses and models could affect the ability of the portfolio managers to implement the strategies they wish to pursue. By necessity, these analyses and models make simplifying assumptions that limit their effectiveness. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate or may not include the most recent information about a company or a security. The Fund also runs the risk that GMO’s fundamental assessment of an investment may be wrong. There can be no assurance that key personnel of the Manager will continue to be employed by the Manager. The loss of their services could have an adverse impact on the Manager’s ability to achieve the Fund’s investment objective.

The Fund also is subject to the risk of loss as a result of other services provided by the Manager and other service providers, including pricing, administrative, accounting, tax, legal, custody, transfer agency and other services. Operational risk includes the possibility of loss caused by inadequate procedures and controls, human error and system failures by a service provider. For example, trading delays or errors (both human and systematic) could prevent the Fund from benefiting from potential investment gains or avoiding losses on the security. The Manager is not contractually liable to the Fund for losses associated with operational risk absent the Manager’s willful misfeasance, bad faith, gross negligence or reckless disregard of its contractual obligations to provide services to the Fund. Other Fund service providers also have limitations on their liability to the Fund for losses resulting from their errors.

• LIQUIDITY RISK. Liquidity risk is the risk that low trading volume, lack of a market maker, large position size or legal restrictions (including daily price fluctuation limits or “circuit breakers”) limits or prevents the Fund from selling particular securities or unwinding derivative positions at desirable prices. The Fund is also exposed to liquidity risk when it has an obligation to purchase particular securities (e.g., as a result of entering into reverse repurchase agreements, writing a put, or closing a short position). Because the Fund’s principal investment strategies may involve investment in asset-backed securities, emerging country debt securities, securities of companies with smaller market capitalizations or smaller total float-adjusted market capitalizations and emerging market securities, the Fund has increased exposure to liquidity risk. These types of investments can be difficult to value, resulting in differences between the price at which they are sold and the value at which they are carried on the books of the Fund. In addition, TIPS have exhibited periods of greatly reduced liquidity when disruptions in fixed income markets have occurred, such as the events surrounding the bankruptcy of Lehman Brothers in 2008. Less liquid securities are more susceptible than other securities to price declines when markets decline generally.

• DERIVATIVES RISK. The Fund may invest in derivatives, which are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices. Derivatives include futures, non-U.S. currency contracts, swap agreements, reverse repurchase agreements and other OTC contracts. Derivatives may relate to securities, interest rates, currencies or currency exchange rates, inflation rates, commodities and indices.

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

The Fund may invest in derivatives that (i) do not require the counterparty to post collateral (e.g., non-U.S. currency forwards), (ii) require collateral but that do not provide for the Fund’s security interest in it to be perfected, (iii) require a significant upfront deposit by the Fund unrelated to the derivative’s intrinsic value, or (iv) do not require that collateral be regularly marked-to-market. When a counterparty’s obligations are not fully secured by collateral, the Fund runs the risk of having limited recourse if the counterparty defaults. Even when obligations are required by contract to be collateralized, there is usually a lag between the day the collateral is called for and the day the Fund receives it. The Fund may invest in derivatives with a limited number of counterparties, and events affecting the creditworthiness of any of those counterparties may have a pronounced effect on the Fund. Derivatives risk is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers and subsequent market disruptions. In addition, during those periods, the Fund may have a greater need for cash to provide collateral for large swings in its mark-to-market obligations under the derivatives used by the Fund.

Derivatives also present other risks described in this section, including market risk, liquidity risk, currency risk, credit risk and counterparty risk. Many derivatives, in particular OTC derivatives, are complex and their valuation often requires modeling and judgment, which increases the risk of mispricing or improper valuation. The pricing models used may not produce valuations that are consistent with the values the Fund realizes when it closes or sells an OTC derivative. Valuation risk is more pronounced when the Fund enters into OTC derivatives with specialized terms because the value of those derivatives in some cases is determined only by reference to similar derivatives with more standardized terms. As a result, incorrect valuations may result in increased cash payments to counterparties, undercollateralization and/or errors in the calculation of the Fund’s net asset value. Derivatives also involve the risk that changes in their value may not move as expected relative to the value of the assets, rates or indices they are designed to track.

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

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

The U.S. government recently enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting and registration requirements. Because the legislation leaves much to rule making, its ultimate impact remains unclear. New regulations could, among other things, restrict the Fund’s ability to engage in, or increase the cost to the Fund of, derivatives transactions, for example, by making some types of derivatives no longer available to the Fund or increasing margin or capital requirements.

• CURRENCY RISK. Currency risk is the risk that fluctuations in exchange rates will adversely affect the market value of the Fund’s investments. Currency risk includes the risk that the non-U.S. currencies in which the Fund’s investments are traded, in which the Fund receives income or in which the Fund has taken a position, will decline in value relative to the U.S. dollar. Currency risk also includes the risk that the currency to which the Fund has obtained exposure through hedging declines in value relative to the currency being hedged, in which event, the Fund may realize a loss both on the hedging instrument and on the currency being hedged. Currency exchange rates can fluctuate significantly for many reasons, including changes in supply and demand in the currency exchange markets, trade balances, actual or perceived changes in interest rates, differences in relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation, intervention (or the failure to intervene) by governments, central banks or supranational agencies such as the International Monetary Fund, and currency or exchange controls or other political and economic developments in the U.S. or abroad. See “Market Disruption and Geopolitical Risk” below.

The Fund may use derivatives to take overweighted or underweighted currency positions relative to the currency exposure of its portfolio. If the exchange rates of the currencies involved do not move as expected, the Fund could lose money both on its holdings of a particular currency and on the derivative. See also “Non-U.S. Investment Risk” above.

Some currencies are illiquid (e.g., some emerging country currencies), and the Fund may not be able to convert them into U.S. dollars, in which case the Manager may decide to purchase U.S. dollars in a parallel market in which the exchange rate is materially and adversely different. Exchange rates for many currencies (e.g., some emerging country currencies) are particularly affected by exchange control regulations.

In some cases, the credit risk of a fixed income security is reflected in its credit ratings, and if the Fund holds such a security, the Fund is subject to the risk that the security’s rating will be downgraded.

As described under “Market Risk – Asset-Backed Securities Risk” above, asset-backed securities may be backed by many types of assets and their payment of interest and repayment of principal largely depend on the cash flows generated by the assets backing them. The credit risk of a particular asset-backed security depends on many factors, as described in “Market Risk – Asset-Backed Securities Risk” above.

The obligations of issuers also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. The Fund also is exposed to credit risk on a reference security to the extent it writes protection under credit default swaps. See “Derivatives Risk” below for more information regarding risks associated with the use of credit default swaps.

Credit risk is particularly pronounced for below investment grade securities (commonly referred to as “junk bonds”). The sovereign debt of many non-U.S. governments, including their sub-divisions and instrumentalities, is below investment grade. Many asset-backed securities also are below investment grade. Below investment grade securities have speculative characteristics, often are less liquid than higher quality securities, present a greater risk of default and are more susceptible to real or perceived adverse industry conditions. In the event of default of sovereign debt, the Fund may be unable to pursue legal action against the sovereign issuer.

As described under “Market Risk – Fixed Income Investments Risk” above, the market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment of interest on asset-backed securities and repayment of principal largely depend on the cash flow generated by the assets backing the securities, as well as the deal structure (e.g., determination as to the amount of underlying assets or other support needed to produce the cash flows necessary to service interest and make principal payments), the quality of the underlying assets, the level of credit support and the credit quality of the credit-support provider, if any, and the reliability of various other service providers with access to the payment stream. A problem in any one of these areas can lead to a decrease in the payment stream expected by the Fund at the time it purchased the asset-backed security. Asset-backed securities involve risk of loss of principal if obligors of the underlying obligations default and the value of the defaulted obligations exceeds whatever credit support the securities may have. Asset-backed securities backed by sub-prime mortgage loans, in particular, may cause the Fund to suffer significantly greater declines in value due to defaults, as sub-prime mortgage loans are typically made to less creditworthy borrowers and thus have a higher risk of default than conventional mortgage loans. The obligations of issuers (and obligors of asset-backed securities) also are subject to bankruptcy, insolvency and other laws affecting the rights and remedies of creditors. See “Credit Risk” below for more information about credit risk.

The market price of an asset-backed security may depend on the servicing of its underlying assets and is, therefore, subject to risks associated with the negligence or defalcation of its servicer. In some circumstances, the mishandling of related documentation also may affect the rights of security holders in and to the underlying assets. The insolvency of entities that generate receivables or that utilize the assets may result in a decline in the value of the underlying assets, as well as costs and delays. The obligations underlying asset-backed securities, in particular securities backed by pools of residential and commercial mortgages, also are subject to unscheduled prepayment, and the Fund may be unable to invest prepayments at as high a yield as was provided by the asset-backed security.

• COUNTERPARTY RISK. To the extent the Fund enters into contracts with counterparties, such as repurchase or reverse repurchase agreements or other OTC derivatives contracts, or lends its securities, it runs the risk that the counterparty will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. If a counterparty fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or otherwise hold investments it would prefer to sell, resulting in losses for the Fund. There is neither an explicit limit on the amount of exposure that the Fund may have with any one counterparty nor a requirement that counterparties maintain a specific rating by a nationally recognized rating organization in order to be considered for potential transactions. To the extent that GMO’s view with respect to a particular counterparty changes (whether due to external events or otherwise), existing transactions are not required to be terminated or modified. Additionally, new transactions may be entered into with a counterparty that is no longer considered eligible if the transaction is primarily designed to reduce the overall risk of potential exposure to that counterparty (for example, re-establishing the transaction with a lesser notional amount). Counterparty risk is pronounced during unusually adverse market conditions and is particularly acute in environments (like those of 2008) in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions.

Participants in OTC derivatives markets typically are not subject to the same level of credit evaluation and regulatory oversight as are members of exchange-based markets, and, therefore, OTC derivatives generally expose the Fund to greater counterparty risk than exchange-traded derivatives. The Fund is subject to the risk that a counterparty will not settle a derivative in accordance with its terms because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem. If a counterparty’s obligation to the Fund is not collateralized, then the Fund is essentially an unsecured creditor of the counterparty. If the counterparty defaults, the Fund will have contractual remedies, but the Fund may be unable to enforce them, thus causing the Fund to suffer a loss. Counterparty risk is greater for derivatives with longer maturities because of the greater possibility that events will intervene to prevent settlement. Counterparty risk also is greater when the Fund has concentrated its derivatives with a single or small group of counterparties as it sometimes does as a result of its use of swaps and other OTC derivatives. Significant exposure to a single counterparty increases the Fund’s counterparty risk. To the extent the Fund uses swap agreements, it is subject, in particular, to the creditworthiness of the counterparties because some types of swap agreements have durations longer than six months (and, in some cases, decades). The creditworthiness of a counterparty may be adversely affected by greater than average volatility in the markets, even if the counterparty’s net market exposure is small relative to its capital. Counterparty risk still exists even if a counterparty’s obligations are secured by collateral because the Fund’s interest in the collateral may not be perfected or additional collateral may not be promptly posted as required.

The Fund also is subject to counterparty risk because it executes its securities transactions through brokers and dealers. If a broker or dealer fails to meet its contractual obligations, goes bankrupt, or otherwise experiences a business interruption, the Fund could miss investment opportunities or be unable to dispose of investments it would prefer to sell, resulting in losses for the Fund.

• LEVERAGING RISK. The use of reverse repurchase agreements and other derivatives and securities lending creates leverage (i.e., the Fund’s investment exposures exceed its net asset value). Leverage increases the magnitude of the Fund’s losses when the value of its investments (including derivatives) declines. Because many derivatives have a leverage component (i.e., a notional value in excess of the assets needed to establish or maintain the derivative position), adverse changes in the value or level of the underlying asset, rate or index may result in a loss substantially greater than the amount invested in the derivative itself. In the case of swaps, the risk of loss generally is related to a notional principal amount, even if the parties have not made any initial investment. Some derivatives have the potential for unlimited loss, regardless of the size of the initial investment. The Fund’s use of reverse repurchase agreements also subjects it to interest costs based on the difference between the sale and repurchase price of the security involved. The Fund’s portfolio also will be leveraged if it borrows money to meet redemption requests or settle investment transactions or if it exercises its right to delay payment on a redemption.

The Fund may manage some of its derivative positions by offsetting derivative positions against one another or against other assets. To the extent offsetting positions do not behave in relation to one another as expected, the Fund may perform as if it were leveraged.

• OPTIONS RISK. There are various risks associated with transactions in exchange-traded and OTC options. The market value of options written by the Fund will be affected by many factors, including changes in the value of underlying securities or indices; changes in the dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the stock market and underlying securities; and the remaining time to an option’s expiration. The market value of an option also may be adversely affected if the market for the option is reduced or becomes less liquid. In addition, since an American style option allows the holder to exercise its rights any time prior to expiration of the option, the writer of an American style option has no control over the time when it may be required to fulfill its obligations as a writer of the option. This risk is not present when writing a European style option since the holder may only exercise the option on its expiration date. If the Fund writes a call option and does not hold the underlying security or instrument, the amount of the Fund’s potential loss is theoretically unlimited.

• REAL ESTATE RISK. To the extent the Fund concentrates its assets in real-estate related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. Factors affecting real estate values include the supply of real property in particular markets, overbuilding, changes in zoning laws, casualty or condemnation losses, delays in completion of construction, changes in real estate values, changes in operating costs and property taxes, levels of occupancy, adequacy of rent to cover operating costs, possible environmental liabilities, regulatory limitations on rent, fluctuations in rental income, increased competition and other risks related to local and regional market conditions. The value of real-estate related investments also may be affected by changes in interest rates, macroeconomic developments, and social and economic trends. For instance, during periods of declining interest rates, some mortgage REITs may hold mortgages that the mortgagors elect to prepay, which prepayment may reduce the yield on securities issued by those REITs. Some REITs have relatively small market capitalizations, which can tend to increase the volatility of the market price of their securities. REITs are subject to the risk of fluctuations in income from underlying real estate assets, their inability to manage effectively the cash flows generated by those assets, prepayments and defaults by borrowers, and their failure to qualify for the special tax treatment granted to REITs under the Internal Revenue Code of 1986, as amended, or to maintain their exemption from investment company status under the Investment Company Act of 1940, as amended.

• MARKET DISRUPTION AND GEOPOLITICAL RISK. The Fund is subject to the risk that geopolitical and other events will disrupt securities markets, adversely affect global economies and markets and thereby decrease the value of the Fund’s investments. The wars in Iraq and Afghanistan have had a substantial effect on the economies and securities markets of the U.S. and other countries. Terrorism in the U.S. and around the world has had a similar global impact and has increased geopolitical risk. The terrorist attacks on September 11, 2001 resulted in the closure of some U.S. securities markets for four days, and similar attacks are possible in the future. The uncertainty surrounding the sovereign debt of the European Union countries of Greece, Spain, Portugal, Ireland and Italy, as well as the continued existence of the European Union itself, have disrupted and may continue to disrupt markets in the U.S. and around the world. If one or more countries leave the European Union or the European Union dissolves, there likely will be significant disruptions in the world’s securities markets and substantial government interventions (e.g., currency controls), which could negatively impact the Funds. War, terrorism, economic uncertainty and related geopolitical events have led, and in the future may lead, to increased short-term market volatility and may have adverse long-term effects on U.S. and world economies and markets generally. Likewise, natural and environmental disasters, such as the earthquake and tsunami in Japan in early 2011, and systemic market dislocations of the kind surrounding the insolvency of Lehman Brothers in 2008, if repeated, would be highly disruptive to economies and markets, adversely affecting individual companies and industries, securities markets, interest rates, credit ratings, inflation, investor sentiment and other factors affecting the value of the Fund’s investments. During such market disruptions, the Fund’s exposure to the risks described elsewhere in this “Investments and other risk” section will likely increase. Market disruptions, including sudden government interventions, can also prevent the Fund from implementing its investment programs for a period of time and achieving its investment objectives. For example, a disruption may cause disruptions to the orderly functioning of the securities markets and/or may cause the Fund’s derivatives counterparties to discontinue offering derivatives on some underlying commodities, securities, reference rates or indices, or to offer them on a more limited basis.

• SHORT SALES RISK. The Fund may use short sales in its investment programs in an attempt to increase its returns or for hedging purposes.

In implementing its principal investment strategies, the Fund is permitted to engage in short sales of securities or currencies that it does not own. To do so, the Fund borrows a security (e.g., shares of an ETF) or currency from a broker and sells it to a third party. This type of short sale exposes the Fund to the risk that it will be required to acquire, convert or exchange securities or currencies to replace the borrowed securities at a time when the securities or currencies sold short have appreciated in value, thus resulting in a loss to the Fund. If the Fund engages in short sales of securities or currencies it does not own, it may have to pay a premium to borrow the securities or currencies and must pay to the lender any dividends or interest it receives on the securities or currencies while they are borrowed. In addition, purchasing securities or currencies to close out a short position can itself cause the price of the securities or currencies to rise further, thereby exacerbating any losses.

Short sales of securities or currencies the Fund does not own involve a form of investment leverage, and the amount of a Fund’s potential loss is theoretically unlimited. Accordingly, the Fund is subject to increased leveraging risk and other investment risks described in this “Investments and other risks” section to the extent its sells short securities or currencies it does not own.

• FOCUSED INVESTMENT RISK. Funds whose investments are focused in particular countries, regions, sectors, companies or industries with high positive correlations to one another (e.g., different industries within broad sectors, such as technology or financial services) are subject to greater overall risk than funds whose investments are more diversified. To the extent the Fund invests in the securities of a limited number of issuers, it is particularly exposed to adverse developments affecting those issuers, and a decline in the market value of a particular security held by the Fund is likely to affect the Fund’s performance more than if the Fund invested in the securities of a larger number of issuers.

To the extent the Fund focuses its investments in a particular type of security or sector, or in securities of companies in a particular industry, it is vulnerable to events affecting those securities, sectors, or companies. Securities, sectors, or companies that share common characteristics are often subject to similar business risks and regulatory burdens, and often react similarly to specific economic, market, political or other developments. See also “Real Estate Risk” below.

Similarly, to the extent the Fund has a significant portion of its assets in investments tied economically to a particular geographic region, non-U.S. country or particular market (e.g., emerging markets), it has more exposure to regional and country economic risks than funds making non-U.S. investments throughout the world. The political and economic prospects of one country or group of countries within the same geographic region may affect other countries in that region, and a recession, debt crisis or decline in currency valuation in one country can spread to other countries. Furthermore, companies in a particular geographic region or non-U.S. country are vulnerable to events affecting other companies located in that region or country because they often share common characteristics, are exposed to similar business risks and regulatory burdens, and react similarly to specific economic, market, political or other developments. See also “Non-U.S. Investment Risk” above.

• LARGE SHAREHOLDER RISK. To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g. GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will adversely affect the Fund’s performance if it is forced to sell portfolio securities to raise the cash needed to satisfy the redemption request. In addition, GMO Funds and other accounts over which GMO has investment discretion that invest in the Fund are not subject to restrictions on the frequency of trading of Fund shares. Asset allocation decisions by the Manager may result in substantial redemptions from (or investments into) the Fund. These transactions may adversely affect the Fund’s performance to the extent that the Fund is required to sell investments (or invest cash) at times when it would not otherwise do so. Redemptions of a large number of shares also may increase transaction costs or accelerate the realization of taxable income and/or gains to shareholders if the sales of portfolio securities they necessitate result in gains. In addition, to the extent the Fund invests in other GMO Funds subject to large shareholder risk, it is indirectly subject to this risk.

• FUND OF FUNDS RISK AND RELATED CONSIDERATIONS. The Fund may invest in shares of other investment companies, including other GMO Funds, money market funds and ETF (for purposes of this risk disclosure, “underlying funds”), and is exposed to the risk that the underlying funds will not perform as expected.

Because the Fund bears the fees and expenses of the underlying funds in which it invests (absent reimbursement of those expenses), the Fund will incur additional expenses when investing in underlying funds. In addition, total Fund expenses will increase if the Fund makes a new or further investment in underlying funds with higher fees or expenses than the average fees and expenses of the underlying funds then in the Fund’s portfolio.

The Fund also is indirectly exposed to all of the risks of an investment in the underlying funds.

• NON-DIVERSIFIED FUNDS. The Fund is a “non-diversified investment company” under the Investment Company Act of 1940, as amended. This means that it is allowed to invest in the securities of a relatively small number of issuers and/or non-U.S currencies. As a result, it may be subject to greater credit, market and other risk, and poor performance by a single issuer may have a greater impact on its performance, than if it was “diversified”.

Temporary Defensive Positions. The Fund normally does not take temporary defensive positions.

To the extent the Fund takes a temporary defensive position, or otherwise holds cash, cash equivalents, or high quality debt investments on a temporary basis, the Fund may not achieve its investment objective.

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices, to increase, decrease or adjust elements of the investment exposures of the Fund’s portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and related indices, and include foreign currency contracts, swap agreements, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Fund may use derivatives as a substitute for direct investment in securities or other assets. For example, the Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by “equitizing” its cash balances using futures contracts or other types of derivatives. The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap agreements and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). The Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that the Manager believes is highly correlated with the relevant currency.

The Fund may use derivative to effect transactions intended as substitutes for securities lending.

The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund may have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund’s performance can depend substantially, if not primarily, on derivative reference assets that the Fund does not own.

The Fund’s foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Fund held derivatives during the period ended November 30, 2012. The following table shows how the Fund used these derivatives (marked with an x):



Type of Derivative and Objective for Use
Forward currency contracts
Adjust exposure to foreign currencies			X
To manage against anticipated currency exchange rate changes			X
Futures contracts
Adjust exposure to certain securities markets			X
Maintain the diversity and liquidity of the portfolio			X
Written Options
Used written put option contracts as a substitute for direct equity investment			X
Swap agreements
Adjust exposure to certain securities markets			X
To hedge some or all of the broad market exposure of the assets in which the Fund invests			X
Adjust exposure to certain companies and industries			X
Rights and/or warrants
Received as a result of corporate actions			X

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

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose the Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are not collateralized. Forward currency contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, the Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (unless the futures are traded outside the U.S. and the market for such futures is closed prior to the close of NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund’s futures contracts is marked to market daily and an appropriate payable or receivable for the change in value (“variation margin”) is recorded by the Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Fund to the risk that it may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. By purchasing options the Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. The Fund pays a premium for a purchased option. That premium is disclosed in the Schedule of Investments and is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

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

writer of an option, the Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that the Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose the Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed.

For the period ended November 30, 2012, investment activity in options contracts written by the Fund was as follows:

Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within this range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation charges through the NYSE close). The Fund values OTC options using inputs provided by primary pricing sources and industry models.

The Fund may enter into various types of swap agreements, including, without limitation, swaps on securities and securities indices, interest rate swaps, total return swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps and other types of available swaps. A swap agreement is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap agreements are net settled. When entering into a swap agreement and during the term of the transaction, the Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap agreement are included in the fair market value of the swap. The Fund does not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses. A liquidation payment received or made at the termination of the swap agreements is recorded as realized gain or loss.

party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Fund prices its swap agreements daily using industry standard models that may incorporate quotations from market makers or pricing vendors (unless the underlying reference security closes or the official closing time of the underlying index occurs prior to the close of the NYSE due to time zone differences, in which case the quotations will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changed through the NYSE close) and records the change in value, if any, as unrealized gain or loss. Gains or losses are realized upon termination of the swap agreements or reset dates, as appropriate. Swap agreements generally are not traded on publicly traded exchanges. The values assigned to them may differ significantly from the values that would be realized upon termination, and the differences could be material. Entering into swap agreements involves counterparty credit, legal, and documentation risk that is generally not reflected in the models used to price the swap agreement. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that the Fund has amounts on deposit in excess of amounts owed by the Fund, or that any collateral the other party posts is insufficient or not timely received by the Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap agreements outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

The Fund may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities, as described in the section entitled “Options” above. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit the Fund’s ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the period, if any, are listed in the Fund’s Schedule of Investments.

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

The volume of derivative activity, based on absolute values (forward currency contracts, futures contracts, rights and/or warrants), notional amounts (swap agreements) or principal amounts (options) outstanding at each month-end, was as follows for the period ended November 30, 2012.

For additional information regarding the Fund, please see the Fund’s most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

(b)(1) The GMO Global Equity division implemented a new order management/trading system on November 26, 2012. The new system allows for further automation of certain processes.

(b)(2) Except as described in the prior paragraph, there were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

The certifying officers express no view as to whether the changes in paragraph (b)(1) were material.

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.

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.

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.


Aggregate Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$ 11,011,495,117	$1,730,500,545	$(238,708,183)	$1,491,792,362


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Value, end of period
U.S. Treasury Fund		$	64,903,199		$	506,272,000		$	275,699,096		$	116,208		$	—		$	295,476,103
U.S. Flexible Equities Fund**			—			8,048,791,729			7,983,335,351			—			—			—

Totals		$	64,903,199		$	8,555,063,729		$	8,259,034,447		$	116,208		$	—		$	295,476,103


Aggregate Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$8,941,883	$2,527,306	$(36,096)	$2,491,210


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Value, end of period
U.S Treasury Fund		$	126,961		$	232,000		$	358,961		$	107		$	—		$	—


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Value, end of period
U.S. Treasury Fund		$	12,914,546		$	129,392,000		$	138,723,546		$	14,805		$	—		$	3,583,000


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


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Value, end of period
U.S. Treasury Fund		$	80,793		$	117,000		$	157,000		$	34		$	—		$	40,973


Aggregate Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$ 8,307,751	$916,770	$(392,695)	$524,075



Fund Name		Fair valued using inputs obtained from an independent pricing service
Quality Fund		19.3%
Real Estate Fund		—
U.S. Core Equity Fund		—
U.S. Flexible Equities Fund		6.8%
U.S. Growth Fund		—
U.S. Intrinsic Value Fund		—
U.S. Small/Mid Cap Fund		—



Description	Quoted Prices in Active Markets for Identical Assets/ Liabilities (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total
Quality Fund
Asset Valuation Inputs
Common Stocks
Belgium		$	—		$	77,847,618		$	—		$	77,847,618
Denmark			—			33,994,632			—			33,994,632
France			—			285,309,173			—			285,309,173
Germany			—			123,093,817			—			123,093,817
Japan			—			427,844,091			—			427,844,091
Netherlands			—			189,582,741			—			189,582,741
Sweden			—			2,239,883			—			2,239,883
Switzerland			—			539,106,305			—			539,106,305
United Kingdom			—			746,309,225			—			746,309,225
United States			9,759,859,548			—			—			9,759,859,548

TOTAL COMMON STOCKS			9,759,859,548			2,425,327,485			—			12,185,187,033

Mutual Funds			295,476,103			—			—			295,476,103
Short-Term Investments			22,624,343			—			—			22,624,343

Total Investments			10,077,959,994			2,425,327,485			—			12,503,287,479

Total		$	10,077,959,994		$	2,425,327,485		$	—		$	12,503,287,479


Real Estate Fund
Asset Valuation Inputs
Common Stocks (Real Estate Investment Trusts)		$	11,289,956		$	—		$	—		$	11,289,956
Short-Term Investments			143,137			—			—			143,137

Total Investments			11,433,093			—			—			11,433,093

Total		$	11,433,093		$	—		$	—		$	11,433,093


U.S. Core Equity Fund
Asset Valuation Inputs
Common Stocks		$	1,377,338,334		$	—		$	—		$	1,377,338,334
Mutual Funds			3,583,000			—			—			3,583,000
Short-Term Investments			1,536,243			—			—			1,536,243

Total Investments			1,382,457,577			—			—			1,382,457,577

Derivatives*
Swap Agreements Equity risk			—			320,102			—			320,102

Total		$	1,382,457,577		$	320,102		$	—		$	1,382,777,679



	Credit Contracts			Equity Contracts			Foreign Currency Contracts			Interest Rate Contracts			Other Contracts			Total
U.S. Core Equity Fund
Asset:
Unrealized appreciation on Swap Agreements		$	—		$	320,102		$	—		$	—		$	—		$	320,102

U.S. Flexible Equities Fund
Asset:
Unrealized appreciation on Futures Contracts*		$	—		$	1,161,667		$	—		$	—		$	—		$	1,161,667

U.S. Intrinsic Value Fund
Asset:
Investments, at value (rights and/or warrants)		$	—		$	2,916		$	—		$	—		$	—		$	2,916



Settlement Date	Counterparty	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
01/29/13	CITI	USD	11,168,407	AUD	10,800,000	$	53,335
01/29/13	DB	USD	15,376,726	AUD	14,900,000		105,122
01/08/13	DB	USD	2,341,851	EUR	1,800,000		20
02/26/13	CITI	USD	5,280,715	GBP	3,300,000		5,157
01/15/13	CITI	USD	1,006,792	JPY	80,000,000		(35,873	)
01/22/13	CITI	USD	13,379,892	NOK	77,400,000		259,498
03/05/13	BCLY	USD	9,102,000	NZD	11,100,000		(42,947	)
12/04/12	BCLY	USD	1,065,740	NZD	1,300,000		1,495
12/04/12	CITI	USD	14,524,790	NZD	17,600,000		(76,070	)
12/04/12	DB	USD	1,642,956	NZD	2,000,000		(1,056	)
02/12/13	CITI	USD	1,471,545	SEK	9,800,000		(1,378	)
02/12/13	DB	USD	2,219,186	SEK	14,700,000		(13,935	)
1/29/13	CITI	AUD	5,600,000	USD	5,802,307		(16,374	)
2/05/13	CITI	CAD	1,100,000	USD	1,096,913		(8,968	)
2/05/13	DB	CAD	1,500,000	USD	1,503,759		(4,261	)
12/11/12	BCLY	CHF	8,700,000	USD	9,352,677		(36,504	)
12/11/12	DB	CHF	2,000,000	USD	2,144,140		(14,293	)
1/08/13	BCLY	EUR	400,000	USD	519,548		(868	)
1/08/13	CITI	EUR	13,100,000	USD	16,909,987		(133,634	)
2/26/13	DB	GBP	5,000,000	USD	7,964,000		(44,896	)
1/15/13	BCLY	JPY	160,000,000	USD	2,017,146		75,308
1/15/13	CITI	JPY	350,000,000	USD	4,279,023		31,253



Settlement Date	Counterparty	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
1/15/13	DB	JPY	190,000,000	USD	2,381,456	$	75,524
1/22/13	BCLY	NOK	5,900,000	USD	1,033,691		(6,004	)
1/22/13	CITI	NOK	6,100,000	USD	1,060,221		(14,718	)
12/04/12	BCLY	NZD	11,100,000	USD	9,155,613		43,068
12/04/12	CITI	NZD	5,600,000	USD	4,561,755		(35,565	)
3/05/13	CITI	NZD	2,300,000	USD	1,882,380		5,279
12/04/12	DB	NZD	4,200,000	USD	3,425,267		(22,723	)
2/12/13	DB	SEK	20,800,000	USD	3,072,537		(47,819	)

						$	97,173



Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
18	Japanese Government Bond 10 Yr. (TSE)	December 2012	$	31,617,312	$	92,227
9	Canadian Government Bond 10 Yr.	March 2013		1,238,627		9,479
4	U.S. Treasury Bond 30 Yr. (CBT)	March 2013		600,250		3,114
119	U.S. Treasury Note 10 Yr. (CBT)	March 2013		15,903,234		49,480
41	U.S. Treasury Note 5 Yr. (CBT)	March 2013		5,113,469		12,049

			$	54,472,892	$	166,349

Sales
251	Australian Government Bond 10 Yr.	December 2012	$	32,723,500	$	(56,507	)
5	Euro Bund	December 2012		928,564		2,368
113	U.S. Treasury Note 2 Yr. (CBT)	March 2013		24,911,203		(8,999	)
44	UK Gilt Long Bond	March 2013		8,416,156		(35,368	)

			$	66,979,423	$	(98,506	)



Notional Amount			Expiration Date	Counterparty	Receive (Pay)#	Fixed Rate	Variable Rate	Net Unrealized Appreciation/ (Depreciation)
	5,200,000	CHF	3/20/2023	DB	(Pay)	1.00%	6 Month CHF LIBOR	$	(16,578	)
	2,000,000	CHF	3/20/2023	CITI	(Pay)	1.00%	6 Month CHF LIBOR		(6,376	)
	6,700,000	CHF	3/20/2023	BCLY	(Pay)	1.00%	6 Month CHF LIBOR		(21,362	)
	30,700,000	SEK	3/20/2023	DB	Receive	2.25%	3 Month SEK STIBOR		60,464
	31,100,000	SEK	3/20/2023	CITI	Receive	2.25%	3 Month SEK STIBOR		61,252
	54,700,000	SEK	3/20/2023	BCLY	Receive	2.25%	3 Month SEK STIBOR		107,732

								$	185,132

						Premiums to (Pay) Receive		$	(174,907	)


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Return of Capital*			Value, end of period
Emerging Country Debt Fund, Class IV		$	2,653,854		$	73,300		$	—		$	73,300		$	—		$	—		$	3,020,535
Short-Duration Collateral Fund			15,990,980			—			—			122,736			—			5,953,300			11,241,981
Special Purpose Holding Fund			2,748			—			—			—			—			—			3,242
U.S. Treasury Fund			6,113,892			8,754,328			9,000,000			4,327			—			—			5,868,100
World Opportunity Overlay Fund			14,393,171			—			—			—			—			—			15,016,874

Totals		$	39,154,645		$	8,827,628		$	9,000,000		$	200,363		$	—		$	5,953,300		$	35,150,732


Average balance outstanding	$	(133,154,869	)
Average interest rate		0.47	%
Maximum balance outstanding	$	(238,081,115	)


Number of Contracts		Expiration Date		Description	Premiums		Market Value
Put USD	100,000,000		04/15/2024	Banco do Brasil Credit Linked Put Option Swap, Brazil 8.875%	$	—	$	(160,222	)


Number of Contracts	Type	Expiration Date	Notional Amount		Net Unrealized Appreciation (Depreciation)
Buys
2	Japanese Government Bond 10 Yr. (TSE)	December 2012	$	3,513,035	$	11,306
1	U.S. Treasury Note 2 Yr. (CBT)	March 2013		220,453		60
6	U.S. Treasury Note 10 Yr. (CBT)	March 2013		801,844		2,495
1	Canadian Government Bond 10 Yr.	March 2013		137,625		1,053

			$	4,672,957	$	14,914

Sales
27	Australian Government Bond 10 Yr.	December 2012	$	3,520,058	$	(5,289	)
5	UK Gilt Long Bond	March 2013		956,381		(4,019	)
1	U.S. Treasury Bond 30 Yr. (CBT)	March 2013		150,063		(792	)

			$	4,626,502	$	(10,100	)


Aggregate Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$ 47,369,486	$2,429,685	$(24,047,967)	$(21,618,282)


Affiliate	Value, beginning of period			Purchases			Sales Proceeds			Dividend Income*			Distributions of Realized Gains*			Return of Capital*			Value, end of period
Emerging Country Debt Fund, Class IV		$	990,156		$	27,348		$	—		$	27,348		$	—		$	—		$	1,126,965
Short-Duration Collateral Fund			7,977,269			—			—			61,227			—			2,969,867			5,608,181
Special Purpose Holding Fund			14,459			—			—			—			—			—			17,062
U.S. Treasury Fund			906,921			3,251,599			3,800,000			1,599			—			—			358,519
World Opportunity Overlay Fund			5,369,586			—			—			—			—			—			5,602,269

Totals		$	15,258,391		$	3,278,947		$	3,800,000		$	90,174		$	—		$	2,969,867		$	12,712,996


Average balance outstanding	$	(2,202,500	)
Average interest rate		0.31	%
Maximum balance outstanding	$	(2,202,500	)



Notional Amount			Expiration Date	Counterparty	Receive (Pay)^	Annual Premium	Implied Credit Spread ⁽¹⁾	Reference Entity	Maximum Potential Amount of Future Payments by the Fund Under the Contract ⁽²⁾		Net Unrealized Appreciation/ (Depreciation)
	9,000,000	USD	3/20/2014	DB	(Pay)	1.70%	1.2%	Republic of Italy	N/A		$	(88,655	)
	6,000,000	USD	3/20/2019	DB	Receive	1.66%	2.58%	Republic of Italy	6,000,000	USD		(281,068	)

											$	(369,723	)

								Premiums to (Pay) Receive			$	—



Aggregate Cost		Gross Unrealized Appreciation			Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
	$1,842,640,410		$	8,360,609	$(74,449,680)	$(66,089,071)


Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Return of Capital*		Value, end of period
Emerging Country Debt Fund, Class IV	$	94,657,168	$	—	$	27,830,000	$	1,836,241	$	—	$	—	$	73,630,068
Short-Duration Collateral Fund		628,153,719		—		—		4,821,282		—		233,856,052		441,604,712
U.S. Treasury Fund		775,731,079		347,300,000		772,100,000		393,352		—		—		350,929,680
World Opportunity Overlay Fund		571,618,774		—		149,560,000		—		—		—		441,892,947

Totals	$	2,070,160,740	$	347,300,000	$	949,490,000	$	7,050,875	$	—	$	233,856,052	$	1,308,057,407


	Face Value	Description	Market Value
GBP	30,514,706	Barclays Bank PLC, 0.54%, dated 11/19/12, to be repurchased on demand at face value plus accrued interest with a stated maturity date of 12/19/12.		$	(49,819,646	)

				$	(49,819,646	)


Average balance outstanding	$	(47,571,312	)
Average interest rate		0.53	%
Maximum balance outstanding	$	(49,329,272	)



Description	Quoted Prices in Active Markets for Identical Assets/ Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)			Total
Strategic Fixed Income Fund (continued)
Liability Valuation Inputs
Derivatives*
Forward Currency Contracts
Foreign currency risk		$	—			$	(4,239,273	)		$	—		$	(4,239,273	)
Futures Contracts
Interest rate risk			(302,566	)			—				—			(302,566	)
Swap Agreements
Interest rate risk			—				(333,159	)			—			(333,159	)

Total		$	(302,566	)		$	(4,572,432	)		$	—		$	(4,874,998	)


U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments		$	1,284,633,391			$	1,436,602,243			$	—		$	2,721,235,634

Total Investments			1,284,633,391				1,436,602,243				—			2,721,235,634

Total		$	1,284,633,391			$	1,436,602,243			$	—		$	2,721,235,634


World Opportunity Overlay Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities		$	—			$	5,790,385			$	154,407,971		$	160,198,356
Foreign Government Obligations			—				49,810,866				—			49,810,866
U.S. Government			—				531,477,984				—			531,477,984
U.S. Government Agency			—				889,240				—			889,240

TOTAL DEBT OBLIGATIONS			—				587,968,475				154,407,971			742,376,446

Options Purchased			—				12,604,198				—			12,604,198
Short-Term Investments			42,098,960				—				—			42,098,960

Total Investments			42,098,960				600,572,673				154,407,971			797,079,604

Derivatives*
Swap Agreements
Interest rate risk			—				3,940,008				—			3,940,008

Total		$	42,098,960			$	604,512,681			$	154,407,971		$	801,019,612


Liability Valuation Inputs
Derivatives*
Written Options
Foreign currency risk		$	—			$	(136,558	)		$	—		$	(136,558	)
Swap Agreements
Interest rate risk			—				(70,805,407	)			—			(70,805,407	)

Total		$	—			$	(70,941,965	)		$	—		$	(70,941,965	)


	Balances as of February 29, 2012				Purchases			Sales				Accrued Discounts/ Premiums				Total Realized Gain/ (Loss)				Change in Unrealized Appreciation (Depreciation)				Transfer into Level 3*				Transfer out of Level 3*				Balances as of November 30, 2012				Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2012
Core Plus Bond Fund
Debt Obligations
Asset Backed Securities		$	6,202,282			$	—		$	(2,182,117	)		$	72,924			$	293,489			$	305,210			$	292,500			$	—			$	4,984,288			$	445,606
U.S Government Agency			10,046,306				—			(10,100,000	)			303,333				—				(249,639	)			—				—				—				—

Total		$	16,248,588			$	—		$	(12,282,117	)		$	376,257			$	293,489			$	55,571			$	292,500			$	—			$	4,984,288			$	445,606


Debt Opportunities Fund
Debt Obligations
Asset-Backed Securities		$	164,931,607			$	433,294,382		$	(72,645,854	)		$	1,949,062			$	7,370,030			$	17,619,055			$	2,897,550	**		$	—			$	555,415,832			$	17,806,800
U.S. Government Agency			1,433,967				—			(242,531	)			4,950				6,524				(1,884	)			—				—				1,201,026				(1,884	)

Total		$	166,365,574			$	433,294,382		$	(72,888,385	)		$	1,954,012			$	7,376,554			$	17,617,171			$	2,897,550			$	—			$	556,616,858			$	17,804,916


Emerging Country Debt Fund
Debt Obligations
Asset-Backed Securities		$	86,409,729			$	—		$	(24,848,807	)		$	28,403			$	3,698,775			$	12,141,787			$	—			$	—			$	77,429,887			$	14,612,448
Corporate Debt			4,020,000				—			(1,034,500	)			—				34,500				40,000				—				—				3,060,000				40,000
Foreign Government Agency			51,410,130				—			(17,042,713	)			(2,938	)			3,194,895				(2,010,705	)			—				—				35,548,669				300,027
Foreign Government Obligations			172,025,076				28,179,126			(31,244,899	)			3,408,979				7,650,565				840,462				6,584,060	**			(24,809,451	)**			162,633,918				5,444,872
Judgments			26,920,000				—			—				530,178				—				1,605,822				—				—				29,056,000				1,605,822

TOTAL DEBT OBLIGATIONS			340,784,935				28,179,126			(74,170,919	)			3,964,622				14,578,735				12,617,366				6,584,060				(24,809,451	)			307,728,474				22,003,169

Loan Assignments			29,329,530							(3,858,085	)			778,049				1,938,894				(2,608,532	)											25,579,856				(2,608,532	)
Loan Participations			96,063,470				—			(19,660,584	)			1,334,690				3,039,741				328,604				—				—				81,105,921				218,669
Rights and Warrants			11,065,955				—			—				—				—				(158,854	)			—				—				10,907,101				(158,854	)

Total Investments			477,243,890				28,179,126			(97,689,588	)			6,077,361				19,557,370				10,178,584				6,584,060				(24,809,451	)			425,321,352				19,454,452

Derivatives
Swap Agreements			(1,978,787	)			—			26,172,950				—				(26,172,950	)			28,734,695				—				(26,755,908	)**			—				—
Written Options			—				—			—				—				—				(160,222	)							—				(160,222	)			(160,222	)

Total		$	475,265,103			$	28,179,126		$	(71,516,638	)		$	6,077,361			$	(6,615,580	)		$	38,753,057			$	6,584,060			$	(51,565,359	)		$	425,161,130			$	19,294,230


Short-Duration Collateral Fund
Debt Obligations
Asset-Backed Securities		$	853,794,387			$	—		$	(305,313,528	)		$	104,615			$	974,983			$	86,897,496			$	22,238,598	**		$	—			$	658,696,551			$	85,663,256
U.S. Government Agency			30,604,118				—			(1,707,406	)			15,540				(1,165	)			77,613				—				—				28,988,700				77,613

Total		$	884,398,505			$	—		$	(307,020,934	)		$	120,155			$	973,818			$	86,975,109			$	22,238,598			$	—			$	687,685,251			$	85,740,869


World Opportunity Overlay Fund
Debt Obligations
Asset-Backed Securities		$	188,075,008			$	—		$	(57,404,050	)		$	6,990			$	62,145			$	19,955,378			$	3,712,500	**		$	—			$	154,407,971			$	19,876,076

Total		$	188,075,008			$	—		$	(57,404,050	)		$	6,990			$	62,145			$	19,955,378			$	3,712,500			$	—			$	154,407,971			$	19,876,076



Fund Name	Received from reverse repurchase agreements ($)	Market value of securities plus accrued interest ($)
World Opportunity Overlay Fund	48,341,430	50,672,994


	Puts										Calls
	Principal Amount of Contracts			Number of Contracts			Premiums				Principal Amount of Contracts				Number of Contracts			Premiums
Asset Allocation Bond Fund
Outstanding, beginning of year		$	—		2,200			$	2,463,734			$	290,000,000			—			$	490,750
Options written			—		3,366				2,391,174				30,000,000			1,700,000				1,809,016
Options bought back			—		(1,822	)			(2,989,310	)			(280,000,000	)		(1,700,000	)			(2,002,766	)
Options expired			—		(3,744	)			(1,865,598	)			(40,000,000	)		—				(297,000	)
Options exercised			—		—				—				—			—				—

Outstanding, end of period		$	—		—			$	—			$	—			—			$	—


Emerging Country Debt Fund
Outstanding, beginning of year		$	—		—			$	—			$	—			—			$	—
Options written			100,000,000		—				—				—			—				—
Options bought back			—		—				—				—			—				—
Options expired			—		—				—				—			—				—
Options exercised			—		—				—				—			—				—

Outstanding, end of period		$	100,000,000		—			$	—			$	—			—			$	—


Strategic Fixed Income Fund
Outstanding, beginning of year		$	—		—			$	—				2,150,000,000			—			$	1,384,579
Options written			—		—				—				—			—				—
Options bought back			—		—				—				(1,750,000,000	)		—				(1,074,579	)
Options expired			—		—				—				(400,000,000	)		—				(310,000	)
Options exercised			—		—				—				—			—				—

Outstanding, end of period		$	—		—			$	—				—			—			$	—


World Opportunity Overlay Fund
Outstanding, beginning of year		$	—		—			$	—				3,000,000			—			$	1,097,998
Options written			—		—				—				—			—				—
Options bought back			—		—				—				—			—				—
Options expired			—		—				—				—			—				—
Options exercised			—		—				—				—			—				—

Outstanding, end of period		$	—		—			$	—				3,000,000			—			$	1,097,998



	Credit contracts				Commodity contracts			Equity contracts			Foreign Currency contracts				Interest Rate contracts				Other contracts			Total
Core Plus Bond Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts		$	—			$	—		$	—		$	655,059			$	—			$	—		$	655,059
Unrealized Appreciation on Futures Contracts^			—				—			—			—				168,717				—			168,717
Unrealized Appreciation on Swap Agreements			—				—			—			—				316,298				—			316,298

Total		$	—			$	—		$	—		$	655,059			$	485,015			$	—		$	1,140,074

Liability:
Unrealized Depreciation on Forward Currency Contracts		$	—			$	—		$	—		$	(557,886	)		$	—			$	—		$	(557,886	)
Unrealized Depreciation on Futures Contracts^			—				—			—			—				(100,874	)			—			(100,874	)
Unrealized Depreciation on Swap Agreements			(9,732	)			—			—			—				(44,316	)			—			(54,048	)

Total		$	(9,732	)		$	—		$	—		$	(557,886	)		$	(145,190	)		$	—		$	(712,808	)


Currency Hedged International Bond Fund
Asset:
Unrealized Appreciation on Forward Currency Contracts		$	—			$	—		$	—		$	186,979			$	—			$	—		$	186,979
Unrealized Appreciation on Futures Contracts^			—				—			—			—				132,327				—			132,327
Unrealized Appreciation on Swap Agreements			—				—			—			—				72,478				—			72,478

Total		$	—			$	—		$	—		$	186,979			$	204,805			$	—		$	391,784


Liability:
Unrealized Depreciation on Forward Currency Contracts		$	—			$	—		$	—		$	(316,115	)		$	—			$	—		$	(316,115	)
Unrealized Depreciation on Futures Contracts^			—				—			—			—				(57,605	)			—			(57,605	)
Unrealized Depreciation on Swap Agreements			(606,354	)			—			—			—				(12,753	)			—			(619,107	)

Total		$	(606,354	)		$	—		$	—		$	(316,115	)		$	(70,358	)		$	—		$	(992,827	)


Domestic Bond Fund
Liability:
Unrealized Depreciation on Swap Agreements		$	(28,799	)		$	—		$	—			—			$	—			$	—		$	(28,799	)

Total		$	(28,799	)		$	—		$	—		$	—			$	—			$	—		$	(28,799	)


Emerging Country Debt Fund
Asset:
Investments, at value (rights and/or warrants)		$	—			$	—		$	—		$	—			$	—			$	10,907,101		$	10,907,101
Unrealized Appreciation on Forward Currency Contracts			—				—			—			3,017,667				—				—			3,017,667
Unrealized Appreciation on Swap Agreements			59,233,605				—			—			—				1,344,010				—			60,577,615

Total		$	59,233,605			$	—		$	—		$	3,017,667			$	1,344,010			$	10,907,101		$	74,502,383



Settlement Date	Counterparty	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation)
12/28/12	JPM	AUD	54,000,000		USD	56,372,814	$	126,271
12/28/12	RBS	AUD	109,818,961		USD	114,672,469		284,748
12/28/12	BOA	CAD	24,928,619		USD	25,050,162		(32,943	)
12/28/12	BBH	CHF	128,879,262		USD	138,451,693		(674,191	)
12/28/12	BCLY	CHF	42,900,000		USD	46,041,504		(269,286	)
12/28/12	MSCI	DKK	215,000,000		USD	37,272,124		(230,422	)
12/28/12	RBS	DKK	215,049,044		USD	37,297,832		(213,269	)
12/28/12	BCLY	EUR	120,000,000		USD	155,212,200		(894,905	)
12/28/12	BOA	EUR	99,747,104		USD	129,004,426		(755,838	)
12/28/12	DB	EUR	120,000,000		USD	155,243,280		(863,825	)
12/28/12	MSCI	EUR	120,000,000		USD	155,162,400		(944,705	)
12/28/12	BOA	GBP	46,051,392		USD	73,777,462		(1,091	)
12/28/12	JPM	GBP	150,000,000		USD	240,346,575		32,821
12/28/12	DB	GBP	75,000,000		USD	120,183,075		26,198
12/28/12	MSCI	HKD	181,342,214		USD	23,399,131		(15	)
12/28/12	BBH	JPY	6,525,871,223		USD	79,377,125		190,071
12/28/12	BCLY	JPY	6,646,818,512		USD	80,838,232		183,564
12/28/12	DB	JPY	6,525,871,222		USD	79,390,257		203,204
12/28/12	MSCI	JPY	13,051,742,446		USD	158,761,201		387,093
12/28/12	BBH	NOK	174,900,000		USD	30,739,488		(109,429	)
12/28/12	BCLY	NOK	175,159,633		USD	30,790,883		(103,828	)
12/28/12	JPM	NOK	174,900,000		USD	30,743,151		(105,766	)
12/28/12	BBH	NZD	27,948,086		USD	22,890,461		(16,304	)
12/28/12	BBH	SEK	253,886,879		USD	37,949,072		(182,794	)
12/28/12	BBH	SGD	41,443,174		USD	33,910,471		(42,729	)

							$	(4,007,370	)


Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Value, end of period
International Growth Equity Fund, Class IV	$	952,180,604	$	53,316,474	$	492,333,743	$	15,307,768	$	—	$	539,065,631
International Intrinsic Value Fund, Class IV		1,412,697,219		978,459,652		899,143,927		25,311,323		—		1,607,486,314

Totals	$	2,364,877,823	$	1,031,776,126	$	1,391,477,670	$	40,619,091	$	—	$	2,146,551,945


Settlement Date	Counterparty	Currency Sold		Currency Purchased		Net Unrealized Appreciation (Depreciation)
12/14/12	BCLY	USD	434,691	CAD	429,283	$	(2,622	)
12/14/12	JPM	USD	597,748	DKK	3,412,091		(2,805	)
12/14/12	BBH	USD	269,636	GBP	167,398		(1,449	)
12/14/12	BOA	USD	683,835	GBP	422,425		(7,071	)
12/14/12	JPM	USD	521,295	GBP	323,479		(3,051	)
12/14/12	MSCI	USD	765,997	GBP	475,037		(4,943	)
12/14/12	BOA	USD	1,006,508	HKD	7,800,772		35
12/14/12	DB	USD	3,031,554	HKD	23,497,577		366
12/14/12	JPM	USD	1,771,894	HKD	13,733,554		162